Crypto Volatility, Implied Volatility, and Calendar Spread Positioning

Summary

This market commentary links a BTC recovery to macroeconomic developments and renewed spot ETF inflows, while noting that ETH lagged amid regulatory uncertainty and weaker ETF demand. It argues that stronger realized volatility followed a sharp selloff and rebound, even as implied volatility held steadier. With fewer macro catalysts expected, the authors suggest volatility could ease if prices remain range-bound.

The note reviews BTC and ETH volatility term structures, skew, options flows, and dealer gamma. Short-dated BTC skew shifted from puts toward calls as prices recovered, while ETH retained some front-end put premium. It favors long ETH calendar spreads and, around delayed ETH ETF decisions, proposes selling nearer May and June options to own July through September options, with a preference for calls. This is a dated market view rather than a tested strategy: it provides no backtest or quantified performance, and its observations and trade rationale depend on the market conditions described.

Key ideas

• A sharp price reversal can lift realized volatility even when implied volatility remains relatively stable.
• BTC and ETH had different volatility term structures and short-dated skew behavior.
• The commentary favors long ETH calendar spreads as a way to position for term structure and volatility changes.
• Call calendars were preferred because the author expected them to limit losses in a sharp decline.
• Options flow and dealer gamma were described as having limited price impact except near key levels.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.