Crypto Volatility, Liquidations, Skew, and Options Positioning
Summary
This analysis links a sharp BTC and ETH selloff with a surge in liquidations, changing implied volatility, and options positioning. It attributes a substantial share of liquidations to gamma-related perpetual futures positions on Deribit and OKX, while noting that proposed news and macro explanations remain uncertain. Implied volatility rose and then began to normalize; realized volatility exceeded implied volatility, leaving carry deeply negative. BTC’s volatility curve briefly moved into backwardation before returning to slight contango, while ETH remained in backwardation.
The report also examines the ETH/BTC volatility spread, downside skew, option flows, and dealer gamma. Put demand increased, BTC dealer gamma turned negative, and ETH dealer gamma was described as near neutral. It discusses possible calendar, hedging, and ratio structures, but these are the author’s views rather than tested recommendations. The account is a time-specific market interpretation, includes speculative causal explanations, and provides no systematic backtest or evidence that its suggested positions will perform under other conditions.
Key ideas
- A large liquidation wave coincided with a sharp decline in BTC and ETH, with gamma-related perpetual positions implicated.
- Realized volatility rose above implied volatility, making volatility carry deeply negative.
- BTC and ETH volatility term structures and downside skews reacted differently to the selloff.
- Put buying contributed to negative BTC dealer gamma, while ETH dealer gamma was described as near neutral.
- The proposed hedges and option structures are discretionary views without backtest evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.