ETH and BTC Options Flow Around the 2022 Merge Rally
Summary
This weekly market commentary describes how options positioning and volatility changed as Ether approached $2,000 ahead of the planned Merge. It links reduced uncertainty after the Goerli Merge to volatility selling across the curve, while noting that some institutional flows favored call spreads and that retail and high-net-worth traders bought short-dated calls as premiums fell. The author also compares BTC and ETH volatility, noting that Bitcoin’s front-end implied volatility fell below its recent realized volatility while its one-month volatility traded at a discount to Ether’s.
The article reads option flows, implied versus realized volatility, and skew as indicators of market expectations. Despite high open interest and upside activity in ETH, call skew remained flat; BTC’s spot rise likewise did not draw enough volatility buying to prevent front-end volatility from declining. These observations are a snapshot of a particular event window, not a tested trading strategy. The commentary offers no performance data and notes that future Merge-related interest could alter the relative-volatility picture.
Key ideas
- Lower uncertainty around the Merge coincided with volatility selling across maturities.
- Some funds used call spreads to express upside views with less sensitivity to vega than call flies.
- Falling premiums drew short-dated call buyers among retail and high-net-worth traders.
- High Ether open interest and upside flows did not translate into a pronounced call skew.
- Bitcoin’s front-end implied volatility fell below recent realized volatility, while one-month volatility was discounted relative to Ether’s.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.