Post-Shapella ETH Options: Skew, Term Structure, and Dealer Gamma
Summary
This market recap analyzes Ethereum’s post-Shapella move relative to Bitcoin, focusing on price action, options pricing, and derivatives flows. The author reports ETH outperformance and short liquidations after a delayed rally, while noting that the initial reaction to positive CPI data did not produce a sustained rise in either major asset. The discussion frames Shapella as the dominant near-term catalyst, with implied volatility remaining elevated despite low realized volatility.
The options analysis describes a rapid reversal in weekly ETH skew: puts had traded at a premium to calls before calls moved to a premium, with 25-delta risk reversals rising in near expiries. ETH’s term structure showed backwardation, and demand for upside calls was prominent. The author also infers that dealer short gamma around the $2,000 strike could amplify volatility through hedging, especially amid thinner spot liquidity. These are observations and positioning estimates from a particular 2023 market episode; OTC activity may be incomplete, and the article does not establish that the inferred dealer positioning caused subsequent price moves.
Key ideas
- The recap attributes ETH’s relative strength partly to post-Shapella buying and short liquidations.
- Weekly ETH options skew shifted from a put premium to a call premium in the described period.
- ETH implied volatility stayed elevated and its term structure showed backwardation.
- Upside call demand and estimated dealer short gamma near $2,000 could contribute to volatility.
- Dealer positioning is inferred from available data, and OTC flows may not be fully visible.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.