Q2 2023 Crypto Options Flows, Volatility Regimes, and Gamma Positioning
Summary
The report reviews Bitcoin and Ether spot performance, realized and implied volatility, spot/volatility relationships, risk reversal skew, and options positioning during Q2 2023. It describes a method for estimating option trade aggressor direction using order book snapshots, trade types, multiple time frames, and a weighted set of heuristics. The resulting estimates support its analysis of flows and dealer gamma exposure.
The report identifies Bitcoin’s relative outperformance, changes in the assets’ spot/volatility behavior, and compressed volatility as notable conditions. It connects those observations to events including the SVB banking crisis, Ethereum’s Shanghai upgrade, and options activity such as covered calls and rolling call positions. Its evidence includes market data and flow analysis, though the supplied text omits many charts and part of the later discussion. The authors also report that their direction estimates differed from Deribit’s classifications for a material share of Q2 Bitcoin option activity. The analysis is venue-concentrated, relies on proprietary heuristics under ongoing validation, and is educational rather than personalized trading advice.
Key ideas
- Bitcoin and Ether showed different spot/volatility patterns and relative volatility conditions during Q2 2023.
- The report links Ether covered-call supply and other options flows to changes in volatility dynamics.
- Aggressor direction can be estimated by comparing trades with order book conditions before and after execution.
- A weighted collection of heuristics can combine trade type, quote data, and time aggregation into a direction estimate.
- The flow conclusions depend on proprietary classifications and activity observed primarily on Deribit.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.