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Reading BTC and ETH Options Volatility, Skew, Flows, and Gamma

Article Amberdata research
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Summary

This market recap reviews BTC and ETH options conditions around a period of rising crypto prices and an approaching halving. It compares realized and implied volatility, term structures, call and put skew, options activity, and dealer gamma. The commentary links relatively stable BTC realized volatility and a sharp rise in ETH realized volatility with elevated implied volatility and positive volatility carry, particularly in BTC.

The analysis describes front-end call demand, longer-dated call interest, and dealer positioning that may contribute to choppy BTC trading or amplify ETH moves. It suggests calendar spreads for short-dated BTC volatility and longer-dated ETH calls or call spreads on a downside overshoot. These are the author’s market views, not tested strategies. The discussion is a snapshot tied to contemporaneous price levels and the halving; it supplies no systematic performance evidence, and its outlook depends on future catalysts and changing market conditions.

Key ideas

  • The recap reports stable BTC realized volatility and a notable increase in ETH realized volatility.
  • Elevated implied volatility leaves volatility carry positive, especially for BTC, according to the commentary.
  • Front-end call demand shifted the skew of both assets toward calls, while longer-dated call demand remained prominent.
  • Negative BTC dealer gamma around nearby strikes is presented as a reason for potentially choppy price action.
  • The author favors BTC calendar spreads and conditional longer-dated ETH call positions, but provides no performance tests.

Tags

CryptoOptionsVolatilityDerivatives pricingMarket microstructure

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