Reading Crypto Options Skew, Volatility, and Dealer Positioning
Summary
The article reviews a period of rising crypto prices and options activity around the launch of Ethereum futures ETFs. It compares realized and implied volatility, term structures, ETH/BTC volatility spreads, and call versus put skew. The analysis links short dated volatility demand to larger price moves and event uncertainty, while longer dated options reflect expectations around future catalysts such as the Bitcoin halving and ETF adoption.
It also describes changes in BTC and ETH option flows and dealer gamma after a large quarterly expiry. The suggested trade is a call calendar spread: sell 2023 calls to help fund long 2024 calls, potentially entering when front end implied volatility rises. The article supports its views with reported changes in volatility, skew, and flow patterns, but provides no systematic backtest or risk estimates. Its trade discussion is a market snapshot and the author’s opinion; the ETF narrative and macro conditions could change, and the disclaimer says the material is not investment advice.
Key ideas
- Compare realized and implied volatility to assess changing demand for options.
- ETH volatility and call skew strengthened relative to BTC during the reported period.
- Longer dated BTC and ETH options held up better than some nearer expiries.
- Post-expiry dealer gamma and option flows shifted, affecting near-term positioning.
- The article proposes funding long 2024 calls by selling 2023 calls when front end volatility rises.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.