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Relative Volatility Options Trade: Long SOL Calls Against Short ETH Calls

Article Amberdata research
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Summary

The newsletter argues that Solana options may offer relatively attractive upside volatility compared with Ethereum. It compares their recent implied pricing with historical realized volatility, including the relative level of 30-day realized volatility and volatility risk premiums. The author says SOL volatility is near the low end of its historical range while ETH is nearer its median, and points to the assets’ differing market capitalizations as a reason their realized volatility could diverge after a catalyst. The proposed expression is to buy SOL calls and finance them by selling ETH calls.

The article also discusses dealer gamma exposure, interpreting positioning as more focused on ETH upside than SOL upside, while acknowledging that the options exposure is small relative to the spot markets. It recognizes that both assets could fall sharply in a risk-off event and expresses greater confidence in SOL’s relative upside volatility than downside outperformance. The case is an author’s market view supported by cited charts, not a backtest or quantified trade specification; sizing, expiries, strikes, hedging, and loss limits are not supplied.

Key ideas

  • The proposed relative volatility position buys SOL calls and sells ETH calls to help finance them.
  • The author bases the view on historical realized volatility and volatility risk premium comparisons.
  • The thesis expects SOL and ETH volatility to diverge, with greater relative upside potential in SOL.
  • Dealer gamma positioning is presented as more focused on ETH calls than SOL calls.
  • Both assets may fall during a risk-off event, and the newsletter provides no complete trade sizing or risk plan.

Tags

CryptoOptionsVolatilityDerivatives pricingRisk management

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