Selling Short-Dated Crypto Gamma and Trading BTC–ETH Volatility
Summary
This market note reviews Bitcoin and Ether derivatives positioning during a holiday period marked by falling realized and implied volatility. It describes active selling of very short-dated gamma and reduced front-month option volatility, alongside a systematic overwrite approach that sells weekly calls against long positions. The author suggests such overwriting may suit a calm market while key resistance levels hold, but flags the possibility of a breakout.
The analysis compares carry, term structures, skew, option flows, and dealer gamma in BTC and ETH. It also proposes using far out-of-the-money call switches, long ETH and short BTC, to express a view that ETH volatility is relatively undervalued. Evidence consists of reported flows, positioning, and market levels from the week; the article does not present a backtest or quantified risk analysis. Its conclusions depend on changing volatility, support, resistance, and news conditions, and the author frames them as personal views rather than investment advice.
Key ideas
- Short-dated gamma selling and lower front-month implied volatility characterized the holiday period.
- Weekly call overwriting against long positions is presented as a strategy for a calm market while resistance holds.
- The note views ETH volatility as relatively attractive compared with BTC based on realized volatility differences.
- Far out-of-the-money long ETH and short BTC call exposure is proposed as a relative-value expression.
- Dealer gamma, skew, carry, and option flows may change quickly with spot moves or news.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.