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September 2023 Crypto Options: ETH Skew and Volatility Positioning

Article Amberdata research
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Summary

This market commentary reviews crypto volatility conditions and options positioning in September 2023. It notes subdued equity volatility and low realized volatility in crypto, while describing rising put-wing implied volatility for a near-term Bitcoin expiry. The author views Ethereum as a more interesting candidate for downside protection, citing its comparatively negative spot/volatility behavior, steep put-wing skew relative to at-the-money volatility, and low relative volatility. Put spreads are discussed as a way to use the skew.

The report also summarizes option flow observations, including contrasting Bitcoin block and screen activity, and describes liquidity vault exposures as long gamma and short theta. Its reasoning is qualitative, relying on charts, flow summaries, and the author's interpretation rather than a formal model or performance test. Low absolute implied volatility is explicitly not treated as proof that options are cheap, and the outlook depends on market conditions. The text is a dated market snapshot, not a validated trading strategy.

Key ideas

  • The commentary identifies steep Ethereum put-wing skew relative to at-the-money volatility as a possible source of put-spread value.
  • It favors Ethereum over Bitcoin for downside protection based on the author's spot and volatility assessment.
  • Low realized and implied volatility do not by themselves establish that options are cheap.
  • Reported vault positions are long gamma and short theta, making them sensitive to underlying price movement and time decay.
  • The analysis is a qualitative snapshot and does not provide a systematic performance test.

Tags

CryptoOptionsVolatilityDerivatives pricing

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