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Using Put Skew, Dealer Gamma, and Support Levels in Crypto Options

Article Deribit Insights
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Summary

This commentary tracks a crypto market correction through realized and implied volatility, term structure, skew, options flows, and dealer gamma. It describes short-dated put premiums rising in BTC and ETH while longer expiries retain call premiums, a pattern the author interprets as near-term hedging alongside longer-term bullish positioning. Reported dealer gamma levels are used to discuss possible support zones and how dealer positioning might affect price movement around key strikes. The note also observes that the ETH/BTC volatility spread and spot relationship no longer appear to offer the same relative-value opportunity.

For strategy, it proposes monetizing some hedges after a sharp decline, using bullish risk reversals near cited support levels, or choosing medium-term call spreads to limit theta exposure. These are discretionary suggestions grounded in a snapshot of market data and flows, not a backtested system. The article’s outlook depends on support holding, volatility behavior, and gamma positioning; these conditions can change, and the reported relationships do not guarantee a rebound.

Key ideas

  • Short-dated put skew increased in BTC and ETH as prices weakened, while longer expiries retained call premiums.
  • The author uses dealer gamma around selected strikes to assess possible support and rally behavior.
  • The ETH/BTC volatility spread is presented as less attractive for relative-value trading than before.
  • Suggested bullish structures include risk reversals near support and medium-term call spreads.
  • The strategies are conditional interpretations of a market snapshot, not tested performance results.

Tags

CryptoOptionsVolatilityRisk managementDerivatives pricing

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