Using Volatility Carry, Skew, and Calendar Spreads in Crypto Options
Summary
The article reviews Bitcoin and Ethereum market conditions and options positioning, arguing that subdued realized volatility and median volatility carry can support gamma selling while markets remain range bound. It describes falling front-end implied volatility, renewed short-dated Bitcoin put skew amid potential creditor distributions, and call selling that may constrain near-term Ethereum volatility. It also distinguishes a long-dated ETH-versus-BTC volatility spread, framed as a vega exposure, from spot-starting exposure that carries more gamma sensitivity.
The proposed positioning includes switching calendar spreads between the assets, selling Ethereum calls to help fund near-term protection, and using Bitcoin call spreads or ladders for a possible seasonal rally. The discussion draws on reported ETF flows, option volumes, skew, and dealer gamma, but presents views and scenarios rather than a backtest or validated forecast. It is dated commentary: stated catalysts, expiries, and market conditions may no longer apply, and the author notes that the material is not investment advice.
Key ideas
- Low realized volatility and moderate volatility carry can make gamma selling attractive while prices remain quiet.
- Front-end volatility and put skew can shift when traders anticipate near-term supply or downside risk.
- A long-dated ETH/BTC volatility spread expresses relative vega exposure, while spot-starting exposure adds more gamma sensitivity.
- Calendar spread switches and selling Ethereum calls are presented as ways to adjust relative volatility and fund protection.
- Bitcoin call spreads or ladders are suggested for a possible seasonal rally, though the article does not validate that scenario with historical testing.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.