The excitement surrounding the anticipated spot ETF approvals in January
BTC up almost 10% and ETH rallying over 15%
Spot prices experienced a dip, with BTC down by 0.75% and ETH by 1.7%
The ETH/BTC implied volatility spread has remained fairly flat across the curve for two weeks running
Happy December! November proved to be a great month for crypto, with BTC up almost 10% and ETH rallying over 15%. Building on that positive momentum, we enter the last month of the year on a positive today with both majors hitting new YTD highs. After nearly touching $39,000 and $2,115 respectively, BTC and ETH have pulled back slightly but remain on pace for a high close for the year, now trading slightly below that level. Options flow remains bullish, with continued call spread buying this morning in December BTC and January ETH. As expected, IV surged on the upswing but has since settled back to unchanged on the day
Looking back at the week, the markets followed up a subdued weekend with sideways spot trading and quiet options flow, leading to a slightly lower opening Monday and a decrease in Implied Volatility, particularly in the front month (Dec ‘23). Options flow reflected the slow start, with diverse activity in BTC and bullish risk reversal call buying in the December expiration for ETH. Despite a quiet day, spot prices experienced a dip, with BTC down by 0.75% and ETH by 1.7%. Options flow revealed a favorable skew toward calls, Despite the closing of some long Dec $40,000 calls by paper, the positive call skew in the market remains persistent. The trend lower continued into Tuesday morning, yet the buy-the-dip mentality continued in the options space with buyers in BTC of the Dec and Jan $39, $40 & $45k strikes as well as ETH $2400 & $2600 calls lifted in the Jan expiration. Futures remained relatively flat for much of Wednesday into Thursday, with options flows leaning toward ETH, marked by paper buying of Mar/Jun Call Calendars, likely rolling length further out the curve. We continued to see some BTC profit taking on calls, driving Implied volatilities lower in the front end for both majors, with BTC buyers focusing on rolling their December call length into January.
The ETH/BTC implied volatility spread has remained fairly flat across the curve for two weeks running, after ETH had regained its traditional vol premium about a month back. This is likely a function of consistent buyers of BTC upside ahead of the anticipated spot ETF approval and halving next April. As highlighted on the next slide, although implied volatility has remained stable over the last two weeks, ETH has experienced considerably more realized volatility compared to BTC. Given that implied volatility is forward looking, there are two potential scenarios: either BTC's realized volatility will increase in the near term, or ETH will enter a phase of consolidation.
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Happy December! November proved to be a great month for crypto, with BTC up almost 10% and ETH rallying over 15%. Building on that positive momentum, we enter the last month of the year on a positive today with both majors hitting new YTD highs. After nearly touching $39,000 and $2,115 respectively, BTC and ETH have pulled back slightly but remain on pace for a high close for the year, now trading slightly below that level. Options flow remains bullish, with continued call spread buying this morning in December BTC and January ETH. As expected, IV surged on the upswing but has since settled back to unchanged on the day
Looking back at the week, the markets followed up a subdued weekend with sideways spot trading and quiet options flow, leading to a slightly lower opening Monday and a decrease in Implied Volatility, particularly in the front month (Dec ‘23). Options flow reflected the slow start, with diverse activity in BTC and bullish risk reversal call buying in the December expiration for ETH. Despite a quiet day, spot prices experienced a dip, with BTC down by 0.75% and ETH by 1.7%. Options flow revealed a favorable skew toward calls, Despite the closing of some long Dec $40,000 calls by paper, the positive call skew in the market remains persistent. The trend lower continued into Tuesday morning, yet the buy-the-dip mentality continued in the options space with buyers in BTC of the Dec and Jan $39, $40 & $45k strikes as well as ETH $2400 & $2600 calls lifted in the Jan expiration. Futures remained relatively flat for much of Wednesday into Thursday, with options flows leaning toward ETH, marked by paper buying of Mar/Jun Call Calendars, likely rolling length further out the curve. We continued to see some BTC profit taking on calls, driving Implied volatilities lower in the front end for both majors, with BTC buyers focusing on rolling their December call length into January.
The ETH/BTC implied volatility spread has remained fairly flat across the curve for two weeks running, after ETH had regained its traditional vol premium about a month back. This is likely a function of consistent buyers of BTC upside ahead of the anticipated spot ETF approval and halving next April. As highlighted on the next slide, although implied volatility has remained stable over the last two weeks, ETH has experienced considerably more realized volatility compared to BTC. Given that implied volatility is forward looking, there are two potential scenarios: either BTC's realized volatility will increase in the near term, or ETH will enter a phase of consolidation.
The excitement surrounding the anticipated spot ETF approvals in January has created an appealing setup for calendar trades. Entering positions by purchasing March or June volatility while simultaneously selling January volatility, with the aim of achieving a 2.5-3% volatility difference, is anticipated to be a profitable strategy as we approach yearend. Historical data indicates that engaging in time spreads and benefiting from theta leading into the holidays has been consistently profitable. In the scenario of expected ETF approvals in January, there might be an initial volatile market reaction, which will likely be followed by profittaking and liquidations in the short-term options. However, longer-dated options are likely to maintain their levels, considering the halving event is still on the horizon. On the other hand, if the spot ETF decision is delayed, the volatility spread is anticipated to widen, as traders adjust their positions further along the curve.
Purpose This research is only for the clients of BitOoda. This research is not intended to constitute an offer, solicitation, or invitation for any securities and may not be distributed into jurisdictions where it is unlawful to do so. For additional disclosures and information, please contact a BitOoda representative at info@bitooda .io. Analyst Certification Michael Tauckus, the research analyst denoted by an “AC” on the cover of this report, hereby certifies that all of the views expressed in this report accurately reflect his personal views, which have not been influenced by considerations of the firm’s business or client relationships. Conflicts of Interest This research contains the views, opinions, and recommendations of BitOoda. This report is intended for research and educational purposes only. We are not compensated in any way based upon any specific view or recommendation. General Disclosures Any information (“Information”) provided by BitOoda Holdings, Inc., BitOoda Digital, LLC, BitOoda Technologies, LLC or Ooda Commodities, LLC and its affiliated or related companies (collectively, “BitOoda”), either in this publication or document, in any other communication, or through http on or ://www.bitooda.io/, including any information regarding proposed transactions or trading strategies, is for informational purposes only and is provided without charge. BitOoda is not and does not act as a fiduciary or adviser, or in any similar capacity, in providing the Information, and the Information may not be relied upon as investment, financial, legal, tax, regulatory, or any other type of advice. The Information is being distributed as part of BitOoda’s sales and marketing efforts as an introducing broker and is incidental to its business as such. BitOoda seeks to earn execution fees when its clients execute transactions using its brokerage services. BitOoda makes no representations or warranties (express or implied) regarding, nor shall it have any responsibility or liability for the accuracy, adequacy, timeliness or completeness of, the Information, and no representation is made or is to be implied that the Information will remain unchanged. BitOoda undertakes no duty to amend, correct, update, or otherwise supplement the Information. The Information has not been prepared or tailored to address, and may not be suitable or appropriate for the particular financial needs, circumstances or requirements of any person, and it should not be the basis for making any investment or transaction decision. The Information is not a recommendation to engage in any transaction. The digital asset industry is subject to a range of inherent risks, including but not limited to: price volatility, limited liquidity, limited and incomplete information regarding certain instruments, products, or digital assets, and a still emerging and evolving regulatory environment. The past performance of any instruments, products or digital assets addressed in the Information is not a guide to future performance, nor is it a reliable indicator of future results or performance. All derivatives brokerage is conducted by Ooda Commodities, LLC a member of NFA and subject to NFA’s regulatory oversight and examinations. However, you should be aware that NFA does not have regulatory oversight authority over underlying or spot virtual currency products or transactions or virtual currency exchanges, custodians or markets. BitOoda Technologies, LLC is a member of FINRA. “BitOoda”, “BitOoda Difficulty”, “BitOoda Hash”, “BitOoda Compute”, and the BitOoda logo are trademarks of BitOoda Holdings, Inc. Copyright 2023 BitOoda Holdings, Inc. All rights reserved. No part of this material may be reprinted, redistributed, or sold without prior written consent of BitOoda.
Happy December! November proved to be a great month for crypto, with BTC up almost 10% and ETH rallying over 15%. Building on that positive momentum, we enter the last month of the year on a positive today with both majors hitting new YTD highs. After nearly touching $39,000 and $2,115 respectively, BTC and ETH have pulled back slightly but remain on pace for a high close for the year, now trading slightly below that level. Options flow remains bullish, with continued call spread buying this morning in December BTC and January ETH. As expected, IV surged on the upswing but has since settled back to unchanged on the day
Looking back at the week, the markets followed up a subdued weekend with sideways spot trading and quiet options flow, leading to a slightly lower opening Monday and a decrease in Implied Volatility, particularly in the front month (Dec ‘23). Options flow reflected the slow start, with diverse activity in BTC and bullish risk reversal call buying in the December expiration for ETH. Despite a quiet day, spot prices experienced a dip, with BTC down by 0.75% and ETH by 1.7%. Options flow revealed a favorable skew toward calls, Despite the closing of some long Dec $40,000 calls by paper, the positive call skew in the market remains persistent. The trend lower continued into Tuesday morning, yet the buy-the-dip mentality continued in the options space with buyers in BTC of the Dec and Jan $39, $40 & $45k strikes as well as ETH $2400 & $2600 calls lifted in the Jan expiration. Futures remained relatively flat for much of Wednesday into Thursday, with options flows leaning toward ETH, marked by paper buying of Mar/Jun Call Calendars, likely rolling length further out the curve. We continued to see some BTC profit taking on calls, driving Implied volatilities lower in the front end for both majors, with BTC buyers focusing on rolling their December call length into January.
The ETH/BTC implied volatility spread has remained fairly flat across the curve for two weeks running, after ETH had regained its traditional vol premium about a month back. This is likely a function of consistent buyers of BTC upside ahead of the anticipated spot ETF approval and halving next April. As highlighted on the next slide, although implied volatility has remained stable over the last two weeks, ETH has experienced considerably more realized volatility compared to BTC. Given that implied volatility is forward looking, there are two potential scenarios: either BTC's realized volatility will increase in the near term, or ETH will enter a phase of consolidation.
The excitement surrounding the anticipated spot ETF approvals in January has created an appealing setup for calendar trades. Entering positions by purchasing March or June volatility while simultaneously selling January volatility, with the aim of achieving a 2.5-3% volatility difference, is anticipated to be a profitable strategy as we approach yearend. Historical data indicates that engaging in time spreads and benefiting from theta leading into the holidays has been consistently profitable. In the scenario of expected ETF approvals in January, there might be an initial volatile market reaction, which will likely be followed by profittaking and liquidations in the short-term options. However, longer-dated options are likely to maintain their levels, considering the halving event is still on the horizon. On the other hand, if the spot ETF decision is delayed, the volatility spread is anticipated to widen, as traders adjust their positions further along the curve.
Purpose This research is only for the clients of BitOoda. This research is not intended to constitute an offer, solicitation, or invitation for any securities and may not be distributed into jurisdictions where it is unlawful to do so. For additional disclosures and information, please contact a BitOoda representative at info@bitooda .io. Analyst Certification Michael Tauckus, the research analyst denoted by an “AC” on the cover of this report, hereby certifies that all of the views expressed in this report accurately reflect his personal views, which have not been influenced by considerations of the firm’s business or client relationships. Conflicts of Interest This research contains the views, opinions, and recommendations of BitOoda. This report is intended for research and educational purposes only. We are not compensated in any way based upon any specific view or recommendation. General Disclosures Any information (“Information”) provided by BitOoda Holdings, Inc., BitOoda Digital, LLC, BitOoda Technologies, LLC or Ooda Commodities, LLC and its affiliated or related companies (collectively, “BitOoda”), either in this publication or document, in any other communication, or through http on or ://www.bitooda.io/, including any information regarding proposed transactions or trading strategies, is for informational purposes only and is provided without charge. BitOoda is not and does not act as a fiduciary or adviser, or in any similar capacity, in providing the Information, and the Information may not be relied upon as investment, financial, legal, tax, regulatory, or any other type of advice. The Information is being distributed as part of BitOoda’s sales and marketing efforts as an introducing broker and is incidental to its business as such. BitOoda seeks to earn execution fees when its clients execute transactions using its brokerage services. BitOoda makes no representations or warranties (express or implied) regarding, nor shall it have any responsibility or liability for the accuracy, adequacy, timeliness or completeness of, the Information, and no representation is made or is to be implied that the Information will remain unchanged. BitOoda undertakes no duty to amend, correct, update, or otherwise supplement the Information. The Information has not been prepared or tailored to address, and may not be suitable or appropriate for the particular financial needs, circumstances or requirements of any person, and it should not be the basis for making any investment or transaction decision. The Information is not a recommendation to engage in any transaction. The digital asset industry is subject to a range of inherent risks, including but not limited to: price volatility, limited liquidity, limited and incomplete information regarding certain instruments, products, or digital assets, and a still emerging and evolving regulatory environment. The past performance of any instruments, products or digital assets addressed in the Information is not a guide to future performance, nor is it a reliable indicator of future results or performance. All derivatives brokerage is conducted by Ooda Commodities, LLC a member of NFA and subject to NFA’s regulatory oversight and examinations. However, you should be aware that NFA does not have regulatory oversight authority over underlying or spot virtual currency products or transactions or virtual currency exchanges, custodians or markets. BitOoda Technologies, LLC is a member of FINRA. “BitOoda”, “BitOoda Difficulty”, “BitOoda Hash”, “BitOoda Compute”, and the BitOoda logo are trademarks of BitOoda Holdings, Inc. Copyright 2023 BitOoda Holdings, Inc. All rights reserved. No part of this material may be reprinted, redistributed, or sold without prior written consent of BitOoda.
Markets are higher again today with Bitcoin leading the charge, up 2.7% to $45,385 while ETH is lagging a bit, up 1.1% to $2,453. We’re seeing the oft-mentioned ETH call overwriter covering some short calls overnight into this morning, with ~25k Feb calls bought. This is a small part of the book, and we expect more buying from this entity as the market pushes up to avoid auto-liquidation