Implied Volatility was down week on week across the board, but more prominently in the front end of both curves.
The BTC/ETH IV spread remains at an ETH premium.
The lack of selling pressure in upside ETH calls has led to a tighter correlation between realized volatility and implied
The absence of the ETH call overwriter has allowed ETH IV to regain a premium to BTC.
With both BTC and ETH trading sideways through the weekend, the week began with lighter flows in comparison to previous weeks, perhaps the result of a Singapore holiday. Tuesday, however, unfolded as a busy one, marked by a significant trade of a December ratio straddle spread between BTC and ETH with paper buying 15,000 ETH Dec $2150 straddles and selling 800 BTC $37,000 straddles. This trade further contributed to the noteworthy reversion in the ETH/BTC implied volatility spread. Paper flows such as this have become more common in the past two weeks, as enthusiasm around potential spot ETF’s may have shifted toward ETH. This narrative, combined with the forced unwind of the ETH call overwriter and higher margin thresholds for options sellers, has been supportive of the ETH IV premium.
On Tuesday, the equities market experienced a lively and widespread rally following the Consumer Price Index (CPI) release. However, a noticeable contrast emerged in the cryptocurrency space, as most digital currencies sustained losses throughout the session. BTC slipped below the $35k mark, while ETH briefly touched $1,940 before making a modest recovery. This decoupling phenomenon is noteworthy, emphasizing the evolution of cryptocurrencies as a distinct asset class. The combined decline in BTC IV and spot price provided opportunistic entry points for directional plays, and the most significant trade of the day was a buyer of one week BTC call spreads. ETH IV remained flat, widening the ETH-BTC vol spread. Volumes increased following the spot sell-off and continued during a subsequent overnight rally into Wednesday. BTC and ETH both rallied significantly, threatening to take out the YTD highs. Positive spot/vol correlation remained as IV took a leg higher on the move. BTC call spreads in the Dec expiration were lifted on the rally. In the ETH front end, there were mixed flows, including buyers of the put in risk reversals as well as outright Nov calls. Tuesday’s buy-thedip activity in BTC paid off, as we saw handsome profit taking on the weekly call spreads. A notable buyer emerged in the ETH Nov 1900 puts, reeling in 20k over two days.
The rally failed to hold, and Thursday saw the markets give back all of Wednesday’s gains. IV trended lower and remains down on the week, more pronounced in the front of the curves. Options flow remained very bullish, with outright calls bought in large sizes on both BTC and ETH. BTC call spreads were rolled higher in profit-taking. BTC futures are set to record a slight decline of approximately 1%, with ETH experiencing a more substantial pullback of over 5.5%. Despite the prevailing high IV regime, the intraday fluctuations provide rationale for the observed premium. Skews continue to favor calls in both products but have shown a slight softening week on week. If the negative put skew persists as implied volatility softens, those with length should consider opportunistically hedging as we approach the year-end. It's crucial to note that any unforeseen developments on the regulatory front have the potential to trigger a significant market pullback. Taking prudent steps now to safeguard profits may prove advantageous in the weeks ahead.
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With both BTC and ETH trading sideways through the weekend, the week began with lighter flows in comparison to previous weeks, perhaps the result of a Singapore holiday. Tuesday, however, unfolded as a busy one, marked by a significant trade of a December ratio straddle spread between BTC and ETH with paper buying 15,000 ETH Dec $2150 straddles and selling 800 BTC $37,000 straddles. This trade further contributed to the noteworthy reversion in the ETH/BTC implied volatility spread. Paper flows such as this have become more common in the past two weeks, as enthusiasm around potential spot ETF’s may have shifted toward ETH. This narrative, combined with the forced unwind of the ETH call overwriter and higher margin thresholds for options sellers, has been supportive of the ETH IV premium.
On Tuesday, the equities market experienced a lively and widespread rally following the Consumer Price Index (CPI) release. However, a noticeable contrast emerged in the cryptocurrency space, as most digital currencies sustained losses throughout the session. BTC slipped below the $35k mark, while ETH briefly touched $1,940 before making a modest recovery. This decoupling phenomenon is noteworthy, emphasizing the evolution of cryptocurrencies as a distinct asset class. The combined decline in BTC IV and spot price provided opportunistic entry points for directional plays, and the most significant trade of the day was a buyer of one week BTC call spreads. ETH IV remained flat, widening the ETH-BTC vol spread. Volumes increased following the spot sell-off and continued during a subsequent overnight rally into Wednesday. BTC and ETH both rallied significantly, threatening to take out the YTD highs. Positive spot/vol correlation remained as IV took a leg higher on the move. BTC call spreads in the Dec expiration were lifted on the rally. In the ETH front end, there were mixed flows, including buyers of the put in risk reversals as well as outright Nov calls. Tuesday’s buy-thedip activity in BTC paid off, as we saw handsome profit taking on the weekly call spreads. A notable buyer emerged in the ETH Nov 1900 puts, reeling in 20k over two days.
The rally failed to hold, and Thursday saw the markets give back all of Wednesday’s gains. IV trended lower and remains down on the week, more pronounced in the front of the curves. Options flow remained very bullish, with outright calls bought in large sizes on both BTC and ETH. BTC call spreads were rolled higher in profit-taking. BTC futures are set to record a slight decline of approximately 1%, with ETH experiencing a more substantial pullback of over 5.5%. Despite the prevailing high IV regime, the intraday fluctuations provide rationale for the observed premium. Skews continue to favor calls in both products but have shown a slight softening week on week. If the negative put skew persists as implied volatility softens, those with length should consider opportunistically hedging as we approach the year-end. It's crucial to note that any unforeseen developments on the regulatory front have the potential to trigger a significant market pullback. Taking prudent steps now to safeguard profits may prove advantageous in the weeks ahead.
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
With both BTC and ETH trading sideways through the weekend, the week began with lighter flows in comparison to previous weeks, perhaps the result of a Singapore holiday. Tuesday, however, unfolded as a busy one, marked by a significant trade of a December ratio straddle spread between BTC and ETH with paper buying 15,000 ETH Dec $2150 straddles and selling 800 BTC $37,000 straddles. This trade further contributed to the noteworthy reversion in the ETH/BTC implied volatility spread. Paper flows such as this have become more common in the past two weeks, as enthusiasm around potential spot ETF’s may have shifted toward ETH. This narrative, combined with the forced unwind of the ETH call overwriter and higher margin thresholds for options sellers, has been supportive of the ETH IV premium.
On Tuesday, the equities market experienced a lively and widespread rally following the Consumer Price Index (CPI) release. However, a noticeable contrast emerged in the cryptocurrency space, as most digital currencies sustained losses throughout the session. BTC slipped below the $35k mark, while ETH briefly touched $1,940 before making a modest recovery. This decoupling phenomenon is noteworthy, emphasizing the evolution of cryptocurrencies as a distinct asset class. The combined decline in BTC IV and spot price provided opportunistic entry points for directional plays, and the most significant trade of the day was a buyer of one week BTC call spreads. ETH IV remained flat, widening the ETH-BTC vol spread. Volumes increased following the spot sell-off and continued during a subsequent overnight rally into Wednesday. BTC and ETH both rallied significantly, threatening to take out the YTD highs. Positive spot/vol correlation remained as IV took a leg higher on the move. BTC call spreads in the Dec expiration were lifted on the rally. In the ETH front end, there were mixed flows, including buyers of the put in risk reversals as well as outright Nov calls. Tuesday’s buy-thedip activity in BTC paid off, as we saw handsome profit taking on the weekly call spreads. A notable buyer emerged in the ETH Nov 1900 puts, reeling in 20k over two days.
The rally failed to hold, and Thursday saw the markets give back all of Wednesday’s gains. IV trended lower and remains down on the week, more pronounced in the front of the curves. Options flow remained very bullish, with outright calls bought in large sizes on both BTC and ETH. BTC call spreads were rolled higher in profit-taking. BTC futures are set to record a slight decline of approximately 1%, with ETH experiencing a more substantial pullback of over 5.5%. Despite the prevailing high IV regime, the intraday fluctuations provide rationale for the observed premium. Skews continue to favor calls in both products but have shown a slight softening week on week. If the negative put skew persists as implied volatility softens, those with length should consider opportunistically hedging as we approach the year-end. It's crucial to note that any unforeseen developments on the regulatory front have the potential to trigger a significant market pullback. Taking prudent steps now to safeguard profits may prove advantageous in the weeks ahead.
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