Deribit Insights
@DeribitInsights
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The best resource for Crypto Derivatives trading. Telegram 24/7: Deribit is not available in the United States or other restricted countries.
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1) The Eurex Bitcoin ETN news may have accelerated the Friday buyer earlier in the day than normal, as large spot buying combined with Aug 50-52k Calls x2k frustrated MM hedging delta+vol risk.
Although the buyer has been termed the 'Friday Ape', there's more refinement involved.
120
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349
1) Massive cascading spot+futures liquidations at the weekend, coincided with only minor options closures.
Subsequent reaction in IV supports view that many large players had used derivs and Options as a prophylactic measure.
Short deltas perhaps covered.
Options flows unsettled.
95
107
148
1) A volatile Spot week (increased RV), but drifting IV highlights positioning in place ahead of the holiday season and potential ETF announcements.
Twitchyness on swift Spot declines, protection bought.
Large sale of BTC Vega to buy ETH Vega.
Requested Jan 12th Expiry listed.
1
44
97
1) An extremely rare occurrence for Bitcoin is the Event-driven trade, observed as Futures ETF deadlines approached, & then approved.
Options are a perfect tool to employ in these scenarios.
48hour volumes exceeded 4.5bn notional.
Implied Vol ranged 100%.
Let's Dive in.
🧵1/14
5
40
182
1) Santa rally fading, BTC Dec31 46k Puts bought, anecdotal rumblings of Tradfi LP allocation audits into EOY, making for a captivating finale as Dec31 Options roll and completely detach into Jan bullishness: Jan7 50-53k Call spread, Jan28 55k Calls + Jan 1x2 Call spreads bought.
7
29
186
1) Additional funds jumping into the NewYear play.
This time, refocus on BTC, as one large Fund buys a strip of Jan14 52-56k Calls x1200 around 49.5k spot, just before spike >50k.
Then Jan7 50-54k and Mar 50-70k Call spreads bought, and now just prior to exp Dec31 51k Calls x500.
5
32
180
1) Cliche, but was today the calm before the storm?
After such an active holiday season, yesterday's strong rally, vol squeeze, and exit unwind of the BTC Jun65k+Jun85k Calls; today saw a couple technical trades, but otherwise a relaxation in Spot, Vol and funding.
BTC<ETH Dvol.
2
29
92
1) When markets break it's impossible to differentiate between desired and forced Option flow.
Will avoid discussing precise forensics today as an Options trade may appear bullish/bearish when actually it's risk mitigation or taking profits.
Big picture of the last 24hours:
🧵
1
49
156
1) ETH Mar 2k-3k Call spread bought x30k.
Hated ETH rotation as BTC+loved Alts Pull-back.
ETH Dec ATM bought, and Jan+Mar 3k Calls bought x25k, pushing ETH Dvol >60%, while BTC Dec ATM sold and DVol drifts <57% as anticipation of an imminent pre-holiday BTC Spot ETF diminishes.
3
40
85
1) Speculation by a Matrixport independent analyst that the SEC may delay imminent ETF approval was circulated around news sources during a period of high leverage, funding, and positive sentiment, which some argued triggered a 10% BTC cascade.
Bullish Option positions unaltered.
3
37
98
1) As BTC <30k, fast money did what fast money does - focussed on large Jun25 expiry - panicked on shorts, closed risk, took profits.
But the real story was generated by Fund Call buying near spot support, Jul 32-40k, Aug 45-50k, Sep50-56k, in addition to large delta1 purchases.
4
30
136
1) 'Time and tide wait for no man'.
BTC Spot ETF decision approaches fast.
Call buyers skip the holiday season.
Theta related to '24 expiry Options is offset by rising demand and Implied Vol.
ETH being willed higher, and confidence increases.
Jan 2.4-2.9k Call spread bot x43.5k.
11
28
99
Welcome new writer Markus Thielen
@DeFiOnTarget
!
Recent events point to a year-end rally in stocks & crypto. Higher beta cryptos outperforming Bitcoin may signal a big rally. Check your exposure. Bitcoin tends to rally +23% pre-Christmas.
Read more ⬇
15
37
110
1) Abnormal size buying of BTC 1-2 week 45+46k Puts dominated near the US close.
~$250mn notional (~5k options) bought.
Initially, May21 46k Puts 1k blocks, smaller May28 45k Puts, then returning for more, found MM unwilling, so buyer forced to lift May21 45k Put size on screen.
6
30
114
1) Crypto Implied Vol (the cost of Options) hit a 1year low. The narrative is being driven by Defi-Option Vaults (DOVs).
Let's take a closer look into previous IV dips, what caused them, the current DOV inner workings, why this has an impact on Deribit Vols, and how to play them.
3
31
111
1) On 26th June, $1bn+ notional BTC+ETH options will expire. By far the largest expiration ever, articles and views are circulating regarding the impact this may have. Much of this interpretation of the big picture is conjecture without an appreciation for the composition.
10
26
112
1) The expectation of an ETF approval over the last month has seen IVs rise via strong buying of optionality, and then lately squeezed higher as MMs became less keen to sell.
But at the eleventh hour, the day before the ETF deadline, BTC rallied 10% and Option unwinds purged IV.
2
30
72
1) A perfect storm.
Confidence: clear signals for BTC Spot ETF, Fink flight to quality, Deribit Margin Model adjustments, and under-allocated Crypto Funds fused to ignite an explosive rally from 30k to 35k.
Risk management, forced short closure, vast profits.
The Definitive 🧵
12
42
96
Check out the
#Deribit
Option Block Tracker flows on GitHub! 🔍
Big shoutout to
@samchepal
for this insightful contribution.
Dive into the details ⬇
7
17
100
1) Pre-DOV, CPI Options market:
Focus on CPI today (+FOMC on 15th).
IV is firm, despite DOVs about to hit market.
Unwillingness to short gamma, and yet Spot market has barely moved in 2days.
Unease.
Put Skew high. 30k Support.
ETH Merge test success but no Spot follow through.
19
18
94
#Bitcoin
is overbought! Should traders take profit?
Anticipation led to a +288% surge when futures were announced in 2017.
Despite being overbought, historical trends suggest a potential +52% rise over the next 60 days.
The Bitcoin rally continues!
39
67
91
Anticipating a Bitcoin Spot ETF decision in early 2024!
🚀 Traders eye the January 12 options expiry as expectations rise for
#BTC
to break $50,000.
Market buzzing with potential swings, +/- 11% in play.
Check out article by
@10x_Research
below ⬇
2
22
54
1) GBTC selling compounded the 'Sell the news' ETF launch as Great Expectations unmet, at least not yet.
At first buyers of Jan50k, Feb+Mar 50-60k Call spreads x3k bought on initial strength & dips.
But then, buying turned to downside, with Jan 40-42k Puts swept, and rewarded.
2
32
82
1) ETH Option flows now dominating BTC.
And not just Fast money.
Action across maturities, with Deribit listing the ETH Mar22 50k Call (really!), gaining immediate buy traction.
In general, Calls rolled up to keep/add exposure; decent 2-way Put action, but few reducing upside.
5
21
93
1) Finally, after a test run the day prior, BTC Spot ETF was approved.
Expectations so telegraphed that BTC reaction was underwhelming, and all the tension wound-up in Jan12 longs dissipated, IV crushed.
Attention rotated to ETH, Spot surging, and 50k Feb Call spreads bought.
2
17
70
1) Just as Implied Vol had collapsed and Options traders metaphorically turned off their machines for the weekend, post US close, a large buyer of near-dated (July 30th+Aug 6th) 33-36k Calls x2.5k (~1k delta) lifted offers as BTC spot moved from 32.5-33.5k.
Near-term bullish bet.
3
22
89
1) BTC ETF approval discussion manifested in large Option plays.
To date, this has favored a YES vote with a BTC spot-led rally and Nov+Dec Calls +Call spreads being accumulated.
But now one large Fund chose to hedge optimism and be prepared for a NO, buying 4k Oct22 46+48k Puts.
5
18
87
📉 Worried about ETH?
🧐 Explore potential strategies in the article "Why ETH Could Drop To 1,200" on Deribit Insights.
Discover how ETH put spreads can be your guide through market turbulence. 🚀💼
2
59
77
The idea of sidechains has promised scalability, finality, privacy, and richer state to Bitcoin users. This promise largely didn't materialize. In our latest Insights report, we analyze a new custodian design that requires less trust from Bitcoin users.
1
23
83
1) After a dearth of activity, the attack on 30k BTC was the catalyst that initiated a surge in Option flow as both Shorts and new Fast money bought the July 23+30 30k Puts.
Much worry on CT however has been levelled at prints in BTC+ETH EOY 65-70% OTM Puts.
Let's delve further:
4
22
84
1) Imminent contagion eased: IV lower.
Headwinds persist: yet to see Spot relief rally.
Discrete BTC Call buyers.
Fallout uncertain: Put Skew very firm.
OTM Puts still in demand: crash protection.
Merge theme: ETH Dec 4-4.5k +Mar 5.5-6k Call spreads x60k Size, lottery payoffs.
19
15
81
#BTC
likely range-bound till year-end; no rally despite expected dovish Fed tone.
Halt in Tether minting affects bullish momentum.
Anticipating Bitcoin Spot ETF delay till March; CME Bitcoin futures premiums adjusting.
Read article from
@10x_Research
⬇
4
34
57
1) After Spot sold off 15%, the week promised volatility on GBTC-ETF wargames.
Instead, Mon-Wed Spot 3% rangebound, failed Calls sold, and ETH overwriter further crushed ETH Dvol 17%, BTC Dvol followed lower 8%.
Vol longs bled.
Until Feb Straddles lifted Thurs.
BTC tested 40k.
3
27
73
"📉 Can a 1987-style crash happen this month?
🤔 The possibility looms, raising questions about its impact on digital assets like
#Bitcoin
. Will history repeat itself or will the
#cryptocurrency
market find resilience amid volatility? 🚀
51
55
71
1) Size buying of Apr, Jun, Sep+Dec 65-75k Calls.
Possible TP and rollup from the Jun 40k Calls.
ETF Net inflows materially improve and clear Spot bid.
And with BTC Implied Vol at a discount to ETH Vol, despite where all the action remains, the Fund took the upside opportunity.
4
35
78
1) With the ETH Call seller having closed positions, the Options+Positioning dynamic is very different.
From a market where LPs were saturated with Vol and pumps were for selling, to a market where LPs strive to stay long-Vol to counter demand, and dips are for buying, Vol+Spot.
2
16
74
Despite
#Bitcoin
's +125% YtD rally, options interest lags due to low volatility.
Institutional entry may further dampen implied volatility.
Selling strangles, profitable in 2 of 9 trades, could be a final chance post-ETF approval.
Read more ⬇
3
16
74
1) A temporary delay in proceedings as BTC stalls, Vol drift, BTC Put(+spreads) bought, BTC retraces, rotation to ETH initially looks strong, ETH Overwriter non-reaction, BTC+ETH Vol dumped, focus turns away to rampant Alts, before BTC relights forcing re-engagement of BTC Calls!
1
15
68
1) Quick succession ETF managers+SEC meetings and almost immediate amendments, submitting to 'Cash create' Spot ETFs rather than 'in-kind' secures SEC demands all but guaranteeing the approval.
A raft of Dec OTM Calls were bought as BTC surged>43k as bets placed on imminent news.
1
21
63
1) Buyer of 1.5k BTC 7day 40k Puts was conspicuous at the start of a long Easter weekend when global influences are light and BTC Spot unmoved.
Several justifications - Imminent bearish, Easter liquidity concerns, Protecting long Spot, Long gamma risk-reward play...
Let's delve:
2
14
77
1) Macro news wrongfooted BTC caution; shorts scrambled to cover green candles pumping core 10%.
MMs hoovered up Call sellers (ETH 3.2k x4k, BTC Oct48-50k) -expiry related yield/profiting/anticipating retrace.
Then bullish flows dominated: BTC ~40k Puts sold, Call spreads bought.
10
17
77
1) With FOMC matching expectations, IV drifted, but it wasn't until a large seller of BTC Aug26 25k Calls hit the orderbook that damage was done.
The 25k Strike has been a focus the last two rallies, with sellers deeming it a Strike too far.
But on Friday a Buyer changed that.
11
11
76
1) Continuation accumulation of Puts (ETH Oct8 2.6-2.8k 15k+, BTC 2day 39k Puts, Oct8 42-38k Put spd, Dec 28-22k Put spd.) outweigh BTC Oct 50-60k Call buying, as US regulatory threats & US debt ceiling talks add to global concerns, driving protection & dragging down risk assets.
10
18
75
1) Bulls resolve tested: US regulatory talk and China restatements, with Evergrande in the background.
Vol reacted, surging briefly; Puts noticeably bought in BTC+ETH as downside fears swelled.
Support held+bounce. IV subsided.
Sen Toomey vocalized US opportunities.
Calls bought.
9
14
72
1) Last week's ETH July Calls worked out nicely on Merge details becoming clearer.
This particular Fund tends not to roll exact Strike exposure, and so far this is true again.
Other Merge related Option exposure has been dominated by Sep+Dec Calls (+Spreads), Straddles +CFlys.
5
15
77
1) The breach >40k did not catapult IV higher as some hoped but resulted in the opposite, as long-held 40k+42k Dec Calls crystalized exits, spot 40.7k, gifting dealers Gamma.
Exposure not rolled.
But as BTC >41k, Jan42k Call rolled to Jun60k Call and Sep40k Dec45k Dec50k bought.
4
14
76
1) Implied Vols (price of options) surge. BTC 1week >150%. Intraday swings, pain on short option trades, anticipated BTC 40k+ spike.
Elevated IV presents opps for brave.
Jan29 40k Call sold x600 at ~$5000 (138% IV).
But huge Short covering in 23-26k Calls x2k sobering reminder.
6
24
70
1) BTC 40k-30k-36k!
Jan29th 32k+36k Call Long flinched first, 15k+ unwound, profiting ~$50m.
But positivity shines bright in this man's eyes, using some proceeds to buy 10k+ Jan29th 52k-72k Calls.
Unwinds very close to 'marks', both sides axed to purge huge ATM uncertainty+risk.
7
10
67
1) An eventual 38.5k breach only met more resistance at 39k, and while Calls (+spreads) were added, exhausted Longs took advantage.
Even the Jun65k Call long (bought mid-Sep) took an opportunity to TP.
Spot/IV correlation plateau.
Narrative predictable.
Some non-consensus plays.
2
17
72
1) Reports of Behemoth Guggenheim Macro Opps fund seeking to designate $500mn, promulgated over the weekend, caught shorts +TA pullback allocators by surprise as BTC bounced 2k from lows.
The quiet wknd options market was ignited.
Dec Calls bought, funded by Puts; hedges unwound.
3
6
66
📈 Bitcoin up +8.5% this month!
Traders sensing FOMO as October's bullish trend continues. Sept breakout and Fed's pause since July add to the optimism.
And when the Bitcoin ETF gets the nod, brace for a potential 10-20% surge within hours! 🚀
3
52
61
1) NFTs soaring. Continued interest to buy ATM Options, despite Realized Vol falling. Conceivable link.
A repeat of Defi summer when ATM/Upside Call Options were bought to replace and release BTC+ETH.
But at least one large Fund has also been buying ahead of new month inflows.
4
12
66
1) A buyer of Jan21 43-46k Calls was first to act on the spot bounce after the flush of 40k held strong and rallied past 41.5k.
Then post Powell comments another buyer of Jan28 44-48k Calls x2k.
At the same time, Puts fell out of favor: ETH March downside sold.
Fear dissipated.
3
11
67
1) Tired Crypto market, driven by Macro + Pre-holiday de-risking, proving tough place to aggressively long Delta1 inventory.
But Option Flow turning Bullish.
Large Fund spends $4m on Dec 4.2+4.4k Calls,
Large Whale spends $2m on Jan 55k Calls,
Elsewhere Dec50k +Dec-Jan extending.
1
14
67
1) Large BTC Option volume day, dominated by two trades:
Buyer Apr 42-50k Call Spreads,
Buyer Apr60k, May 80k Calendar Call spread,
Structures ~x1.5k, technically bullish composition.
Vega squeeze continues with no concrete solutions to global concerns.
Fronts pause; await DOVs.
4
9
67
2) Flow continues without a doubt to be negatively biased, but Option volumes are low and while Vol moves around, it is contained.
This is a market enchanted by darkness and fear, but still a distance from the Bear hysteria cantillation, prevalent on media.
Bulls are grazing.
2
10
65
1) Huge Asia-hours led surge >60k. Funding pump.
Apr16-30 Call buying 60-66k strikes 1k+, supplemented by May 65k clips x300 just before spike.
Notable sales of Apr23/30 54k, 56k +60k Put strikes x3k confirming bullish bias, running into Gamma/hedge buyers.
Apr 50k Put stacking.
5
11
64
1) Large buyer ETH Mar18 2.2k Puts x25k+, and ongoing buyer of BTC Mar18 34-42k Strangles x1k+ lifting front-end gamma, understandable hedge/play in an uncertain world of Ukraine war, Credit tightening, Commodity price surge, and an imminent Biden Crypto Executive order. VIX>36%.
1
11
68
#Bitcoin
consolidation forecasted within 40k to 45k range.
Seasonal trends, institutional involvement contribute to potential year-end decline.
Unwinding observed in spot and TradeFi futures, not in crypto native perpetual futures market.
Read more:
1
24
59
1) Constructive upward pushes in Spot continue, tight Nov Call spreads bought, opportunities to BTD on flushes.
But some impatience on the frequency of the flushes and failure to break through resistance at 36k and 1915 leading to some unwinds of Nov+Dec Calls recently purchased.
2
10
65
1) Some impatience in the last report from Call sellers was punished as BTC surged to 38k on the back of strong Spot buying.
But an almost simultaneous registration by Blackrock of an ETH Trust caught the market offside and a huge rotation ignited.
Allocators spoilt for choice!
2
24
66
1) Evergrande contagion fears knocked all markets, pumping Crypto Vol from 2month lows and firming Put Skew as concerns linger over further downside.
But Asian markets calmed, BTC bounced 3k, S&P 100 points off lows, VIX down from 29 to 22%, suggesting primary capitulation done.
4
16
65
🍾🍾🍾The word is on the block! 🍾🍾🍾
We'll be launching Solana options and futures soon. Solana is already live on our testnet. Go visit .
#solana
3
11
65
1) With SBF, CZ, SUN ready to step in, comments that worst likely over, panic subsided, downside threats more limited, Spot recovered >20k/1.1k and upside Option plays switched from timid to committed.
Buyers July 20-25k Calls, Dec Call spreads.
But at 22k/1.2k Calls+Gamma TPd.
7
14
63
1) Finally.
Took a low liquidity wknd Spot mkt to break key 20k/1k levels, just as the Options market has been protecting against or playing for, with unprecedented Skew levels driven by Put buying.
Violent forced liqs avoided by Put owners.
Unknows.
OTM Put buying continues.
4
18
64
1) Large BTC Call sale blocks preceded the sell-off yesterday, but these & a slight Put Skew firming were only indicators of a local high, they did not signal the 20% crash that followed.
IV spiked, but orderly mkt.
Conspicuous extreme funding reset.
Option flow since indecisive.
4
12
65
1) After a turbulent start to the week on fake Walmart news, BTC spot tightened its range, and near-term theta burdened 24th Sep 50k Calls were offloaded, crushing Implied Vol to 2month lows and presenting opportunities for new upside exposure stacking of 1day-2week 48-50k Calls.
3
8
60
1) Markets awaited US inflation number.
Spot derisking continued. Extreme caution: Dec+Jan 40k Puts added.
But large Fund bought weakness too, increasing their eoy Dec 60k Call position.
CPI surge as expected; BTC squeezed >50k, then retraced, while global risk mkts held firm.
6
13
59
1) That feeling of unease, lack of keen Gamma sellers, and high Put Skew we spoke about only a few days ago, manifested itself into cascading Delta1 liquidations as CPI hit macro, and Celsius unwinds destroyed Bulls.
We don't yet see Call buyers, but we do see Put owners TPing.
5
11
63
Learning how to price Options and Delta hedge can seem like a daunting task, but if you are interested
@NaasCap
from
@laevitas1
has written an excellent article that breaks it down into something digestible.
Enjoy & share!
1
19
59
1) Combatant Call Option flow mirror opposing views near 50k resistance, with a large dump of Sep24 50k Calls as BTC fell towards 48k, offset by Sep 64k Strike funded Call, and a big Sep10 52+54k Call buyer at 47k support.
Non-aggressive Put flow suggests consolidation, not fear.
3
13
62
1) As anticipated, it took only a modest reduction in GBTC outflows (in isolation) to red-flag the bulls and force under-allocated Funds to buy Calls.
Apparent short-cover of BTC March OTM Calls followed by aggressive Feb Call buying from Funds+Fast money.
Overwriter observing.
2
20
60
1) What appears to be a huge Option unwind liquidation event created disorder on illiquid + strained BTC Option markets.
Not directly linked to Friday's Put buyer, but indirectly additive short gamma from 45-46k area + 40k area compounded lower spot BTC, forcing a nasty unwind.
5
10
60
1) 7days of BTC ETF net inflows have assisted market support in terms of buys & sentiment.
But BTC Option flow has been subdued and technical rather than directionally informative, with low RV punishing holders of optionality.
Calendar sellers of Vega.
ETH Overwriter concern.
3
38
57
1) All the market focussed on ETH as 2k touched.
BTC lagging as ETH sucks the narrative momentum post successful Goelri Merge.
No more large Call fly prints.
Call spreads continue to be bought, but less size.
Vol sellers purged IV.
Short-dated Calls bought by HNI+retail to play.
13
5
57
1) BTC Option flows far more focussed on post-halving upside than Middle-East tensions, with bullish Jun95k, Dec100k, Mar200k Calls outweighing bearish Apr 60-63k+May62-66k Puts.
ETH more worrisome: Calls sold, Jun Put spreads bought.
As Iran launched, BTC Puts TPd. ETH were not.
2
9
58
1) Extremes.
Aggressive 52k-72k Call buying continued; OI>33k.
Strike IV spiked, new levels; 52k>225%, 72k>245%.
But also crash Puts sought, Jan 20-25k Puts. 200%+ IV.
At such IV, neither perform without a massive burst move.
10%+ spot swings ubiquitous. 10d RV 125%. ATM IV>140%
3
9
58
1) Challenge: add exposure before BTC Spot ETF approval or wait for unloading of bankruptcy/seized coins.
Market dynamics weighted to the former, or at least via Options, as Nov 32-36k Call spread, Dec 32-36k Calls+ Jun OTMs were lifted x5k+.
Spot surged, shorts liqd. Vol pumped.
8
22
52
1) Soros allocation, ETF speculation powering upward momentum.
Continued accumulation of Calls + Call Spreads across maturities, heavy focus ATM Oct22nd (first week ETF deadlines) +Nov 70k+80k strikes.
Some profit-taking and rolling up of Strike exposure in Oct 15+29th expiries.
1
12
54
1) BTC Options dominating ETH, as macro considerations, rumors of Russian reallocation lead momentum, forcing BTC >45k, note Call Strike discussed last thread. No indication of Option unwind.
Despite the trace to 43k, Option flow bullish: Apr 60k Calls + Jun 45-60k Call spread.
4
8
55
1) US/Asia time zone, ETH breaks >4k and observe further accumulation of ETH Dec31 4.2+4.4k Calls - another ~18k to the ~32k bought 2days ago.
Narrative clear: Santa rally & Pre-2022 Cap inflow.
Dec31 choice fighting theta decay. Must break strikes.
Sale of 5k later in session.
2
11
53
1) Despite dangers, Crypto Option fear factors are restrained:
IVs in 60/70s (BTC/ETH)
IV<RV,
Skew elevated, not extreme.
Flow almost exclusively wary Fund restructuring +Fast money. Low volumes. 'Meh'.
DOVs impact, but an abnormal incident lets us delve.
Let's talk about MMs.
2
15
51
1) Implied volatility measures the price of an option but neglects detail on theta decay.
In short-term options, theta is a mammoth factor; buying options must be done with conviction.
Funds temper theta by choosing longer tenors and creating structures eg recent CME Call spreads
1
12
56
1) Fed hike expected. Ukraine desensitization.
Safe(r) place. IV Crush Crypto + VIX.
ETH Mar25 3k Calls disciplined theta dump x17.5k.
But strong interest being accumulated in BTC upside, Mar 42-45k, Apr1 42k+, Apr29 50k, buying on screens; Apr+Jun 42/45-50k Call spreads in play.
1
10
54
Why do calendar spreads look attractive now? 🤔
Enjoy this insightful article by Markus Thielen.
Read more ⬇️
0
17
50
1) Option flows supporting the BTC/ETH 'rotation'.
ETH May 2.6-3k Strike Calls bought (bullish bias), but on the approach to BTC 53.5k support, observe May7 60+62k Strike Calls sold x500 and May28 50k Strike Put x400 bought (protective/bearish bias).
BTC diffident.
ETH robust.
3
5
52
1) Deribit executed its largest block trade. Yet despite the size, the forensics are like 'picking bits of pollen off a mouse's handkerchief'.
What we know:
Entity requests high strikes. Has form buying OTM Calls size.
Jan 32k Call x4k
Jan 36k Call x16k
Now down the rabbit hole..
7
8
52
Impending squeeze looms from key macro shifts: lower CPI, likely peak in rates, potential
#Bitcoin
ETF, Santa Claus rally, and Fed pause.
$3B via
#Tether
and
@BlackRock
's
#Ethereum
#ETF
indicate golden times for crypto hedge funds. 🚀
Read more⬇
4
13
51
1) Normally write when Options active, but tape bereft of large trades, yet market sentiment (distinctly BTC) extreme negative and FUD rife.
Skew (extreme high) confirms.
But Implied Vol apathetic, <RV & barely reacting to FUD.
Interpretation: Protection on, concern, no panic.
3
9
52
1) Increased Jan 10th deadline approval odds have not surprisingly pushed BTC+ETH to challenge year highs.
Option market 'Call'ed this for some time, but resistance at 38.5k/2.1k frustrating what has been an obvious long upside trade.
IV drift. Call spreads favored + employed.
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1) Quarterly option expiry closures aside (27/3 7k+7.5k calls x1000 net), the main volumes traded today in the $BTC options market again related to downside plays - two different techniques being employed to accumulate puts.
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1) Interestingly, a Spot market under pressure from US risk asset narrative, BTC drag, plus large ETH wallets unloading, was met with underwhelming Spot IV moves, contango term-structure, benign Skew moves, and significantly +ve interest to buy upside Calls and profit from Puts.
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1) BTC surge to 10.4k, Call short-cover, covered Calls rolled, gamma demand, near term Jun exp IV pump, 1k+ Sep 12k Calls sold crushing Sep IV, Sep+Dec collars bought for puts, 12hrs tight range, 1000+ point plunge, IVs pump, calls bought; cautious vol sales.
24hours in options.
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In
@DeribitInsights
this week,
@zhusu
is introducing the reader to basic options strategies, their mechanics, and when you might want to consider them as part of your toolkit.
As the markets continue to be volatile, opportunities proliferate.
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1) It wasn't until BTC eyed 20k that the holder of Jan 18k Calls started to take profits. Others followed.
Profits rolled up, exposure maintained and new capital employed.
Jan 21k, Feb 22k-24k x5k+ outright+funded by OTM March Calls.
No wknd Theta decay as Gamma IV squeezed 20%+.
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1) Large buyers of BTC OTM Calls conspicuous with BTC spot rangebound. Calls:Put volume 3:1, bullish bias, Asian hours.
Scattered across short-dated maturities: July10th 9750+10k, July 17th 10.5k+11k, July31 11k+14k, small premium, originator size >2.5k. Vols firm, Call skew bid.
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1) Merge narrative = crowded positions:
Long ETH/BTC, Long SpotETH/ShortETHFuture, Long ETH vol, short BTC.
These can rupture.
With BTC dismissed, a buyer during Asian hours squeezed shorts >20.5k.
During OpEx aggressive Sep 23k Call buyers assisted.
Then Sep24k, Jun40k+ Calls.
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