Market Data by Premia x Marty: #1

Starting spring with something new and practical for all you, options traders, out there. Welcome to the first edition of our monthly Market Data newsletter in collaboration with Marty!

Starting spring with something new and practical for all you, options traders, out there. Welcome to the first edition of our monthly Market Data newsletter in collaboration with Marty!

This newsletter won’t go into depth about specific concepts or trading ideas. On the contrary, it aims to bring you crypto option market data in a readable fashion. The complex concepts or the language being used can be learned in the Premia Educational content (Premia Academy is coming up soon), online, or in books. Market Data by Premia x Marty is for anyone who wants to follow what is going on in the crypto vol space. We will cover things from IV/RV, correlation, and other topics.


BTC $23,350, 48.21% YTD

ETH $1,634, 36.93% YTD

NQ $11,876, 6.88% YTD

Core CPI MoM: 0.4% Est. 0.4%

Core PCE MoM: 0.6% Est. 0.4%

75,000 BTC options expired with a put-call ratio of 0.66

515,000 ETH options expired with a put-call ratio of 0.73

24hr Volume: $454,877

All time volume: $283.06m

1W: 48.59%

1M: 51.03%

3M: 52.38%

6M: 54.37%

Deribit Volatility Index: 54.64

1W: 54.14%

1M: 57.3%

3M: 58.81%

6M: 60.4%

Deribit Volatility Index: 62.5

Rolling 30 day BTC/ETH/NQ correlation

A correlation of 1 means that the two assets move in perfect sync with each other; while a correlation of -1 means they move in opposite directions. A correlation of 0 means that there is no relationship between the two assets. For now, NQ, Bitcoin and ETH are all hinged on US dollar liquidity and have similar movements. If the correlation coefficient is positive, they have been moving in the same direction, and if it’s negative, they have been moving in opposite directions. Traders and investors can use this information to make portfolio diversification decisions, but should keep in mind that correlation does not imply causation and the relationship may change over time.

Rolling 30-day Correlation between BTC, ETH and NQ

BTC, ETH and NQ Prices

BTC and ETH Prices

Daily volatility

DVOL (daily volatility) is a measure of the daily percentage change in the price of ETH, used in ETH options trading to calculate the price of options contracts. As Premia’s volume is mostly on ETH, we have decided to show the ETH DVOL chart, but may include the BTC one as well in the future. DVOL reflects the market’s expectation of volatility of ETH. Traders can use DVOL to make trading decisions, but it’s important to consider other factors that can affect the price of Crypto options contracts. The top chart shows DVOL in ETH from June 2022 through present time. The bottom chart is a zoomed version of the first chart. You can see the Vol spike in November 2022, during/after FTX Crash, and vol getting hammered lower and lower til present. Vol in crypto is hitting all time lows, begging the question… is now a good time to buy vol? Vol is still cheap, but larger vol traders are still favoring selling options, yet they are starting to nibble on upside exposure into June and the end of the year. The favorite seems to be more positive risk reversal plays, sell 1x near the money, and buy 2,3x wings.

ETH Volatlity Index (DVOL)

ETH Volatility Index (DVOL)

Implied Volatility

IV (implied volatility) is still cheap in the vol space, yet RV (realized volatility) is trading around historical median. Seems to be a good chance RV continues to climb higher. Overall crypto options seem and feel relatively/cheaply priced. IV is what the current market price of volatility is, based or “ïmplied” on the prices of options contracts. RV is a measure of the actual volatility of the asset in the past. IV is used to price options contracts, while RV is not. Traders can compare IV and RV to make trading decisions.

Volatility vs Historical Volatility for BTC

Options (gamma) walls are option positions that puts a floor or ceiling on the market, they are the strikes with the most gamma is concentrated . You may look at this chart as a visual of the real support and resistance in the market, not just TA lines on a chart. If and when the floor or ceiling is broken, you will see price spike in that direction. For now, the market feels comfortable ranging in the notable strikes until one side is broken.

BTC: 22K, 24K

ETH: 1600, 1800

BTC Gamma Exposure by Strike

ETH Gamma Exposure by Strike

Rolling gamma

Rolling gamma is a visual of the strikes with largest gamma values for calls and puts. We have started the chart from the beginning of February for the sake of the newsletter and the visual. When rolling gamma chart starts to come together and lines overlap or near, vol is on the horizon. This plays into the thesis earlier, that Vol is relatively/cheaply priced. The chart doesn’t predict which way the price will break, nor does it accurately predict which day vol will arise.

ETH Max Strike Call/Put Gamma Rolling

That is a wrap for our first newsletter!

Let’s recap:

  • Vol is very low, and feels cheap — traders are favoring long term strikes to get upside exposure

  • CPI and USA data came in hotter than expected

  • Correlation from traditional markets and crypto is lessening

  • Crypto is still out performing the stock market in terms of year to date returns.

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