Market Data by Premia x Marty: #3

Welcome to the third edition of the Market Data by Premia x Marty newsletter, where we go deeper into the fascinating world of digital assets and crypto options!

Welcome to the third edition of the Market Data by Premia x Marty newsletter, where we go deeper into the fascinating world of digital assets and crypto options!

We are truly grateful for the overwhelmingly positive response we have received so far. We have taken your invaluable feedback to heart and have added various recommendations from our readers to this one. In this edition, we aim to provide a more comprehensive analysis of our charts, equipping you with the knowledge to navigate the market indicators with confidence.

As the cryptocurrency markets continue to evolve, we recognize the importance of understanding the nuances and intricacies of trading strategies, particularly when it comes to crypto options. In this issue, we will not only clarify the key aspects of chart interpretation but also explore how to harness the power of these visual representations of data.

Please note, Premia does not provide any investment advice and nothing herein should be construed as such. Anyone considering trading or holding derivatives or crypto assets should be aware that the risk of loss can be very high, and it is upon each individual to seek advice from an appropriate professional advisor.


  • BTC $29,255 (76.98% YTD)

  • ETH $1903 (59.25 YTD)

  • NQ $13,325 (19.76% YTD)

  • SPX $4169.49 (8.21% YTD)

  • CPI YoY: 5.0, Est. 5.1%

  • CPI Core MoM: 0.4%, Est. 0.4%

All-time volume: $322.28M

  • 1W: 47.28%

  • 1M: 49.76%

  • 3M: 50.83%

  • 6M: 53.77%

  • Deribit Volatility Index: 53.19

  • 1W: 46.8%

  • 1M: 48.79%

  • 3M: 51.43%

  • 6M: 55.25%

  • Deribit Volatility Index: 52.42

Let’s talk about the efiriums

Before we continue with our scheduled market update, we have to mention that the Ethereum network recently underwent the Shanghai Capella upgrade, also known as the “Chappelle upgrade,” a significant development since the Merge in September 2022.

This upgrade primarily enables ETH withdrawals from the deposit contract, a long-awaited feature since the inception of the Proof-of-Stake-based Beacon Chain in December 2020. Validator participants, who initially staked 32 ETH or more, now have access to their staked tokens due to the successful implementation of EIP-4895.

Shapella’s mainnet release transpired on April 12 at epoch 194048, amidst uncertainty about ETH’s price trajectory, ETH’s price has experienced an uptrend, and volatility has subsided post-upgrade. (we will see this in the DVOL section later in the newsletter)

In addition to EIP-4895, Shapella encompasses a myriad of other proposals aimed at enhancing the Ethereum network. These include EIP-3651, which lowers gas costs associated with Maximal Extractable Value payments for developers accessing their COINBASE address; EIP-3855, targeting a reduction in overall gas expenses; and EIP-3860, which caps developer gas costs in specific cases. Collectively, these improvements strive to alleviate gas fee burdens during periods of heightened activity, further bolstering the Ethereum ecosystem.

Despite initial uncertainty, ETH’s price has risen, and its daily volatility has diminished, reflecting increased market confidence in the aftermath of the upgrade. Investors, traders, and developers alike can now reap the benefits of an enhanced Ethereum network, as it continues to evolve and mature.

BTC and ETH Prices

A snapshot of current market pricing between BTC, ETH, NQ and GOLD

Market Update

Since our previous newsletter, asset prices across the board have witnessed an upswing, reflecting a favourable market environment with markets projecting the Federal Reserve to cut interest rates in the future. However, even with volatility falling off a cliff, cryptocurrencies have displayed remarkable growth compared to traditional markets, demonstrating their resilience and growing acceptance as alternative investment vehicles.

As a personal note… Even with the Cryptocurrency space being in a grey area between being a Security or Commodities, and with more and more limitations and access to traditional banking… I tend to believe that Crypto is the last “free” market. Meaning, cryptocurrencies provide a decentralized, transparent, and globally accessible platform, where market forces operate with minimal interference from central authorities or institutions. This unparalleled autonomy empowers participants to engage in transactions, bypassing traditional intermediaries and fostering a dynamic ecosystem characterized by innovation and opportunity.

30-Day Rolling Correlation

Rolling 30-day Correlation between BTC, ETH, and Gold vs. NQ

The 30-day rolling correlation chart serves as a sophisticated tool to evaluate the dynamic relations between the daily price fluctuations of Bitcoin, Ethereum, Gold, and the Nasdaq 100 Index. Each data point on the chart encapsulates the correlation coefficient over a rolling 30-day period, progressing one day at a time. This analytical approach elucidates the temporal intricacies of asset relationships, empowering advanced investors to make well-informed decisions.

For example, a pronounced positive correlation between Bitcoin and Ethereum signifies a propensity for their values to rise or fall concurrently.

Comprehending these correlation nuances allows astute investors to optimize their portfolios by incorporating assets with low or negative correlations, consequently reducing overall risk exposure. However, it is vital to recognise that historical correlations may not persist indefinitely, necessitating ongoing monitoring and adaptation of investment strategies.

Largest ETH Trades

Largest ETH Trades by Trade Type

We try to give a new visual in every Newsletter. Last Newsletter our “Rolling Gamma” chart went viral in the vol traders world. We had individuals to firms reach out to us letting us know that they enjoyed the new content and thought that it was presented well.

We are gifting our readers with the chart above in our third newsletter — The ETH trades by type including passive/aggressor trades!

The chart offers an in-depth representation of Ethereum (ETH) options, breaking them down by type, specifically calls and puts and if they are passive/aggressor trades. It also delivers a comprehensive snapshot of the Ethereum options market, enabling market participants to discern the overarching sentiment within the current cryptocurrency options space.

You can see a rapid and precise evaluation of the equilibrium between bullish and bearish sentiments, as well as the liquidity dynamics, as reflected by the relationship between market passive and aggressor orders which is advantageous for several reasons:

  • First of all, it empowers traders and investors to see into the prevailing market sentiment, as call options generally signify optimistic expectations, whereas put options imply pessimistic prospects.

  • Secondly, the chart sheds light on the liquidity mechanics in the Ethereum options market, as the separation between between supply and demand forces.

Market participants can harness this chart to refine their trading and investment tactics. By pinpointing sentiment in the Ethereum options market, they can tailor their strategies accordingly, which may involve pursuing long or short positions, fine-tuning their risk exposure, or exploiting arbitrage possibilities.

Moreover, by scrutinizing the interaction and differences between market passives and aggressors, users can appraise the liquidity landscape of the market, which can influence the feasibility of entering and exiting positions, as well as the price stability of the underlying instrument.

Rolling Gamma

ETH Max Strike Call/Put Gamma Rolling

This advanced charting tool offers valuable insights for traders seeking to optimize their strategies and risk management in the options market. The rolling gamma chart can be a sentiment tool, as it shows which side/sides are more aggressive.

Traders can utilize a rolling gamma option chart to identify crucial gamma levels, which reveal strike prices with high gamma concentrations. These levels can indicate support and resistance zones, as well as potential volatility. By anticipating periods of increased volatility, traders can make informed decisions based on market participants’ position adjustments.

Additionally, rolling gamma option charts empower traders to adapt their strategies in response to high gamma concentrations, allowing them to capitalize on potential price movements. The chart’s insights can also help traders manage risk more effectively by identifying areas with high gamma concentrations. Armed with this information, they can adjust their positions or hedge exposure to minimize potential losses and seize opportunities in the options market.

Gamma Exposure

BTC Gamma Exposure by Strike

ETH Gamma Exposure by strike

Gamma walls, in the context of option positions, act as a floor or ceiling in the market, representing the strike prices where gamma concentration is the highest. A gamma exposure chart offers a visual depiction of gamma concentration across various strike prices, providing valuable insights for traders.

Traders can leverage these charts to pinpoint potential gamma squeeze opportunities and evaluate the possible consequences of such a squeeze on the underlying asset’s price. Understanding the mechanics of a gamma squeeze is crucial for advanced trading strategies.

The gamma squeeze phenomenon can be summarized as follows:

  • Initially, a significant volume of call options is acquired at a particular strike price, leading to a concentration of gamma, which market makers are short

  • As the underlying asset’s price gravitates toward the strike price, market makers and other trading participants are compelled to hedge their positions by purchasing more of the underlying asset (short options, long spot)

  • This additional buying pressure can propel the underlying asset’s price further upward, subsequently causing an increase in both the delta and gamma of the options

  • The ongoing cycle of acquiring the underlying asset for hedging purposes can culminate in a gamma squeeze, which manifests as a swift and considerable rise in the asset’s price

By thoroughly analyzing gamma exposure charts and understanding the dynamics of gamma squeezes, traders can develop advanced strategies to exploit potential opportunities and manage risk in the options market.

Implied Volatility vs Historical Volatility

Volatility vs Historical Volatility for BTC

Volatility vs Historical Volatility for ETH

In this edition, we present an intricate visual graph spanning the month of April, illustrating the relationship between implied volatility (IV) and historical volatility for BTC and ETH. This graph serves as an invaluable tool for investors seeking to understand the nuances of market volatility and to optimize their trading strategies accordingly.

The chart compares IV, which reflects the market’s expectation of future price fluctuations, with historical volatility, a measure of an asset’s actual price movements in the past. By analyzing these two metrics in tandem, traders can find instances where options may be overpriced or underpriced, and recognize prevailing market volatility trends.

Lastly, the graph empowers investors to strategically time their trades during high or low-volatility regimes. Currently, the chart exhibits low volatility, presenting distinct opportunities for options traders. In low-volatility environments, options premiums are comparatively lower due to diminished expectations of substantial price swings. In situations where market volatility is low, investors have the opportunity to look for strategies such as calendar spreads or iron condors.

These particular strategies are designed to capitalize on the stability of asset prices while also taking advantage of the slow, consistent depreciation of an option’s time value over its lifespan. Alternatively, low volatility regimes may present opportunities to purchase options in anticipation of potential spikes in volatility, allowing traders to profit from the subsequent increase in premiums.

BTC and ETH Volatility

BTC Volatility Index (DVOL)

ETH Volatility Index (EVOL)

Wyd if ETH goes to a 20vol product? Short answer… not trading it.

The charts above illustrate the daily volatility (DVOL) of ETH and BTC over a the last month of April, showcasing the intricacies of these assets’ price fluctuations. By visualizing DVOL, this graph provides an invaluable tool for investors seeking to comprehend the historical price variation patterns of these prominent cryptocurrencies.

DVOL, a measure of an asset’s price fluctuations within a specific time frame, is crucial in understanding the inherent risks associated with these digital assets. A higher DVOL implies a more substantial price swing, whereas a lower DVOL indicates relatively stable prices. As an astute investor, one can utilize this graph to identify distinct volatility regimes, which can be invaluable for devising optimal trading strategies, particularly when trading options.

In periods of low volatility, options premiums tend to be comparatively lower due to the diminished likelihood of substantial price movements. In such scenarios, investors might consider implementing strategies such as calendar spreads or iron condors, which capitalize on stable prices and the gradual decay of options’ time value. Additionally, low volatility regimes can present opportunities to purchase options, anticipating potential spikes in volatility and subsequently profiting from the increased premiums.

Conversely, during high volatility regimes, options premiums are generally elevated, reflecting the heightened probability of substantial price fluctuations. In these circumstances, investors could employ strategies such as covered calls or cash-secured puts to generate income from the heightened premiums. Furthermore, advanced investors might consider straddles or strangles, which enable profiting from significant price movements in either direction.

The ETH and BTC DVOL charts serve as an instrument for discerning historical price variation patterns, thereby equipping investors with the knowledge necessary to capitalize on various volatility regimes. By using specific options strategies, a trader can proficiently navigate both low and high-volatility environments, optimizing returns while mitigating risk.

That finishes up our third newsletter, thank you for reading and let us know if you would like to see something new next time!

Let’s Recap:

  • VOL fell off a cliff post ETH upgrade, while VOL has been “cheap”, it can always go lower

  • Areas of interest from our gamma chart BTC: $30,000 and ETH: $1800-$2000

  • Crypto is still greatly outperforming traditional market indices year-to-date

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