Monday Alpha #21

TL;DR: The Voltards have brought upon us a VOLmageddon... Time to pay attention.

Monday Alpha

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TL;DR: VOLmageddon

GM GM fellow newsletter enjoyers! I am going to keep this one a little snappy with a lot of visual information. Note that I wrote this on Sunday June 30th, so things may have changed slightly data-wise, but the idea and stance remains the same.

Our industry is under attack… The Voltards have sold all the vol and brought upon us a VOLmageddon… this will change. Let’s get into this week's newsletter.


  • 1W: 38.57%

  • 1M: 43.06%

  • 3M: 51.39%

  • 6M: 59.40%

  • Index Price: $61,600

  • DVOL: 44.66

  • HV: 35.10%


  • 1W: 49.71%

  • 1M: 54.79%

  • 3M: 62.07%

  • 6M: 69.02%

  • Index Price: $3,380

  • DVOL: 63.06

  • HV: 56.76%

Notice ETH vols still trading higher than BTC.

Options vs Futures

credits to Laevitas

The crypto options space has tons to grow. Currently, options are only 1-3% of daily derivs volume in the crypto space… this is minimal. Perps are king of crypto, and we can see here that the weekends are overall low volume.

I would like to see options be a way larger part of total derivatives volume at some point in the near future, and uptick from there as more product offerings become available, institutions slang more vol, and retail interest/mindshare picks up.

For more discussion on perps vs options, check out our Short Story.

Weekly Insights from GreeksLive

An interesting week with this weeks flows from GreeksLive. A lot of put sales, which normally signals a bottom. Across the whole options space the last month or so, people have been lifting September/December calls in both ETH and BTC, signaling a bullish stance into end of year. I think this overall stands with my whole view of all markets into EOY with US elections and the ETH ETF… we will get into more with Marty's Thoughts.

BTC & ETH ATM Implied Volatility

6-month window

6-month window

2-week window

2-week window

Let's cover the top 4 charts. They all show the same thing, just on different time frames.

Both 6 month and 2 week windows show that vols have been drifting lower… and lower… and more sideways… and then some more down again. Same cycle happens every time, vols climb into an event and then get crushed after. Also should note that summer has always been a low vol time period with the suits vacationing in the Hamptons being a joke I always make. This feels like the time to start nibbling longer dated stuff, just in case we pop up.

BTC, ETH, and Gold vs NQ

I just wanted to quickly bring back the correlation chart to highlight the absolute carnage from crypto majors vs NQ. When there is a huge non-correlation happening, it’s time to pay attention.

BTC & ETH Gamma Exposure

Areas of interest:

  • BTC: 60k, 90k

  • ETH: 4000, 5000

Bringing back the Gamma charts, we can see a cluster of activity at the strikes above, indicating that the upside is the main attraction for both BTC and ETH. This suggests that traders are positioning for potential price increases. I've explained how these charts work many times in the past, so for a detailed explanation, refer to some of the first newsletters where I go into it in depth. The current focus is clearly on higher prices overall, highlighting a bullish sentiment in the market.

Marty's Thoughts: Talking Volatility

I wanted to include the 2 IV vs HV charts with Marty's Thoughts this time around. Vol is absolutely hammered and it’s time to pay attention.

Let’s get to it — vol is mean-reverting asset.

That being said. Vol can go lower and lower… Long time readers will remember "Bottomless" from last year. I don't bullieve in chasing anything, so if you are now trying to start selling vol, it’s probably a loosing endeavor for you, and as Loris said, it works until it doesn't — then you get your face ripped off. Long dated stuff looks WAY more attractive if we think ETF will go well, and risk assets are up into end year with US elections and things.

Some things to note:

  • I’m not talking price, nor direction.

  • Long dated options can be expensive.

  • Traders could consider looking for positions they can put on for net zero or low cost.

Mostly, I would be looking at strategies such as selling puts to buy calls, buying call spreads for a small debit, or implementing 1x2 spreads for a small credit. These types of plays are particularly appealing as we head into the end of 2024, given the current market conditions and volatility trends. Such strategies allow for cost-effective positioning with favorable risk-reward profiles, making them ideal for capturing potential upside.



  • IV's drifting lower/sideways, but Vol is mean-reverting

  • Options total % of derivatives should increase with time

Areas of interest:

  • BTC: 60k, 90k

  • ETH: 4000, 5000

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