Monday Alpha #6

Vol news, charts and thoughts on DeFi options trading in our Monday Alpha by Premia x Marty!

Thank you all for your continued support of the Premia x Marty newsletter. We're thrilled to announce that both viewership and email subscriptions are on the rise!

As a token of our appreciation, we're nearing the launch of the first segment of the Marty Masterclass on Premia Academy. Rest assured pimps, the course will be free of charge, as we believe knowledge should be accessible to everyone.

This bi-weekly Monday Alpha serves as a quicker read than our monthly Market Data Newsletter.

Once the new classes are out, we will be adding new content to the newsletters. This may include 25 Delta Skews and Spot - Vol correlation to name some.

Please note that Premia does not provide 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.

TLDR: Since Two Thursdays ago, Vol and Price Stuck in Neutral


1W: 30.96%

1M: 31.47%

3M: 40.25%

6M: 45.10%

Index Price: $25,927

DVOL: 36.02


1W: 30.06%

1M: 30.46%

3M: 35.07%

6M: 40.05%

Index Price: $1636.85

DVOL: 39.71

Worth noting that ETH DVOL is above BTC’s.

Things To Pay Attention To

Thursday, August 31

  • 8:30 AM EST - Core PCE

Friday, September 1

  • 8:30 AM EST - USA NFP, and Unemployment Rate

September 9-10

  • G20 Meetings

September 13

  • 8:30AM EST - USA CPI

BTC and ETH Prices

BTC, ETH, NQ, and Gold Prices

30 day correlation BTC-NQ, ETH-NQ, Gold-BTC, BTC-ETH

As you guys know, Marty was short volatility all year, and very public about it.

We are still in the game so to speak, but we have been focusing our time elsewhere as the crypto landscape is dull and boring. This was an amazing run, and maybe we even come back to sell more vol if it's enticing to do so.

Let's recap the last couple weeks; August 17th you had price slump a few thousand dollars in BTC, and a few hundred in ETH.

Since, we have been nothing but range bound in price. On this day, the vol market got ran through. What happened Marty? BTC DVOL spiked from 30 to 50 handle in a few hours, Spot - Futures spreads on various exchanges went NEGATIVE, we are told that various sized funds blew up, and after all of this… volatility sold off again and now we rest at a 40 handle. This spot/futures spread was a few thousand dollar difference and was an amazing arb opportunity, congrats to those who caught it!

When vol is so compressed, and everyone is crammed into a short vol trade, it only takes a small quick spike to force people to cover, or to get liquidated if they are over leveraged. Recently, we saw this happen with the XRP news and the previous selloff mentioned above.

With that being said, the vol market isn't completely dead, it's still very active as we are currently rangebound in price. There is still a huge amount of people selling vol, and these long dated call and spread buyers with hopium of a Spot ETF Approval.

For now we range low 25k to high 26k’s until further notice. Still, no catalyst to bring vol back, we await the pass of time or a black swan. I’m currently looking for people to start front running the halving at some point.

Largest ETH and BTC trades, provided by GreeksLive

As always, we're tuned into the Greeks Live institutional flows, and this week has some particularly intriguing ones that deserve a broad overview rather than focusing solely on a single strategy.

The top two trade blocks on our radar are both sold positions, essentially sellers of what are known as "Doomsday puts." Marty is a big fan of this strategy. While we can't be certain about the timing, it's likely these positions were sold as volatility spiked and prices began to rebound. This allowed the seller to unload these options at a higher implied volatility, translating to a higher price. The notional value of these trades is significant. We don't have visibility into their entire book, but so far, this has been a masterful trade. The first part was cashed on August 25th, and we're eagerly waiting to see how the next leg unfolds in September.

Third and fourth on our list is a classic short strangle, involving the sale of both a put and a call option. This is an amazing strategy when executed with proper hedging. The activity reflected in the accompanying chart underscores that traders, including those dealing in large sizes, are still willing to sell volatility, particularly on the downside.

BTC ATM Implied Volatility

ETH ATM Implied Volatility

Vol vs Historical Vol for BTC

Vol vs Historical Vol for ETH

I’ve decided to show the 2 week ATM IV and the 1 week HV vs IV for this newsletter, because as we all know if we zoom out, vols are just down and to the right. Both versions of charts clearly show the ramp up in vols from the other day, and a clear sell off post ramp.

We are still in this low/muted vol regime, with occasional spikes and continuous washouts of people and funds on these vol spikes, just to see a vol crush right after.

What stands out as particularly noteworthy is the Ethereum (ETH) HV vs. IV chart at the bottom. For the first time in a while, ETH's Historical Volatility has crossed above its Implied Volatility. This crossover could have a range of implications. It might indicate that past price movements are now more volatile than what current options prices are suggesting, a dynamic that could create opportunities for traders.

This is especially intriguing given that ETH's Daily Volatility (DVOL) is currently outpacing BTC's, which is rare in the crypto market unless there is some ETH only event. Keep this on your radar as it might offer some actionable trading insights.

BTC Gamma Exposure by Strike

Areas of interest:

  • 26000

  • Upside buying

ETH Gamma Exposure by Strike

Areas of Interest:

  • 1600

  • 1700

  • 1900

In both BTC and ETH, the trading landscape shows similar characteristics: significant Gamma exposure on the downside concentrated at specific strikes, while upside exposure is dispersed across a range of strikes. This pattern is driven by long call and spread buyers, many of whom are betting on the approval of a spot ETF.

However, I've maintained this stance before and reiterate it now: I don't foresee a spot ETF getting the green light until there are definitive crypto regulations in place in the U.S. Yes, futures ETFs have been approved, but it's crucial to remember these are cash-settled and don't involve the transfer of actual coins. In a market where a spot ETF could potentially manipulate price, the U.S. is understandably cautious, especially given the ongoing initiatives like Operation Choke Point 7.0 or whatever iteration they are on. Frankly, it would be quite a turn of events if the pressure for spot ETFs forces U.S. regulators to expedite the codification of new crypto laws.

Thoughts from Marty

The low muted vol regime is still here to stay it seems, we have had all of the news we could possibly want to bring vol back... and… nothing.

Some Decks have been circulating around highlighting that they need to raise money now to build and catch the mid summer 2024 Bull run. My initial reaction is “ya ok, good luck pimps, everyone and their mother thinks this.” My views as a trader can change at anytime, and that is OK. We are here to make monies, not to sit on an ideology and lose.

Looking ahead, next year promises to be eventful with the Bitcoin halving and the U.S. presidential election on the horizon. While it's unlikely that markets will crash leading into an election, there are lingering concerns. Notably, inflation remains persistent, and Jerome Powell's recent remarks at the Jackson Hole symposium offered little in the way of optimism. The Federal Reserve's goal is to achieve a 2% inflation rate, and they're prepared to use “all of their tools” to reach that objective.

The 'up-only' market narrative generally relies on low interest rates and easily accessible capital. Currently, those conditions are absent, and I'm skeptical that we'll see such an environment by mid-2024. This is a developing thesis, and one that we'll certainly revisit and analyze in future write ups.


  • Concentrated Gamma on downside, with call spreads to the upside

  • ETH HV is above IV

  • Traders still favoring selling vol, especially to the downside, while nibbling longer dated calls and spreads

  • Low muted vol persists

Join the conversation

or to participate.