Monday Alpha #7
Vol news, charts and thoughts on DeFi options trading in our Monday Alpha by Premia x Marty!
Due to scheduling and the calendar, this is the third consecutive Monday for Marty's newsletter. Please note that there will be no article next week. The next edition is scheduled for release on September 25th. Today's article is designed to be a quick read to start your week.
We're excited to announce the release of our new options course, which features the highly anticipated Marty Masterclass in the Premia Academy. Best of all, the entire course is available at no cost to you. This is an invaluable opportunity to deepen your understanding of options trading from an expert perspective.
Let's get into it.
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.
BTC ATM IV
Index Price: $25619
ETH ATM IV
Index Price: $1585
Worth noting that ETH front end picked up.
Things To Pay Attention To
Wednesday, September 13
8:30 AM EST - US CPI
Thursday, September 14
8:30 AM EST - US PPI & Unemployment
Wednesday, September 20
2:00 PM EST - FOMC
BTC and ETH Prices
BTC, ETH, NQ, and Gold Prices
BTC, ETH, and Gold vs NQ Rolling 30-day Correlation
Bitcoin and Ethereum have displayed range-bound price behavior, with overall reduced market volatility for these cryptocurrencies.
Front end vol is picking up today as price is down, but overall the vol regime has not changed. Additionally, BTC and ETH correlation with traditional assets such as the Nasdaq 100 (NQ) and Gold appears to be softening.
Plays from Greekslive Marketplace this Monday morning
Sold calls into October for some of the the larger players in the crypto options space. Several interpretations can be made based on this activity.
Selling calls is often a sign of a bearish outlook on the asset. The seller might expect Bitcoin to stay below the strike prices, enabling them to retain the premium.
Additionally, if the seller owns Bitcoin, this could act as a hedging or yield generating strategy, though it's essential to note that without visibility into the complete portfolio, this is speculative.
The timing of this activity around ETF news is implying these market participants are not anticipating a favorable impact on Bitcoin prices in the time being. It's worth mentioning that Number 1 is outright call selling while numbers 3-5 are all sold call spreads.
Although the spread is tight on the spreads, these trades still cashed.
BTC DVOL and Options Volume
ETH DVOL and Options Volume
As we await the potential approval of a Bitcoin spot ETF, it's important to note a recurring trend: DVOL for BTC and ETH consistently gets hammered down after spikes.
Currently, these assets are largely reacting only to crypto-specific news, unaffected by broader global macroeconomic factors.
Charts from VeloData: https://velodata.app/
BTC IV vs HV
ETH IV vs HV
As anticipation builds in the Crypto markets around a ETF approval, it's worth highlighting that the volatility regime has not yet shifted significantly — vols are still muted.
Interestingly, Implied Volatility and Historical Volatility briefly cross over each other for a day or two before reverting back to their usual patterns. While not a major development, this temporary crossover could be an indicator to watch closely.
BTC Gamma Exposure by Strike
ETH Gamma Exposure by Strike
Gamma exposure currently reveals a duality in strategies.
Downside protection and optimistic positioning for potential upside, likely due to anticipation of a Spot ETF approval. We've highlighted this call and call spread buying in previous newsletters.
While hopes are pinned on price gains following the ETF decision, the downside protection is proving useful as prices begin to decline.
Thoughts by Marty
The options market is currently a mixed picture, raising questions about its preparedness for a potential Spot ETF approval.
Downside protection is being bought as prices finds a floor, calls are being sold in the short term, and yet longer dated optimistic call and call spread buying persists. The volume of upside buying is significant but not overwhelming, suggesting either underpricing or indifference towards the ETF outcome.
As we enter Q4, approaching the BTC halving and possible ETF approval, a cautious stance is advisable. We're currently not selling vol as the upcoming events could bring vol back quickly and we do not want to be steamrolled. Though we are done selling vol, that doesn't mean that this muted vol regime can't stay muted longer than most can stay solvent.
To wrap up this newsletter, the Marty Masterclass #2 and 3 will be released shortly and the newsletters will begin to cover some new material including various new charts and breakdowns. We want to thank you for being a reader of the Premia x Marty newsletters!
Areas of Interest:
Sold calls and call spreads favorable play amongst larger players
HV & IV in both BTC and ETH crossing constantly
Downside protection being bought
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