Option Flow: 100k Call Surge

In this week’s edition of Option Flows, Tony Stewart is commenting on the recent market movements.

BTC Put Skew remains elevated on account of enduring Dec 85+80k Put caution. But recently, despite sentiment, Xmas 100k+ target has grown in appetite via additional purchases of Dec 100k+ Call spreads, adding to last report’s colossal Dec26 100k+ Call Condor play. FED awaits.

The last couple of days have seen further buying of 100k+ plays adding to the Dec26 100-106-112-118k CC;

• Dec26 100-106-112 ladder.
• Dec26 102-115k Call spread
• Dec26 100-106k Call spread
• Dec12 110k Call
• Dec26 100-115k Call spread
• Dec26 106-120k Call spread

Adding Open Interest.

This places the 100k Calls OI as dominant, towering over the Dec 80+85k Puts that were the main focus as BTC broke 100k and plummeted to test 80k.

On the bounce at the end of Nov, the Condors were bought; and over last weekend the Dec Call spreads were added (a spend of $2m).

Honing in on the Dec26 maturity, where the Size is trading and being positioned, the Put Skew remains positive for the Puts, well above neutral.

ie 50delta 44.5% IV, 20 delta put 51%, 20 delta call 43.5%.

With Calls trading below ATM, this has presented upside opportunities.

Term-structure shows demand for front-end Gamma ahead of the FED, JPows last meeting and FED AMA.

The blip on the far left is the Dec12 Friday weekly expiry on ETH+BTC, indicating this is FED/week specific across both assets.

Today’s sharp Spot move higher in BTC+ETH probably caught a few napping, many having flattened up positions pre-Fed.

IV had just started to soften, as long optionality looked to offload on an expected quiet day (7d RV falling below IV) and possible sell-vol news after the Fed.

One fund took the opportunity to hedge/play a retrace by buying the Dec13 90-98k RR (buying the Put) just as Spot hit 94k.

Despite Spot mid-point of the strategy, this cost 200k premium for the 1k options traded due to the existing elevated Put Skew forcing a premium.

Another took advantage of the elevated Dec12 maturity and rolled to Dec19, still of course benefiting from FED volatility, but extending the capture period out a week to a cheaper IV cost.

This is a common strategy to exploit targeted limited-day plays that distort curves.

See original post on X here.

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