In this week’s edition of Option Flows, Tony Stewart is commenting on the recent market movements.
Pre-weekend (BTC 76.5k) saw clips of Nov ITM 68-75k Calls being sold on DSOB, ~2.5k notional; large delta. Later came TP blocks of ~2k Nov29 75-78k Calls.
But then BTC surged on Sat/Sun>80k.
This time, exposure rolled up: Nov29 80k to 1.5x 84k, Nov29 70k Calls to Dec 85k Call.
2) Can observe the ITM ‘red’ Calls sold. Looking closely, overshadowed is the largest single trade, a roll of 2k Nov29 80k Calls to 3k Nov29 84k Calls, flatish premium, increased notional.
Dec 85k Calls have been added.
And today, Jun 85k Straddles and Mar+Jun OTM Call spreads.
3) Somewhat out of character at an ATH (now >82k), the IVs are still very modest: Dvol 52%.
MMs have and continue to be given enough Gamma to play with. Some US-hour funds have stepped in to buy Mar+Jun, but for the moment the supply has dominated and no large buyer has swept.
4) ETH IV bounced off the lows during last week’s large Call (+spread) Option buying flows.
Dvol now 62%.
ETH flows were much quieter over the weekend, despite also a large move up in Spot.
The trades put on last week were Dec+Mar, and so early to unwind; certainly no signs yet.
View Twitter thread.
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ex-MS Head of Trading desk /BTC Vol. Prop trading /Option Market forensics/ Alter Ego account Digital Asset arena. Tweets are my opinion, not financial advice.