Option Flow: Gamma Roundtrip

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

During US-Iran negotiations, a range of Call buys were made on ETH, the largest notional being May 3.2k x30k. In total, $3.5m premium, not huge, but conspicuous over a weekend. Talks v1 predictably fell short. During Euro hours, a strip of short-term 62-70k BTC Puts lifted.

Decent size these days for ETH, never mind at a weekend; presumed hopes for Iran-US talks…at some point?

– May 3.2k Calls $800k prem, $69m notional
– Jun 2.9k Calls $1m prem, $30m notional
– May 2.7k Calls $700k prem, $20m notional
– May 2.3k Calls $1m prem, $13.5m notional

Once talks dissipated, BTC fell 3k, ETH 150, and Puts again became the flavor: today’s focus on the BTC 24th April 62k Puts in $100m notional, and then a strip of 64-70k in smaller clips.

Shorter-term Gamma heavy maturities firmed during the talks, then eased upon ‘conclusion’, the irony of which is of course, little conclusion.

Implied vols on BTC are slightly bidding ahead of the US session, expected Trump comments and market reaction outside the grey hours.

See original post on X here.

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