Option Flow: Spot vs Resistance

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

March 21

After the most aggressive outright Block buying of March BTC Calls +Gamma we’ve seen in a while pre-weekend, Spot continues to challenge resistance and strategies have turned to Apr+May Call spreads using the higher leg (35-40k) to fund buying 31/32k Call zones. ETH RV+IV lag.

2) Mar24+Mar31 28-30k Calls lifted in large Blocks pre-weekend in low liquidity sessions ahead of certain uncertainty, faced by MMs unkeen to sell mid-60% IV Gamma, therefore, priced wild offers promptly accepted.

Delta+Cover demand Hedges spiked 14d IV 10%. Wknd Gamma Impact.

3) With Spot settling in the 27-28.5k range, the 7-14 day Vol-of-Vol has been choppy with each sense of range-bound comfort softening IV only to bounce as break-out FOMO + Gamma impacts to the upside.

The outright Call buying strategy has efficiently moved to Call spread buying.

4) At elevated IV Call spreads limit Theta+Vega.

So Funds have utilized this strategy for exposure: May 32-36k x2k Apr7 28-33k x2k Apr7 33-38k x1k Apr7 31- Apr28 40k x1 Rolling of ITM to OTM also, eg Jun26-27k into May 31-33k Calls x1.5k

Call Skew continues to react to demand.

5) Interestingly, Net positioning from Jan1 ’23 is not as clear-cut as many might imagine.

The 26-27k Area is a combination of Long Calls outstanding, but also recent Put hedges.

30+34k Strikes remain Big Shorts. Unclear how much of this is offset/part of 25-28k Call Strikes.

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