In this week’s edition of Option Flows, Tony Stewart is commenting on BTC postitive intraday swings, Gamma and Squeezing volume.
January 4
1) BTC 20%+ Intraday swing.
— Deribit Insights (@DeribitInsights) January 4, 2021
Option IV >100% more than paying for moves, + long options avoiding perp/fut liquidations.
Flows absent of large Insto funds, (return today), but volumes high with fast money HNW/retail.
DEFCON2 Jan29 32+36k strikes, neither side displaying weakness. pic.twitter.com/uEXzlngvec
January 8
1) Implied Vols (price of options) surge. BTC 1week >150%. Intraday swings, pain on short option trades, anticipated BTC 40k+ spike.
— Deribit Insights (@DeribitInsights) January 8, 2021
Elevated IV presents opps for brave.
Jan29 40k Call sold x600 at ~$5000 (138% IV).
But huge Short covering in 23-26k Calls x2k sobering reminder. pic.twitter.com/8hL3vJYjIX
January 9
1) Further short-closure BTC Jan29 25+26k Calls x2k. BTC>41k profit-taking ITM Mar26 20+24+28k Calls x2k, vol+delta pressure preceding BTC retrace and Mar 12+16k Puts bought x2k. BTC<41k tests 40k, panic unwinds Jan 40-64k Calls x1k+, BTC 39k holds, bounce 41k.
— Deribit Insights (@DeribitInsights) January 9, 2021
Gamma +skew firms. pic.twitter.com/t10eP9rfTi
January 10
1) Short-closing Jan29 ITM Calls now up to 28k-32K strikes x1k+, squeezing vol up 20% at the front.
— Deribit Insights (@DeribitInsights) January 10, 2021
But the trade of interest printed in Dec21 100k+ Calls, net x2k of which was buying interest, initially via Jun64k-Dec100k+ CS, then outright Dec21 100k Call.
Several explanations: pic.twitter.com/Sdaim6cfg9
AUTHOR(S)
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.