This weeks Option Flows with Tony Stewart starts with commentary of the Jun26 expiry.

June 24

Jun26 option OI has actually increased, but with BTC spot at 9.5k and probability of <9k or >10k at expiry approx 10%, as I write, time running out. Calculations of max pain at 9k suggest little vol buying on a grind lower, but attempts at 10k, have signaled near-term buyers.

2 / If expiry related fireworks are to happen, spot moves <9k or >10k need to be energised and with momentum in order to ignite options short gamma and resultant delta acceleration. Slow grinds to large OI strikes tend not to be as explosive a catalyst.

3 / With Jun26 premium so low and longer tenor options still trading 60%+ IV, there has been little incentive to roll out positions.

Volumes have been as subdued as the spot market, but shorter-term interest leans to the upside with continued activity in July Calls + Call spreads.

End / Short-term skew remains quite flat, but with 6month skew -ve for the Puts, there was a buyer of the Dec20 4k Put, to sell the 16k Call x370 (selling 6m vol, selling delta >9.6k).

IV 10d 50%, 1m 59%, 3m 68%
RV 10d 30%, 1m 57%, 3m 69%

Easy to see why <14d IV under pressure.

Original thread on Twitter can be seen here.

June 26

While Jun26 options expired without incident, post expiry flows been active with bearish bias both spot and vol.

July puts 2-way interest, overwriting of Calls hit vol, increasing Put skew. Large July31 Put fly bought and large CME Aug Call spread sold confirmed the sentiment.

2 / Clear pain was felt by longs in Jun and by those long vol anticipating sharp moves. Two things have happened. The June longs have perhaps become hesitant buying optionality, those already long have not been able to buy materially more or have exited. Consequently, vol crushed.

3 / Vol was already under pressure from Call selling, but the Aug 11-14 Call spread sold equiv x500 on CME was immediately offset on Deribit by sales of Aug 10-11k strikes, hitting IV in the July-Sep bucket.

The other large trade on Deribit was the July31 9-8-7 Put fly +500x $187

4 / Recent Friday activity adapted to very aggressive option selling. Today is the same, but hardly surprising after the losses on many long vol positions. Some will see this as a buying opportunity, some will start to see option selling as rewarding.

Justify trades detached.

5 / With 10d RV <40%, understandable to see sellers, these are being met by some traders looking to take low premium plays with options.

The steep term structure and Aug seller have applied weakness further out – Jul31 dropped 7%, Sep 3%, big shifts, indicating unwilling MMs.

End / Due to Call sellers and two-way interest in Puts (initiating directional buyers meeting vol sellers), skew has firmed, 1m 25d skew 14% Put over Call.

RV + IVs:

RV: 10d 36%, 1m 55%, 3m 69%
IV: 10d 43%, 1m 51%, 3m 65%

10d trading high, 1m+3m trading low to RV environment.

Original thread on Twitter can be seen here.



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