In this week’s edition of Option Flows, Tony Stewart is commenting on Powell’s hawkish words at FOMC meeting wich incl. a 75bp raise.

November 3

With FOMC 75bp expectations clear this month, IV only squeezed in the <1week tenors tied to Gamma surrounding Powell’s conference comments.

That didn’t stop IV from being crushed post-event.

And with Powell’s hawkish words, Spot fell, Calls purged, Bear Collars Puts+ bought.

2) BTC 20k straddles sold aggressively first x750, then as the market interpreted Powell’s comments biased hawkish, Dec 24+25k Calls sold on DSOB were amongst the more aggressive hitting bids x500+.

Those that needed/played bear exposure bot Dec 18-24k Collar (bot Put) +similar.

3) ETH followed a similar IV trace pattern.

ETH gap 20% DVol IV > BTC, due to ETH realized vol performing better.

Whereas BTC IV still trades at a premium (note diminishing at 5%) to realized, ETH IV now trades at a 10% discount, on the 7day comparables.

View Twitter thread.

November 5

With IV pummelled post-FED and ahead of DOVs+wknd, there was complacency prior to NFP.

IV post-expiry held (a rare occurrence), even firmed, with DSOB buyers of ~1k Dec 17-20k Puts, and <1week Options (Puts+Calls) ahead of NFP.

A relatively benign Print rallied Risk assets.

2) With BTC breaking 21k, ETH >1.6k, IV stayed bid, with buyers of Calls (BTC Dec 24k+ upside on DSOB, Nov 22-23k) cumulatively 1k+; not overwhelming volume.

It wasn’t until US equities started to pull back and Crypto followed <21k, that IV suffered some retrace.
IV unch on day.

3) WIth 21.4k being a decent Fib level resistance, there is some thoughts that an upside breakout could firm IV, a retrace back <21k into the recent ranges would keep on the IV pressure.

Call Skew still steadily rising, approaching flat.
Sentiment is certainly more optimistic.

View Twitter thread.


Tony Stewart Tony Stewart

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.