In this week’s edition of Option Flows, Tony Stewart is commenting on Options behavior and March gamma exposure.

March 3

BTC back >50k.
Options behaviour inferring comfort as Puts sold, near Skew and Implied Vol hit hard.
One big player rolling 5th Mar gamma exposure to upside/ATM Mar26 Calls, and elsewhere far OTM 75k Calls+spreads bought in Apr/May+, but IV drift suggesting spot consolidation.

2) Drop to 43k and bounce back, exhibited very little unwinding of profitable BTC Puts, suggesting Protective Puts vs Long BTC required, and speculative Puts dreaming of <40k.
Most of those Puts remain, but new Put sellers feeling confident on the constructive test of key levels.

3) Wellbeing + Put selling return, compelling Implied Vol lower.
Flow demand insufficient despite 10d-1m RV>100%, whole IV curve <100%.
Call demand far OTM + Call spreads, so not high amounts of vega to support.
Call skew >60k firmed relatively; expect over-writers on the rally.

4) Hardest hit has been near-term gamma. Some relating to de-risking of Mar5 expiry and rolling exposure (Puts+Calls) to Mar26th, but sufficient supply in the whole of Mar+Apr to force lower.

Longer-dates could drift, so Spreads/structures>outrights.
Near-term spreads/outrights.

View Twitter thread.

March 6

Wild intraday swings continue, Option IV=RV=~100%.

Focus has once again switched back to a protective bias.
The 40k zone is critical medium-term support and Funds seen hedging Long Spot against low-probability events.

Near-dated 46-48k Puts bought – testing wknd weak-hands?

2) Large buyer of Jun 40k Puts over the last few days is conspicuous against recent flows.
Bias also supported by muted buying in May downside and selling of upside Jun+Sep OTM Calls.
Fast money buying daily Put options again.

Put skew firming as BTC market fails to hold >50k.

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.