[Deribit] Option Flow – Week 15, 2022

In this week’s edition of Option Flows, Tony Stewart is commenting on the upcoming CPI and FED speakers.

April 12

CPI upcoming +FED speakers. BTC Apr29 38-47k Strangle sold x1k last week partially covered as Put strike comes into sight on acute Macro inflation concern; Crypto follows. Longer-dated Call buying halted. LFG buying non-aggressive. Twitchy protection, Apr-Jun Put purchases.

2) Put buying started with BTC Apr 43k, May 32-36k, then accelerated with Jun 30k, Apr 35+40k as 40k approached. Similar ETH OTM Puts; less notional. Arthur Hayes then published comments re his crash protection strategy – Jun OTM Puts, and have seen sympathizers add May Puts+RR.

3) IV has bounced from the lows – mainly near-dated. But given the apparent levels of concern abounding on CT forums, the reaction is muted. VIX chilled at 23%. With the Put buying, Skew naturally adjusted, but again, well within extremes. Data not commensurate to CT worries.

View Twitter thread.

April 6

Crypto underpinned by Saylor+Kwon (BTC), Merge (ETH), and yet Macro dynamics once again a catalyst to retrace from 48k/3.6k local highs. Nonetheless, current Spot levels not threatening and RV+IV remains pressured. Eyes on VIX+VSTOXX. Focussed accumulation of 6m+ upside Calls.

2) Over the last few months, the longer-dated maturities have been drifting lower; arguably they were high, but there was little supply. Dynamics at the front-end eventually filter through. So not surprising with current Crypto narratives to see an accumulation of Sep-Mar Calls.

3) In ETH Dec 10k Calls have been popular +RR, but BTC has drawn more attention with one large Fund (still) buying Dec 70k + 80k Calls. This hasn’t been aggressive – there seems no urgency – but instead smart measured accumulation without impacting IV materially. 6m IV < 6m RV.

View Twitter thread.

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