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[Deribit] Option Flow – Week 24, 2021

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In this week’s edition of Option Flows, Tony Stewart is commenting on BTC retrace rally back to 40k+.

June 18

After a brief spell of Call buying on rally to 40k+, the BTC retrace since has reverted back to protective, but calm activity.
June25 36k Puts non-aggressive accumulation the standout trade, but also opportune sales of 28-32k Puts and 40k+ Calls Jun+July expiries. IV relaxed.

2) Activity has been TA level related.

40-41k BTC, saw Jun+Jul 40-45k +July+Sep 60-65k Calls sold.

40k- retrace, saw Jun 36k Put started to be accumulated.

Each spot level below has seen sales of 28-32k OTM Puts.

Flows balanced, so IV stable.

Reflects 34-40k comfort range.

3) Skew, just like Implied Vol, unfazed – not showing any additional concern on this latest spot retrace.

However, absolute levels of Skew remain elevated, implying underlying concern on the downside is still very present.

This elevated Skew mirrors derivative negative funding.

View Twitter thread.

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AUTHOR(S)

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.


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