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Option Flow: Put Skew, Gamma, IV Increased

From deribit insights, Tony Stewart

Disappointing net ETF flows spawned by increased GBTC, dumped BTC+ETH.

Put Skew, Gamma, IV increased.

ETH Puts purchased over the last 10days now A/ITM unloaded marking the first low.

50k Mar+Apr ETH 2.6-3.6k Puts sold as ETH broke 3.3k.

Mar+Apr Bounce Calls bought ETH+BTC.

2) Previous publications have focussed on the accumulation and signals from ETH Puts.As

Spot plunged, the high Skew, Vol and Delta gave rise to profits with ETH 25% from the highs.

Then a reversal with ETH Apr 4k Calls and BTC Mar+May 66-73k Calls bought.

At first, Spot bounced.

3) BTC 62.5-65.5k and ETH 3.2-3350.

But this marked the intraday high.

BTC Calls again sold, Put spreads bought, nervousness and speculation over the day’s upcoming ETF flows.

2-days GBTC outflow $1.1bn cf $600m inflows sent markets lower again. BTC 60.7k, ETH 3060.

IV pumped.

4) But some shorts were ready, fresh money awaited.

Puts sold, dips bought, Calls bought.

Spot back to 63.5k, 3350.

IV remains firm: BTC & ETH Dvol ~80%.

Despite Spot moving back in the middle of the 60-65.5k range, IV has drifted back only slightly.

FOMC+JPow ETF flows later.

View Twitter thread.

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