July 30 Crypto Options Market Research Report

Spot prices fell, option implied volatility continued to fall, VRP converged, should we go long or short volatility in the future?

Coincall (No. 1 U-based alt options exchange, trading popular alt options such as Sol, Ton, Ordi), a third-party custodial options platform with simple KYC (select HK), invitation link: https://coincall.com/r/19298649

I. Core Views

1- With both spot and implied volatility falling, VRP converges, short vol positions can be gradually reduced, especially do not oversell vol;

2- Last night, I discussed with a crypto player how to go long on ETH. At present, my personal position uses long mid-term ATM call and short short-term call, and the overall retention of +delta, so that Theta is balanced, and the loss of Theta on the decline can earn some Vega if Vega rises

3- If the overall spot price falls, non-volatility trading players can sell some BTC puts, and hoard spot positions of 65,000 will have 50% APR at the end of August

4- The overall IV of alt options on Coincall is also in a downward channel, and option players can sell some Sol and Ordi Put, store spot position

Summary: The crypto market's PUT side implied volatility rose on Friday, and the bulk did not over-purchase put options to protect positions in the medium and long term; pay attention to option MM margin control in the mid-term bull market, and the overall +delta remains unchanged; long vega is not in a hurry to increase positions. Long ETH's Detla is subjectively judged to be worth planning.

2. Option block trading

The two largest transactions of BTC yesterday were as follows: 100,000 call option positions at the end of the year and anti-calendar strategy (optimistic about the Gamma market at the end of August):

buy BTC-27DEC24-100000-C

sell BTC-25OCT24-75000-C + buy BTC-30AUG24-75000-C

ETH's two largest transactions yesterday were buying straddle strategy at the end of September and buying OTM call option strategy in September:

buy ETH-27SEP24-3200-C + buy ETH-27SEP24-3200-P

buy ETH-27SEP24-3900-C

Sol See Star Friends TG Group

III. Macro Market

US Stocks:

The US stock market closed slightly higher yesterday, with the main narrative of technology stocks still strong. Tesla rose more than 5% in a single day, and small tickets were relatively weak; the VIX index fell slightly during the session.

For US bonds, focus on the Federal Reserve's interest rate meeting on Wednesday, and pay attention to Powell's answers to reporters' questions. For US bonds, we need to pay attention to whether there are new breakthroughs. From my personal model, the next important point for 10-year US bonds is 4.Around 10%.