August 19 Crypto Options Market Research Report

The US stock market rebounded by nearly 10%, and the overall crypto market was weak. There is a high probability that there will be large fluctuations before the end of the month

Coincall (the first U-based alt options exchange, trading popular alt options such as Sol, Ton, and Ordi), a third-party custodial options platform with simple KYC (select HK)

I. Core Views

1- The market was flat and shrunk over the weekend, and the implied volatility of the options market was basically flat. Judging from the current volatility cones of BTC and ETH, it is still at the 25-50 percentile level;

2- Coincall's real account has two delta-neutral strategies, one is the Gamma scalping strategy at the end of the month, and the other is a neutral seller strategy, which is constructed using ratio spread. This week, the delta value will continue to be adjusted to neutral;

3- Subjectively judge that the short-term downside risk of crypto is still greater; this can also be clearly seen from the pricing of implied volatility in the options market. This Friday, the put of btc delta15 has 3 more vols than the call;

4- In the near future, you can pay attention to the long call opportunities of high-quality altcoins if a big drop occurs. For example: Ordi, BNB, etc.

5- Sol and ton views remain unchanged

Summary: In the past two weeks, we should still be wary of black swan risks, and players with heavy +delta positions should pay attention to thick tail protection. Because it is now in a medium-low IV environment, sellers with Theta as the main body should be wary of Gamma risks.

2. Block transactions

The largest transaction of BTC is 485

buy BTC-30AUG24-62000-C

The largest transaction of sol is 1050

buy SOL_USDC-20AUG24-145-C

3. Macro market

U.S. stocks:

Last week, U.S. stocks rebounded continuously and the Nasdaq 100 index reached a position close to 2w points. It has rebounded nearly 10% since Black Monday on August 5. The overall market is still very strong. However, my judgment that the overall valuation is in a medium-to-high position has not changed. Players who do not want to miss out should continue to use options to reduce spot costs at this stage, because the odds of holding spot are indeed insufficient. The VIX panic index dropped from the previous high of 65 to 14.8. This wave of VIX market private training class 2.0 has been seized by players. The overall situation is still in the black swan outbreak area, and we will still have similar opportunities. Long-term US bonds have further clarified the small-scale trading range, and familiar players continue to use options to reduce costs.

Throughout Q3 and Q4, I subjectively judge that there are still many asymmetric opportunities in the US stock market, especially for players familiar with derivatives.