1. IV rise
1- The long-awaited IV uptrend finally arrived, accompanied by a +delta trend;
2-The IV differentiation between BTC and ETH is quite obvious, pay attention to the difference in strategies;
3-RV acceleration is currently in no clear direction
2.Term Structure
From the term structure, ETH has some opportunities on the put side recently, while BTC obviously has more opportunities on the call side. From Figures 2 and 3, BTC's ATM-side IV is more suitable for ducking.
3. BTC
Currently, the biggest -Gamma pain point is 2.7W. Today's surge has stabbed many people's selling positions. Another point worth noting is that the +Gamma position is still mainly at 3.2W, so the risk of selling calls has emerged. This point was also mentioned on Yan Ge's Twitter. Figure 2 is a schematic diagram of this week's -Gamma points. Have those who have been stabbed opened DDH in advance?
The brothers who engage in block trading are not active and have arranged some -delta positions. In addition, the recent IV is relatively low and the main trading volume is concentrated after the end of July. The timing of smart money is still very good.
ETH
1- The main -Gamma point is 1.6K; +Gamma 1.8 has more chips;
2-The biggest pain point this week is at 1.9K. You can think about whether to call or hide;
3-One thing worth noting is that at the end of September, many short call positions began to be laid out.
There are some differences in block trading. Some traders have some -delta views on spread strategy option positions; some have some near-term or far-term +delta positions.
5. Open DDH
The market has experienced a huge pump since Monday this week; it is recommended that new friends must have sufficient protection. If you have delta exposure, open a DDH. Like today, my small deribit account was stabbed, and it can reduce some losses. Today, pnl will either have a small loss or no loss. Peace of mind is the most important thing.
6. Option King Competition
