May 16 Crypto Options Market Research Report

Spot rebounded, BTC implied volatility rose to 75 percentile, what should we do?

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I. Core Views

1- Spot does not chase the rise, option strategy continues to be steady, continue to recover U, control overall account risk

2- ETH performance continues to fall, such as spot positions, players can consider changing some of the Top 10 recognized targets, such as small positions, continue to wait for the rise

3- Sol and other strong targets rose yesterday did not significantly drive the implied volatility to rise, at the end of May and June ATM is still 90 Vol

II. Option bulk trading

BTC bulk buy 800 near-end call option positions, in addition to the layout of the end of the year 10-12 W US dollars bull spread strategy (position 500).

buy BTC-24MAY24-65000-C

buy BTC-27DEC24-100000-C + sell BTC-27DEC24-120000-C

ETH has a position of 18575, and has made a recent calendar spread strategy. This round of Gamma returns is very strong

buy ETH-17MAY24-3000-C + sell ETH-24MAY24-3000-C

Sol As mentioned in yesterday's research report, there are no new positions with obvious indicator significance recently

III. Macro capital market

Last night, driven by CPI data, the US stock market performed strongly, and the 20-year US Treasury series products performed strongly. Our trading strategy will continue to take advantage of the implied volatility to grind the spot cost, especially using the leverage attribute of TMF;

Bank stocks performed mediocre overall, and the implied volatility of DPST did not change much. We continue to short volatility

TSLA Continue to use long-term and short-term combined positions to reduce spot holding costs and enhance the fault tolerance of the overall portfolio.

For high-volatility stocks such as TSLA, if you hold a large amount of players, it is recommended to buy QQQ forward puts to hedge against black swan risks

Social financing, new loans, M2, and M1 of A-shares in April were all seriously lower than expected. But the market performed steadily. The data reflects the reality that the internal circulation is still not smooth, and economic confidence still needs policies to continue to work hard to activate it.

Combined with the unexpected and pragmatic tone of the zzj meeting at the end of April to promote fiscal and monetary policy efforts to activate domestic demand, many institutions expect interest rate cuts and reserve requirement ratio cuts to come soon, and the realization of the previously set trillion special government bonds will be forced to accelerate.

Later, we need to pay attention to whether there are signs of a bull market and use option positions to avoid missing out.