May 17 Crypto Option Volatility Research Report
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I. Core Views
1- This week, ETF continued to flow in nearly 500M, perpetual fund rate is weak, short-term neutral view, continue to recycle U, enhance the ability to pick the bottom of the big drop
2- BTC and ETH implied volatility are at the 75th percentile, short-term sentiment has not affected the movement of implied volatility of more than 1-3 months
3- In the continuous decline of the cottage, Sol has reached a relatively low level of 90 Vol; Ton is also relatively low, but there are still 125 Vol. Doge 100 Vols
4- Continue to do familiar alt short volatility and long gamma strategies
Summary:
ETH far-end Vega is OK, suitable for continuing short; familiar and fundamentally supported alt options are still the safe haven for current option players, and attention must be paid to position management and diversified allocation.
Ton just took a break, isn't Sol taking off again? All are waiting, option players should refuse to chase high
2. Option bulk transactions
BTC has 2 portfolio strategies with more than 200 positions (long volatility and bear spread)
buy BTC-28JUN24-65000-C + buy BTC-28JUN24-65000-P
sell BTC-31MAY24-75000-C + buy BTC-31MAY24-80000-C
ETH has 8,000 bear spread strategies (continue to be bearish on ETH spot trends in the short term)
sell ETH-24MAY24-3100-C + buy ETH-27DEC24-3500-C
When the red-label Sol has a significant bulk, I will share it in the planet
No need to say more, do Sol with us Options players are all about how much they make
3. Macro Market
Due to changes in macro expectations, long-term U.S. stocks have performed well recently. The TMF we hold has ushered in a rebound. We can take advantage of the high IV to make covered calls to recover costs
DPST is still hovering in our comfortable trading range of 60-80 US dollars. The implied volatility of 100 in this range is actually better than many encrypted targets. Continue Shorting Implied Volatility
The recent performance of the A-share market is strong, and it is also my focus on the battlefield.
We have talked about it many times before. The key to affecting everyone's confidence is real estate. In recent days, small essays about real estate have been frequently issued. Our planet has also issued news from Bloomberg. Combined with the abnormal movement of real estate stocks during the trading session, it is likely to be true.
The top leaders are likely to make great efforts to reverse the confidence in real estate. If the most important sector affecting confidence is stable, then the logic of the current cautious A-share participants is only fear of heights and inertial thinking, as the zzj meeting at the end of April has made it clear that economic stimulus and stabilization policies will continue to be implemented within the year.
