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Ice and Fire Island Options Notes | 2026-05-30

📌 Today's Core: The May monthly expiry just passed, with spot BTC at 73500/ETH 2015 wrapping up smoothly. After expiry, the market enters a new cycle window period—today, being Saturday, only the 30MAY26 end-of-day and 31MAY26 Sunday contracts have a small amount of OI changing hands, with real liquidity and pricing anchors found in the 5JUN26 weekly and 26JUN26 monthly options.

Key Data:
• BTC 73.5k ATM 5JUN26 IV=30.5%, 26JUN26 IV=33.6% → the term structure is flat, with no panic premium at the front end
• BTC 30d HV=32%, spot IV is trading at a discount of about 2-3 points relative to HV; vol isn't cheap but not too pricey either
• 5JUN26 74000-P OI 413 vs 74000-C OI 769, the Call side OI is significantly biased towards the upside, indicating a bullish market sentiment
• ETH 26JUN26 monthly options OI reaches 800,000 contracts, PCR_OI=0.50, with a decisive advantage for Calls

One-line Judgment:
After the May expiry, the market is calm, BTC's term structure is flat, vol is mid-range, with no clear overpriced/underpriced signals. A new cycle is being rebuilt, and it's worth watching for changes in directional skew.

Today's Strategy:
1. The 5JUN26 weekly options with 30%+ IV lack appeal for shorting, but if BTC retraces to the 72-73k area, a short put is a reasonable choice.
2. The 26JUN26 monthly options 70000-C OI 3492 is the largest concentration of open interest, showing market confidence in maintaining above 70k next month. The 7400-7600 range skews towards Calls, indicating bullish sentiment but with restraint.
3. ETH monthly options PCR_OI=0.50 is extremely Call-biased, contrasting with BTC—ETH's Call side heavy positioning may be a pre-price adjustment for rotation funds + upgrade expectations. Pay attention to the rhythm of Ethereum-related catalysts.

⚠ Weekend liquidity is thin, Deribit has wide spreads, and actual trades should be mindful of slippage. We'll reassess direction next Monday and Tuesday.

Ice and Fire Island Options Notes｜5/29

BTC $73,816 ETH $2,019, tomorrow marks the monthly/quarterly expiry, and the delivery game has already kicked off.

BTC 5JUN26 PCR is just 0.38, with Call OI concentrating in the upper range of 80,000-88,000. There's quite a bit of capital buying Calls, betting on a breakout, but the ATM IV is only 33%, so volatility pricing isn't too high. It's worth noting that the June 26 options OI has reached 126,000 contracts, the highest across all months, indicating that major players are already positioning themselves for a monthly level play.

ETH is even more interesting. The 5JUN26 2000P has a whopping 27,084 contracts piled up, pushing the PCR up to 1.23, as the market is frantically buying puts for protection. However, with spot sitting at 2019, the 2000P is only slightly in the money; if ETH makes even a minor move up before expiry, this batch of puts may be forced to roll or stop-loss.

In short: The BTC options market is betting on direction with low volatility, while the ETH options market is using high OI for defense. Whichever side breaks first, the other side's Gamma will follow.

Not investment advice, just recording market structure.

Today's signals are pretty spot on, but I'm not feeling great.
Spot losses are the biggest hit.
The options protection can’t cover everything.
Looking forward to a bull recovery.

Ice and Fire Island Options Notes | May 28

Viewpoint: BTC is experiencing historically low volume and low volatility this year, with sellers dominating; the cost-effectiveness for buyers is poor at this point.

BTC $74,492 (-1.9%), ETH $2,026 (-2.4%)

【Order Book】28MAY expiration, 74,500P daily volume of 504 contracts max; 29MAY 75,000P open interest of 4,887 contracts forming a Put wall, key trading range 74k-75k

【IV】BTC DVOL 37.15% (rebound of 1.3pts), HV 32.5%, IV premium at 4.7pts, slightly high; ETH DVOL 49.21%, 2100P open interest at 74,000 contracts, the largest in the market

【Strategies】① Sell Put vertical spread — 29-30MAY, sell 75,000P + buy 70,000P, collect net premium of about 0.002-0.003 BTC, betting on limited downside below 75k; ② Covered Call — BTC holders sell 30MAY 78,000-80,000C, annualized premium yield about 1-2%, leveraging IV premium; ③ Monitor ETH 2100P Put wall for order cancellations; if orders are removed, consider going long on ETH

【Strengths and Weaknesses】ETH is relatively weak (-2.4% vs -1.9%), the 2100P massive Put wall is a clear pressure

⚠️ Liquidity is poor on expiration day, spreads are wide; be cautious.

How to see IV highs and lows in real-time? Don’t rely on gut feelings, look at the data

Many newbie options traders just go with their instincts—buying calls when they think it's going up and puts when they think it's going down.

But the first lesson in options trading isn’t about direction; it’s: how expensive is the volatility you’re buying right now?

IV (Implied Volatility) is like the thermometer for options. High IV means options are pricey; low IV means they’re cheap. The question is, how do you judge the highs and lows?

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Step 1: Look at the relationship between IV and HV

HV is how much BTC has actually fluctuated in the past 30 days. IV is the market’s expectation of volatility for the next 30 days.

• IV > HV big gap → options are overpriced, the market is paying for insurance on things that haven’t happened yet
• IV ≈ HV → neutral pricing
• IV < HV → options are cheap, the market is underestimating volatility

Today’s data: BTC ATM IV at 45.8%, 30-day HV at 32.0%, a difference of 14 points— the market is willing to shell out nearly 50% premium for insurance against short-term downside risk.

Step 2: Check the term structure

High near-term IV and low far-term IV = short-term tension but calm in the medium to long term. Higher far-term IV = contango, bullish pricing. A steep curve = real panic.

Step 3: Use real-time tools

Deribit DVOL index, Laevitas, or backtrack using ATM option prices. Today, BTC DVOL is around 36 (low), but near-term ATM IV is 45.8%—the spread indicates that the market is paying for short-term risk, not total panic.

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Practical Principles

1. Check the IV percentile before buying options: above the 80th percentile for the last 30 days means you’re likely buying high
2. Confirm HV is weakening before selling options, but IV hasn’t dropped yet (the night before an IV crush)
3. Don’t just look at one number: the key is to understand what risk the market is paying for

Today BTC: PCR from 0.69 to 1.58, near-term puts increasing volume, far-term 50k-P heating up— the market is paying premiums for both short-term drops and extreme tail risks.

Before buying a call, ask yourself: are you willing to place your bet at this temperature?

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Follow Ice and Fire Island to see options through a trader’s eyes.

#期权 #BTC #隐含波动率 #IV #Deribit

Ice and Fire Island Options Notes | May 27

BTC spot trading this morning is around 76000, down about 1.0% in 24h, with an intraday low close to 75680; ETH is around 2080, down about 0.9% in 24h. The spot isn't crashing hard but rather showing weak consolidation after a high-level pullback, and in the short term, the key level to watch for BTC is whether it can hold 75.5K—76.5K.

On the Deribit order book, BTC trades are concentrated on May 29th at 76K/74K/72K Puts, indicating a clear demand for protection on the Put side; at the same time, the May 29th 80K Call remains one of the largest OI, showing that 80K still serves as a short-term magnet/resistance level. The BTC options trading PCR is about 1.09, slightly neutral with a defensive bias; the nearest max pain point is around 76.5K, very close to the current price.

In terms of volatility, BTC DVOL is about 35.9, with a percentile of only about 7% over the past year, and the ATM IV is around 32.6%, which is in the low volatility zone; ETH DVOL is about 48.8, with an even lower percentile, and the ATM IV is around 44.1%. This indicates that the market isn't willing to pay too high a price for large moves, but the increase in Put volume suggests that tail protection is on the rise.

One takeaway: the direction hasn't truly opened up yet, but the low IV combined with increased near-term Put volume indicates that 'cheap volatility + lower protection' is being traded.

Today's thoughts:
1. If BTC holds 75.5K—76K, consider a low-cost Call Spread.
2. If it drops below 75.5K and Put volume continues to increase, lean towards protective Puts/Put Spreads in the short term.
3. Sellers short gamma should reduce their positions appropriately; don’t be greedy for the last bit of theta near critical levels.

BTC is more influenced by Calls above 80K compared to ETH; the ETH order book is more balanced, but the volatility percentile is lower; if spot takes off, ETH might have greater elasticity.

Risk Warning: The above is based on order book observations and does not constitute investment advice; with Friday's expiry approaching, Gamma will amplify false breakouts.

Slept through the signals 🤓

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Ice and Fire Island Options Notes | May 26

On the spot market, BTC is oscillating weakly around $76.7K, while ETH is hovering around the $2,100 mark. The intraday drop isn't significant, but the market sentiment has clearly shifted to a defensive stance.

On Deribit, BTC's near-term trades are concentrated on May 29 $76K / $74K / $72K Puts, indicating a notable rise in short-term protective positions; on the OI side, there are still $80K Calls, year-end $120K Calls, and $60K Puts coexisting, showing that the bullish and bearish divergence hasn't disappeared. For ETH, the volume and open interest for the $2,100 Puts are quite prominent, clearly anchoring the short-term.

In terms of volatility, BTC's near-term IV is about 30.6%, while ETH's is around 39.7%, with the term structure still in normal contango; BTC's HV is about 31.5%, and the IV isn't expensive, making the cost of buying protection relatively controllable. The PCR shows BTC at 1.41 and ETH at 1.25, with the Put side clearly dominating.

In a nutshell: This isn’t the most comfortable position to chase shorts, but rather “the defensive positions are starting to price in downside risks.”

Today's Strategy:
1. If BTC can't hold $76K, watch for increased volume in $74K / $72K Puts;
2. Those holding spot can consider light protective Puts or bear spreads;
3. ETH remains relatively weaker than BTC, with $2,100 being a critical short-term anchor.

Risk Warning: Near-term options can change rapidly; the above is for market observation only and does not constitute investment advice.

The fly indicator is surprisingly all in the negatives, which feels a bit counterintuitive. I thought with the recent bear market, the fly would be positive. Gotta rely on the data to make the right call. Clearly, the culprit for IV hitting all-time lows is the excessive sell orders on out-of-the-money positions. Haha. Should we set up a long position on some far-dated calls? Is there hope?

Ice and Fire Island Options Notes | End-date Options Double Buy Signal Backtest

Recently, we've optimized a version of the BTC end-date options double buy signal. The core goal isn’t to predict direction but to identify windows where 'low volatility compression might lead to expansion'.

Backtest Period: 2025-05-25 to 2026-05-25
Data: BTCUSDT 1-minute candlesticks, totaling 525,600
Sampling: Evaluated every 30 minutes
Exit: Hold until settlement at 08:00 UTC on the expiry date
Signal: BUY_STRADDLE, i.e., ATM Call + ATM Put
Friction Cost: 0.06%
Note: This is a proxy backtest; option premiums are estimated using Black-Scholes + 3-day realized volatility, not equivalent to Deribit real market replay.

The optimized double buy signal added three filters:

1. Can't just look at low volatility/low IV
Low volatility compression is just the foundation and no longer solely constitutes a buying reason.

2. Must have expansion confirmation
For example, 5m/15m short-term fluctuations, significant volume increase, or capital flow divergence near key levels.

3. Estimated volatility/double buy cost ≥ 1.60
Avoid 'buying both sides when the direction is unclear', because the biggest enemy of end-date options is theta.

Backtest Results:

Signal Count: 62 times
Win Rate: 38.7%
Average Single Trade Profit: +0.05%
Median Profit: -0.21%
PF Profit Factor: 1.18
Cumulative Single Trade Profit Total: +3.11%

Compared to Before Optimization:

Before optimization, signal count was 145 times, PF 0.67, average single trade -0.12%;
After optimization, signal count dropped to 62 times, PF increased to 1.18, average single trade turned to +0.05%.

This clearly indicates the original strategy's problem:
It can identify low volatility, but low volatility doesn’t mean immediate expansion. Often, the price continues to consolidate, and the double buy premiums get slowly eaten away by time value.

Interestingly, when grouped by remaining time to expiry, the 8-12 hour window performed the best:

480-720 minutes:
Signal 11 times
Average +0.54%
Win Rate 63.6%

The 2-8 hour window performed weaker, indicating that end-date options are not necessarily better suited for double buys as expiry approaches; being too close may lead to being swallowed by noise and theta.

My Conclusion:

This version of the double buy signal has been optimized from a 'low volatility alert' to a 'low volatility + expansion confirmation' timing tool.
However, it’s still not a strong strategy; it has merely corrected from a clearly negative expectation to a slightly positive expectation.

In real trading, it's better suited for:

- Small position event-type observation
- Capturing expansion after low IV compression
- Prioritizing the 8-12 hour remaining expiry window
- Not suitable for repeatedly buying both sides in pure consolidation

The key with end-date options isn’t 'double buying when direction is unclear', but rather:
Volatility must truly start to emerge and must outpace the premiums.

Risk Warning: The above is a strategy study and historical backtest, not investment advice. Options, especially end-date options, carry extremely high risk, and premiums can rapidly go to zero.

Being a buyer in options is tough, low win rates.
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In a choppy market, why can buying the right direction still lead to losses?

A lot of people new to options tend to see them as "leveraged directional tools": buy a Call if you're bullish, buy a Put if you're bearish.

This understanding isn't wrong, but it's incomplete.

Option prices are influenced not only by direction but also by factors like time, volatility, strike price distance, and expiration date. So in a sideways market, you often encounter a situation where you get the direction right, but the options still lose value.

There are three main reasons for this.

First, time decay is a constant drain.

Buying options essentially means you're purchasing a chance for something to happen in the future. The closer you get to expiration, if the underlying asset's price isn't moving quickly in your favor, the time value in the option will continuously erode.

This is the impact of Theta.

Especially with short-term options, they might seem cheap and have high leverage, but they also face faster time decay. If the market only creeps up, buying a Call may not yield profits; if it only drifts down, buying a Put may not bring in gains either.

Second, implied volatility can impact option prices.

Option prices reflect the market's expectations for future volatility, usually indicated by IV, or implied volatility.

When market sentiment is hot and everyone is scrambling for options, IV often spikes, making options more expensive. In this case, even if you get the direction right when buying options, you might still lose due to a subsequent drop in IV.

This is what folks mean when they say "you bought high."

For example, before significant events, option prices are typically inflated by volatility. After the event occurs, even if the price moves in the expected direction, if volatility drops sharply, the option price might not only stagnate but actually decline.

Third, the underlying asset needs to move quickly and significantly.

Buying options doesn't just require getting the direction right; it also demands that the market moves fast and far enough before expiration.

If BTC rises from 70,000 to 71,000, the direction is indeed bullish, but for a short-term out-of-the-money Call, that price increase might not be enough to cover time decay and volatility drop.

Thus, what option buyers really need is: direction, speed, magnitude, and the right volatility pricing.

That's why many seasoned traders won't just ask "up or down," but will first inquire:

Is the current IV high or low?
Is there enough time until expiration?
Is the strike price chosen rationally?
Is this trade directional or volatility-based?
If it’s just a gentle rise or drop, can the strategy still be profitable?

The core of options trading isn’t simply guessing the direction; it’s about understanding what factors jointly decide the price.

For buyers, the most crucial thing is to avoid blindly chasing orders in high volatility, short expiry, and weak market conditions.

For sellers, time value is a friend, but tail risk is an enemy; you can't overlook the destructive potential of extreme market conditions just because you can often collect premiums.

In simple terms:

Options aren’t just about "bullish buy Call, bearish buy Put."
They’re more like a tool to express your trading perspective.

You’re not just saying "I’m bullish" or "I’m bearish;" you’re also expressing:

How long you think it will take for the market to move;
Whether you think volatility is currently overpriced or underpriced;
How much loss you’re willing to bear;
What structure you want to use to seek what kind of returns.

Understanding this is the real beginning of grasping options.

Ice and Fire Island Options Notes | May 25

BTC spot is slightly oscillating around $77,000, while ETH is consolidating weakly around the $2,100 level. Today's market shows no clear trend signals; it feels more like a repositioning of holdings in a low-volatility environment.

From the Deribit order book, BTC PCR is at 0.88, with a slight bias towards Calls but not extreme; ETH PCR is at 0.67, showing a more evident bullish sentiment. BTC positions are concentrated in the May 29 $80K Call, December $120K Call, and $60K Put, indicating there’s still some medium to long-term upside potential, but downside protection is also significant. On the trading front, BTC's nearby $76K Put and $81K Call are active, with short-term pricing oscillating between $76K and $81K.

In terms of volatility, BTC DVOL is at 35.89, sitting at a 30-day low; ETH DVOL is at 51.26, also in a lower range. BTC's near-term IV is about 32.6%, and for the next month, it's around 33.3%; ETH is at approximately 48.4% for the near term and about 49.1% for the next month. Overall, IV isn't expensive, and the seller's yield isn't particularly thick; the cost-benefit ratio for naked shorting volatility is average.

Today's Strategy:
1. For BTC, first look at the $76K-$81K range; don’t rush to chase direction until a breakout.
2. In a low DVOL environment, it’s suitable to use small positions to buy protection or create limited-risk structures.
3. ETH is relatively more active than BTC, with short-term sentiment leaning bullish; however, both near-term Puts and Calls are seeing volume today, so don't misinterpret this bullish sentiment as a one-sided move.

In a nutshell: Today isn’t a day for aggressive trading; it’s about observing whether the market can “break out of low volatility” and find direction.

Risk Warning: Near-term options can change rapidly; if BTC drops below $76K or ETH falls below $2,100, protective Puts might quickly increase volatility. For reference only, not investment advice.

Ice and Fire Island Options Notes | May 24

Today's focus isn't on direction, but rather: prices are approaching key zones within a low volatility environment, and protective orders are clearly piling up.

BTC spot around 76,665, Deribit BTC DVOL 36.32, 0% percentile over the past 30 days; ATM IV for the near week/month is at 33.7%-33.9%, the term structure is quite flat, but PCR has risen to 1.52, entering a state of mild panic. Trades are concentrated on the 29MAY 75,000P, 73,000P, and 25MAY 75,000P, with stronger demand for protection on the short end. OI for the 80,000C remains a focal point on the upside.

ETH spot around 2,118, DVOL 50.70, 6% percentile over the past 30 days, which is still reasonable. ETH PCR at 1.17, milder than BTC, but large orders are more active: the 29MAY 1850P is seeing increased volume, while 26JUN 2300C/2700C and 2100P/2300P also have concentrated trades. ETH seems to be re-pricing within a range and at the tails.

In a nutshell: low DVOL + high BTC PCR suggests being cautious of a “not deep drop but volatility recovery” reflexivity; BTC is leaning defensive, while ETH has relatively more structural trading heat.

Today's thoughts:
1) No chasing short-term puts on BTC, let’s first see if the protective demand cools off;
2) In a low IV environment, straddles/strangles are better suited for waiting on breakthrough confirmations, no rush to naked sell volatility;
3) Key focus on ETH around the 2100 level for contention, and whether the 2300/2700 calls will continue to see volume.

This is not investment advice, just a record of market structure.

Ice and Fire Island Options Notes | May 22

BTC spot is around 77.6K, short-term focus is on liquidity above 80K.

Looking at the Deribit options market, the BTC PCR has risen to 1.43, with a noticeable increase in Put volume:
On May 25, the top trades are $75K / $77K / $71K Puts, indicating that while the market is chasing the $80K narrative, it’s also concentrating on buying downside protection.

Interestingly, DVOL is actually at a low level:
BTC DVOL 36.8, with a 30-day percentile around 3%;
ETH DVOL 49.3, with a 30-day percentile close to 0%.

This means: the market isn't without risk, but option pricing hasn’t fully reflected tail volatility.

Today's thought:
No chasing naked longs.
If you anticipate BTC hitting 80K, consider using a Call Spread instead of chasing the spot price;
If holding spot, buying Puts or doing a Bear Put Spread in a low IV environment offers better protection-to-cost ratio.

ETH is relatively weak compared to BTC.

BTC has upward liquidity, while ETH faces emotional pressure; low volatility isn’t safety, but rather a cheap insurance window.

For discussion only, not investment advice.

BTC/ETH spot saw a slight bounce, but the options structure isn't showing any significant FOMO: BTC's near-term ATM IV is around 34.4%, with HV at 30.5%; June OTM Put IV remains about 5 points higher than Call, indicating that the market is more willing to pay for downside protection rather than blindly chasing the upside.

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During the economic recovery phase, it's time to go all in.