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Crypto SnippetMarch 6, 2021

Options Weekly - Trading Bitcoin and Ethereum Options - March 2021

Neeraj Thakur
March 6, 2021
What's in this post?
    Options Weekly is a brief overview of the Crypto Options market. This is not financial advice.

    Date: 26th March 2021

    Bitcoin Options:

    With BTC at the 53k level Options market give equal chances of 40% to 54k and 49k by the end of April. Implied volatility is currently higher than realized. Looking at di fferent timeframes, traders are currently paying less for April options than for those expiring in May or June. Most contracts traded today are in the strike price range of 50k-53k with additional demand for 64k and 70k. Demand for this kind of upside exposure has not abated even with spot at lower levels than just a week ago, Right now we see equal amounts of calls and puts in terms of premium being traded. To get an idea of price ranges, on the downside open interest is high for 40k, 48k strikes all across April, May and June expiries. On the upside traders are looking at the 58k-66k strikes expiring over the next few weeks with less open interest for end of April, May and June. As opposed to last week there seems to be less demand for upside exposure in the form of longer dated far OTM calls.
    Looking at today’s record expiry, OI for 49k-53k increased while demand for 60k strike decreased over the last 24 hours. While insuring against downside traders overall are speculating on higher prices over the next few weeks, with a more cautious outlook prevailing for end of April, May and June.

    Trade Bitcoin Options on Delta.

    Ethereum Options:

    The Options market is pricing the probability of ETH at 2.2k with 18%, at 1.5k with 40% by end of April. Most traded contracts today are at the 1.8k, 2k and 2.4k strikes with most demand for options expiring next week. Buying and selling calls is the name of game right now with traders looking to gain some capped upside exposure. As implied volatility is currently higher than realized this is a viable option. As far as price ranges are concerned, open interest is highest at 1.3k,1.6k,2k.

    Trade Ethereum Options on Delta.


    Date: 19th March 2021

    Bitcoin Options:

    With BTC at the 58k level, Options market price 64k with 39% probability and 54k with 40% probability by the end of April. Looking at the last 7 days, realized volatility is less than the one implied by ATM options. In terms of volatility, traders are currently paying less for March and April options than for those expiring a few months out. Most contracts traded today have strike prices at the 42k,50k,54k-58k and 80k level giving and idea of price ranges in the short term. We see lots of calls being traded right now with traders looking for capped upside exposure. On the downside open interest is still highest for 40k, 48k strikes, on the upside traders would like to see BTC at 64k and 80k. Looking at options expiring beginning and end of April, traders are not neglecting the possibility of spot price of 50k and lower, while options at 60k+ strikes dominate longer dated maturities. Overall open interest indicates that larger moves to either downside or upside
    are on the table as soon as spot trades below 54k or above 58k-60k again.

    Trade Bitcoin Options on Delta.

    Ethereum Options:

    The Options market is pricing the probability of ETH at 2.2k with 29%, at 1.5k with 29% by end of April. Most traded contracts today are at the 2k, 1.8k and 1.6k strikes, with high demand for options expiring beginning and end of April. Buying calls and selling puts is the name of game right now. Open interest is highest at 1.6k,1.9k,2.2k,2.5k giving an idea price ranges with the 5k strike still in demand. Short term volatility is cheaper than levels a few months out with realized volatility higher than implied. With a put-to-call ratio that is half as low for ETH and opposite RV vs IV pro les we see a quite di fferent situation compared to BTC Options.

    Trade Ethereum Options on Delta.


    Date: 12th March 2021

    Bitcoin Options:

    With BTC back around the 57k level, option markets price 61k with 38% probability and 53k with 36% probability by the end of March. Looking at the last 7 days realized volatility is less than the one implied by ATM options. In terms of volatility traders are currently paying less for March options than for those expiring a few months out. Most contracts traded today have strike prices at the 50k,52k,54k,56k level giving and idea of price ranges in the short term. Looking at the put-call-ratio the outlook remains more optimistic than just two days ago at just about the same spot price. On the downside open interest is still highest for 40k, 48k options with traders selling puts at these levels not expecting to revisit them anytime soon. On the upside traders would like to see 64k,72k,80k in the near future, with overwhelming demand for options expiring the next two weeks. Less OI and contracts traded between 58k and 64k could entail larger upward moves if BTC trades above 58k. On a skeptical note a lot of call premium is sold with some traders hedging their long calls and some expecting this price level
    tougher to break than expected. Overall trading activity remains optimistic and protection is being bought just in case while some want to bet that it’s less likely we’ll see higher prices immediately.

    Trade Bitcoin Options on Delta.

    Ethereum Options:

    The Options market is pricing the probability of ETH at 2.1k with 26%, at 1.5k with 21% by end of March. Most traded contracts today are at the 1.6k, 1.8k and 2.6k strikes, with demand for options expiring March and April high across the board. At the same time premium paid for puts just now outweighs pretty much all other trading activity. Open interest to the upside is highest at 1.9k,2.2k,2.6k,2.9k giving an idea price ranges with the 5k strike still in demand. Short term volatility is cheaper than levels a few months out even more so than in BTC options. Realized 7 day volatility is lower than what is currently implied by ATM options.

    Trade Ethereum Options on Delta.


    Date: 6th March 2021

    Bitcoin Options:

    Right now, the Options markets see BTC at $42k with 33% probability and at $50k with 41% probability by the end of March. Implied volatilities are currently much lower than realized. Nonetheless there’s a significant premium to pay for OTM options if you want to bene t from larger moves. For now, traders use the selloff below 50k as opportunity to gain cheaper upside with a cautious eye on the 40k-45k range. Expecting the move below 48k to be temporary, downside insurance is being sold in size while upside exposure above 50k is bought.

    At these very price levels bigger players are buying calls and selling some at the same time with potential gains and losses capped. Given open interest and options traded, the relevant price range is between 40k and 48k now, on top of that the 64k strike remains prominent, strikes between 50k and 60k less so. This could entail larger upward moves if BTC trades above 50k – 52k range again. We’re at a crucial price level at the moment with short term implied volatilities much lower than what markets expect for April to June which ensures interesting trading opportunities.

    Bitcoin Options chain

    Trade Bitcoin Options on Delta.


    Ethereum Options:

    The Options market is pricing the probability of ETH at 1.7k with 32%, at 2.2k with 9% by end of March. Just now interest in 1.3k-1.5k price levels outweighs speculative exposure for ETH above 2k. Traders want to protect themselves from further downside but don’t neglect the upside either with the brave looking to buy ETH at 5k by April or May. Similar to BTC the short term expectations of volatility have come down quite a bit while levels a few months out remain high.

    Realized 7 day volatility is much higher than what is currently implied by ATM options. This should present interesting trading setups for those expecting large price moves in the short term.

    Ethereum Options chain

    Trade Ethereum Options on Delta.


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