Option Flow: Whales Make Waves

In this week’s edition of Option Flows, Tony Stewart is commenting on the recent market movements.

Some hysteria over large purchases of Feb+Mar 70+75k Puts, linking the narrative of post-Trump-inauguration and a MSTR blackout period. Eagle eyes following @genesisvol data will have also observed flows potentially linked to this nuclear flow which completely turns the table.

2) $13m spent on Jan+Feb+Mar 70+75k Puts with a total of ~7k contracts, ~$700mn notional.
Indeed in terms of contracts this is sizable and rare for BTC downside play.
But because many focus on contract size, many overlooked Mar 95k Puts x1.5k sale, $13m.

Similar style execution.

3) A similar execution style, the same Spot price, and extended over a few days.

Furthermore, the action wasn’t just Puts.

At the exact same time the Mar 95k Puts were sold, equal amounts of Jun 180k Calls bought; same block size.

Bullish play with extreme downside protection?

4) While public information prevents certainty, the circumstantial evidence is intriguing.

Execution of other large flows over the same period (Jan+Feb+Mar 110-150k Calls highlighted in the last report) acquired at a lower Spot.

The large sale of Dec 110k Calls v 103k.

5) The sale of 1.5k 110k Calls ($5m premium collected) was one of many Dec Calls that were TPd or sold for yield when BTC >100k and should have signaled sentiment opposite to the usual FOMO frenzie.

Another overlooked TP – 700x Dec 70k Calls – $21.5m highly profitable strategy.

6) This $21.5m premium collected may have been allocated to higher strikes, but since this entity is happier with being very right with lower contract size, it’s difficult to determine in the haze of activity what he might have bought, other than a small island retreat ofc.

7) Activity on ETH, while not outsized has been largely 2-way with Dec 4k Calls having the largest volume, early buying later selling, as ETH volatility has been wild. Fast money very active, some 3.3k Put buys.
Funds less active; only interested in Jan+Mar 5-8k Calls (+spreads).

8) With periods of stability interjected by large Realized vol, Implied vol has been reactive and choppy within an orderly range.
Skew for the most part has been firming to the Puts, particularly on BTC.

9) Be aware, but not necessarily beware, of market liquidity over the xmas season for futures and options.

Eoy 27th Dec expiry has Strike positioning to be resolved; some large ITM Calls, in profit for longs, delta hedged by MM shorts; no gamma impact here, but rolls possible.

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