Deribit Insights

Deribit Insights

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The best resource for Crypto Derivatives trading. Telegram 24/7: http://t.me/deribit Deribit is not available in the United States or other restricted countries.

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Deribit Insights

Crypto Derivatives: Analytics Report – Week 46

Deribit Insights

Episode 41: Crypto Markets Cheer As Trump Wins The Election In A Landslide

Deribit Insights

Option Flow: BTC Surge & ETH IV Bounce

Deribit Insights

1) Pre-weekend (BTC 76.5k) saw clips of Nov ITM 68-75k Calls being sold on DSOB, ~2.5k notional; large delta. Later came TP blocks of ~2k Nov29 75-78k Calls. But then BTC surged on Sat/Sun>80k. This time, exposure rolled up: Nov29 80k to 1.5x 84k, Nov29 70k Calls to Dec 85k Call.

Deribit Insights

Crypto Derivatives: Analytics Report – Week 45

Deribit Insights

Option Flow: Big Calls & Rising IV

Deribit Insights

1) Outsized T-1 Option flows jack IV higher. APAC-Euro flow: 1.5k Nov 72+75k Calls bought. At US open, as BTC peaked at 69.3k, Nov29 60k Put bought x1k funded by Nov29 80k Call, and Nov15 64k Put bought 1.5k. ETF outflow. BTC to 66.8k CME Whale pounced+lifted Nov29 70k Calls. 69k

Deribit Insights

7) The Option +IV buying has not been matched by continuously increasing Realized vol, but ofc represents anticipatory vol post-election. Therefore, the 7day VRP has now widened to 30%!

Deribit Insights

4) In fact, a close breakdown of Gamma forensics suggests some TPing and rolling of shorter term Nov8 outward to Nov15-29 expiries to avoid paying very high levels of theta in the days preceding any result.

Deribit Insights

Key insights by the smart people @BlockScholes ⤵️

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