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skew
@skew_markets
, 6 tweets, 2 min read Read on Twitter
1/. Two large bitcoin options trades crossed on Deribit today -

- 22Feb 3750 calls traded 1130x @ 0.0195 btc ~ 66$.
- 22Feb 5000 calls traded 2916x @ 0.0005 btc ~ 1.71$.

It looks like the overwriters are here and they are keeping options traders busy!
2/. Those new positions are sending total options open interest to a 1m high of $155mln ...
3/. ... and the $5,000 strike directly to the largest open interest
4/. The situation in short term vol remains fluid as the trades were not premium intensive
5/. This should put further pressure on upside tails. Market is currently pricing probability of being above $5,000 by March (5%), June (18%), Sep (27%).
6/. More resources:

live data analytics for crypto derivatives and options

sk3w.co/options

options market natural flows

diar.co/op-ed-do-we-ne…
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skew
@skew_markets
When it's quiet usually most of the action is in the vol market where options can reprice aggressively.

The total options open interest on Deribit is already back to pre December expiry levels - looks like it's growing to us!
The next quarterly expiry in March has a total open interest of 22k bitcoin options ~ $75mln notional.
To give an idea of the size of this market in traditional markets, S&P500 options saw a record open interest of $5tn last December and are trading a daily notional of approx ~ $400bln.

cboe.com/blogs/options-…
Read 3 tweets
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skew
@skew_markets
# of ether in Maker keeps rising. Now > 2mln
Is that a sign of nervousness with investors trying to prop up the collateralization level in anticipation of eth falling < 100$
The majority of liquidations are between 80$ and 40$
Read 3 tweets
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skew
@skew_markets
Given where some of those funding rates are printing - there is room for the bitcoin term structure to invert further.
On Bitmex, implied funding is -0.0127% per 8h out to March and -0.0087% per 8h out to June.

If you think implied funding is cheap you can go long the Mar future short the perpetual swap - the opposite if you think it's expensive.
PnL: if you are short perpetual swap long Mar future, you will collect the spread equal to $88 (fixed) and pay/receive funding every 8 hours on your perpetual swap position (variable).

That way you can end up with a position driven by realized funding versus implied funding!
Read 3 tweets

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