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Paradigm

Sep 14, 2020 • 5 tweets • 2 min read • Read on X

@tradeparadigm

💡
- We analyzed all Paradigm BTC Option block trades on Deribit between Jun-Aug 20
- A total of $620M over 378 transactions
- Here's what we found... (Spoiler: if you aren't on @tradeparadigm, you are losing $$)

Thread 👇

2/ Price Improvement vs screen

- 74% of all trades were executed AT-OR-BETTER than the best bid/offer (BBO)
- 60% of all trades were executed BETTER than the BBO
- Avg price improvement was 1.6 ticks (8 Bps)
- 13% of all trades were executed AT-OR-BETTER than the Mid price 🔥

3/ Size Improvement vs screen

- 89% of all trades executed were larger than the size shown against the best bid/offer (BBO) on screen
- The average trade on Paradigm was 72x larger than the size shown on the BBO

4/ Price Slippage

- Trades where pricing was worse than screen were 120x larger the size shown on the BBO i.e. super large trades.
- Despite the size, slippage incurred was ONLY 1.6 ticks meaning traders valued the significant size improvement vs the price deterioration

5/ Most Popular Trading Strategies

- Outright Calls (44%) and Puts (25%) dominated volumes while multi-leg trades accounted for 31% of all trades!
- Call Spreads were the most popular multi-leg trade followed by Strangles and Put Spreads

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More from @tradeparadigm

Paradigm

@tradeparadigm

May 21, 2023

@genesisvol

Paradigm Block Insights (15May - 21May) @genesisvol 🧵
Crypto majors roughly as vols move sharply lower across BTC and ETH curves.
ETH 1M vols trade <40v, under BTC, as curves move into steeper contango driven by the front-end drip lower.
BTC -1.5% / ETH -1% / NDX +3.5%

🧵1/7

We are proud to launch Paradigm Institutional Insights! 🧠

A proprietary analysis on the state of the Crypto Option Block Markets. 🚀

This periodic report unveils key themes in the institutional crypto derivatives block market!

Take a look 👉 pdgm.co/41JLkbk

🧵2/7

The biggest BTC trade of the week was a 19mar/20may put calendar traded on wednesday, with the 20may leg being unwound after expiration. Potentially some pin mgmt ahead of the Friday settlement.

1150x 19-May-23 / 20-May-23 26750 Put Calendar bought

🧵3/7

Read 7 tweets

Paradigm

@tradeparadigm

May 19, 2023

1/ Worried about going to the wife's family house in the Hamptons because your brother-in-law, who works at JP, is going to lecture you on how to build generational wealth with Bonds again?

Don't get rekt during cocktail hour.

Here's what you do. 👇

2/ First, you read our Institutional Insights Report.

I'll leave the link here so it's easy to find.

Link: pdgm.co/41LJ6YE

3/ Now you're well versed in the Crypto Derivative space, so when you first arrive, you start with something unassuming...

"Oh hey Tom, did you know the crypto option block market has grown significantly? $BTC reached 605k in March 2023, that's 181% YoY"

Read 8 tweets

Paradigm

@tradeparadigm

May 19, 2023

Paradigm Asia / Europe Session Hours - 19-May-23

APAC session saw strong two-way action specifically in the Sep 28k straddles with takers both buying in selling in RFQ + OB. EU has seen continuation of selling in the May 27k straddles.

1/5 🧵

It appears participants are trying to pick a bottom despite the low RV with a willingness to swallow a week or two of decay whilst picking up some mid dated IV.

2/5 🧵

Overall price action on the spot front remains lethargic despite the increased action in the options volumes with BTC still trapped within 26500/27500 and ETH fluctuating around 1800.

3/5 🧵

Read 5 tweets

Paradigm

@tradeparadigm

Mar 14, 2023

Paradigm EOD Recap 🇺🇸 - 03/14/2023 🟪

A very busy day as spot roundtrips post-CPI from 24k up to 26.4k and back to roughly 24.5k. Options volumes have exploded given recent moves with Deribit 24hr option volumes +$3b.

t.me/Paradigm_Marke…

1/6 🧵

Unsurprisingly, peaks in implieds coincide with peaks in spot as BTC finally breaks the psychological 25k level. The Mar 26k call has traded in a range of 58v-69v in the past 8 hours.

2/6 🧵

In BTC flows, profit-taking of 26k strikes, rolling up to 30-35k strikes in Apr through Jun expiries.

Downside interest muted in comparison, but hedging program comes in on BTC 31Mar 20k puts and ETH 31Mar 1.4k puts during afternoon selloff.

3/6 🧵

Read 6 tweets

Paradigm

@tradeparadigm

Mar 13, 2023

1/ Insane last couple of days. 🤯

Let's look at how the Options market reacted. 👇

The Spot/Vol correlation decoupled from the recent status quo in terms of (spot-up/vol-up) as Option buyers started to become cognizant of the potential for further downside.

2/ Term Structure has become heavily backwardated in both $BTC and $ETH with IV’s shifting up significantly across the board.

Term structure richness has continued to climb as short-dated volatility has exploded.

3/ Skew across the board in $BTC and $ETH saw a massive shift towards puts at a premium - even in the longer-dated tenors - as a seemingly one-way flood for downside protection came in toward the end of the week.

Read 7 tweets