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Julien Profile picture
Julien
@JSterz
Prop Trader. Mainly cryptocurrencies; we make markets on BTC and ETH options. Twitter advice: The struggle is where greatness comes from.
orhan Profile picture 2 subscribed
May 17, 2021 • 8 tweets • 3 min read
Thread

1/8 Today rather unnoticed there was a massive vol liquidation event on @DeribitExchange. While spot prices did not move too far from yesterdays close, the implied vol on #BTC (not #ETH) exploded. 2/8 This shows how elevated the vol term structure now is compared to yesterday. That is an increase of more than 22% points (vols) on the long dated maturities. I can't remember having seen such an event in a long time.
May 1, 2020 • 6 tweets • 1 min read
1/6: A take on BTC market structure through options.

Current market structure is not yet stable. We went from capitulation in 2018 to stabilisation early 2019, to bull market and then to capitulation Mar 2020. Let's look at options skew (calls vs. puts). Image 2/6: Early 2018 we are still in a bear market, complete capitulation was still lacking. Market retesting the 6k level multiple times, support holding. Still more call skew than put skew.