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Tony Profile picture
Tony
@PelionCap
Crypto Vol | Founder Pelion Capital (FO) | Deribit Forensics | AD Advisor. 30+yr Options | Ex-MS-Head of Trading desk. Tweets my opinion not financial advice.
10 subscribers
Dec 15 • 14 tweets • 6 min read
1) It's been fascinating to see the marketing flywheel in full force over the last few days with @dgt10011 substack publication.

Jeff is a majestic force of nature in his analysis, publications, and time dedicated to the promotion of our/his business, and while he is an expert sales person, he (I would imagine he would agree) is not an expert in options.

'One must have first of all a strong foundation' - Sri Aurobindo

I'll take a look at those foundational assumptions that Jeff has made to determine his 'One chart that explains why Bitcoin won't go up' masterpiece.

Make your own mind up.

Also for the purpose of large accounts that retweeted Jeff's substack with conviction:
@coinbureau @WuBlockchain @BitcoinNewsCom @CorySwan @dotkrueger @Andre_Dragosch , multiple kaito yappers and ai bots.
(I'm not looking to engage or promote anything).

I wanted to present a different view for people not just to take for granted that which is written and retweeted by large accounts.

🧵 2) Jeff is ofc correct that BTC is becoming more institutionalized, and with that being long the underlying BTC and selling Calls is a well-known and ancient tradfi strategy employed by an increasing amount of participants on Deribit and IBIT.
May 20, 2022 • 20 tweets • 4 min read
1) DOVs 🧵

Execution issues. 2) It made sense originally for DOVs to execute on Fridays, as MMs could offload risk vs Liquid Deribit Friday expiry flow + OI.

Guaranteed all MMs and large Liquidity providers present around expiry.
Sep 24, 2021 • 10 tweets • 3 min read
1) 'Max pain' discussion raising its head again. It is, without doubt, the most contested area on CT with regards to Option expiries.

When time allows, I will write something detailed for @DeribitInsights on this subject.

For the moment, a brief summary of thoughts and threads. 2) Max Pain:
Mar 26, 2021 • 5 tweets • 1 min read
1) A thread on Options Max Pain.... 2) It's currently irrelevant for Crypto Options, particularly when the Max pain is not near the current spot.
Dec 31, 2020 • 5 tweets • 16 min read
'21 early #FF. 🙏 All 🫂

Core:
3A @zhusu, @kyled116.
FTX @SBF_Alameda
DB @DeribitInsights +@hasufl
Clarity of💭. @lightcrypto

Alpha Teams:
Arca. @jdorman81 @HassanBassiri @ArcaChemist
MLC. @MapleLeafCap
Spartan. @SpartanBlack_1 @Darrenlautf @mrjasonchoi
CMS @cmsholdings Alpha Teams cont.
Defiance Cap. @DeFianceCapital @Arthur_0x
Mechanism Cap. @MechanismCap @Rewkang @Daryllautk
Amber. @ambergroup_io

Options+:
@ConvexMonster
@JSterz
@Blockchain_C
@thetaseek
@BambouClub
@gross_bit
@codingalex
@duganist
@cryptarbitrage
..p (secret@!)
Jul 9, 2020 • 22 tweets • 5 min read
With appreciation to followers >5k and in response to some of the tongue-in-cheek requests for 'English translation channels' to the @DeribitInsights market commentary, here's hoping some explanation of the recent thread attached.
For 'simplified' terminology see my pinned tweet. [1]Large buyers of BTC OTM Calls conspicuous with BTC spot rangebound. Calls:Put volume 3:1, bullish bias, Asian hours.
Scattered across short-dated maturities: July10th 9750+10k, July 17th 10.5k+11k, July31 11k+14k, small premium, originator size >2.5k. Vols firm, Call skew bid.
Mar 19, 2020 • 94 tweets • 14 min read
1) My threads are written with options specialists in mind. However, I also appreciate and am humbled by the large number of followers that are interested in the commentary as a process to learn about and interpret option market activity. This thread will hopefully help a little. 2) Options are so popular in traditional markets because they allow market participants to express views with an affordable outlay premium, flexibility, leverage and to an option buyer, less risk.
Mar 17, 2020 • 4 tweets • 2 min read
1) On 22nd Jan, an end-user spent $93k to buy 1000x 27/3 5k+6k $BTC strike puts. Today they took profits but maintained protective/speculative downside exposure, selling the 27/3 puts for $822.5k and using $528.5k to buy the BTC Jun 3.5k puts x1000.

2) These trades were executed @DeribitExchange and blocked @tradeparadigm to avoid direct market disruption

While a 9x return to date in dollar terms, the 5k puts returned 13.5x, the 6k puts 14.5x in BTC terms. The Jun 3.5k puts were priced at 0.1BTC each, BTC spot trading $5284
Mar 15, 2020 • 7 tweets • 2 min read
1) $BTC option IV back to Friday's levels after a weekend spot breather. Given spot is relatively unmoved over 48hrs, the expectation is either further moves when macro markets open and/or no appetite to sell option volatility into continued short-covering. Liquidity is very thin 2) BTC option markets, despite unprecedented recorded vol levels, have acted within expectations. Vol surged on forced and panicked short-covering, protection added vs underlying spot inventory + uncertainty, spot capitulation + brief mm withdrawal of prices, now wide+illiquid.
Mar 12, 2020 • 5 tweets • 2 min read
1) Chaos in $BTC options. Massive 30k 2:1 puts the last 24hours @DeribitExchange . Vol explosion. Puts still being bought, extra longs + short-covering in all options (puts+calls). Prices exist, but wide and liquidity drained.
Term structure 'settled' to this around 6k spot: 2) IV yesterday: 10d 61%, 1m 63%, 3m 66%, 6m 67%
Mid-mkt IV now: 10d 165%, 1m 145%, 3m 90%, 6m 80%

Changing rapidly with thin liquidity and any trade, even small making an impact.
Mar 3, 2020 • 8 tweets • 7 min read
1) Two developments over the last few couple days.
Firstly, accumulation of far OTM $BTC calls, initially Jun32k @105%, appeared halving related, but now Apr28k (preceding 10thMay est date) @125% IV. Demand for upside calls is always strong, but these set a new level in optimism. @105 @125 2) Jun32k trading ~$50, Apr28k ~$20, total 3.5k bought (Jun32k 80% of that volume to date). These call IV's are stratospheric and providing opportunities for LPs to sell these and buy other calls to create attractive structures that are generating large volumes @DeribitExchange.
Feb 28, 2020 • 6 tweets • 3 min read
1) S&P down 500 from the highs, VIX 50 (high since '08 crisis). Metals liquidations. $BTC hits 8450 (50% fib 6.4-10.5k). For a high vol product, BTC has remained orderly; no IV explosion, little fear. If not a safe haven, narratives absorbing hopes of Central Bank intervention. 2) Seeing buying of $BTC calls on @DeribitExchange. 10k calls in 6/3 and 27/3 short term. 2way interest in Mar puts, but even some put buying is done at the same time as buying BTC, ie as a short-term hedge, so bullish. Most bullish of all Jun 32k calls, accumulation, +1k today.
Feb 26, 2020 • 9 tweets • 4 min read
1) A day of change, but unresolved.
$150mn Mex liquidations set a record for 2020 so far, perps funding reset lower, $BTC 9k tried to hold, but despite attempts, bigger factors at play. BTC options market reacted but was orderly. Flows indicate sentiment change but inconclusive 2) With $BTC testing 9.2k overnight, a structurally short option fund, made presence felt by buying x600 1-2day options 8750-9k strikes; unclear on motivation but inspired trade as the day proved. Put skew historically low and in these kind of mkts offer cheap protection opps.
Feb 25, 2020 • 5 tweets • 2 min read
1) Equities bloodbath day2. Vix hit 30% from 25 yesterday. Gold rolled over, illustrating when fear hits, certainty is king. $BTC followed lower with near 5% spot range. Cf IV mid-50s, implies daily move of <3% so theoretical IV cheap. But again BTC option buying interest subdued 2) A significant chance that traditional markets briefly offer frankly more interesting volatility shifts than $BTC and multi-asset classe traders are risk-managing and taking rare opportunities elsewhere. While BTC volumes are robust, there is an absence of outsized trades.
Feb 11, 2020 • 9 tweets • 4 min read
1) Quite a day @DeribitExchange, where volumes were not generated by outsized large clip option trades, but by an accumulation of masses of differing views and a large quickly executed buy order in BTC spot back above 10k causing short-cover futures + options. Brief 24h+ thread.. @DeribitExchange 2) 36hrs ago, the fall back <10k meant spot back in more familiar territory and with that a question whether all hopes would fade or we would again breach the key psychological level. At first, Feb 9k put strikes traded in decent volumes, 10-10.5k sold as former threatened.
Jan 27, 2020 • 13 tweets • 5 min read
Quiet wknd BTC options - flows on BTC <8.3k to sell 31/1 8250+8.5k puts (42% vol lows - mm gamma buyers), 2-way interest short-dated calls. Continuation buyer 7/2+28/2 downside 7-8k puts + buyer Mar 7k puts x250 on BTC rally. BTC rangebound, vol pressure.
IV 10d 47% 1m 54% 3m 62% Retail-driven BTC options market today, small-size 2-way short-dated calls, initially profit-taking on the rally at key spot resistance levels (vol soft), now buying (vol firm) as BTC continues to grind higher - reminder vols have firmed towards 9k.
IV 10d 49%, 1m 55%, 3m 62%, 6m
Jan 22, 2020 • 5 tweets • 3 min read
Size March puts (expiring 27/3/20) bought x1000 BTC notional on @DeribitExchange , crossed up on @tradeparadigm. March 5k x 286 @ $51, March 6k x 714 @ $110 each. Total premium spent approx $93k. Far OTM puts for protection or a punt? OI increase so not short-covering. Thread.. @DeribitExchange @tradeparadigm Low delta puts, little impact on BTC spot.
Very much against flow of the last few days, which has seen strangle selling, downside put selling jun+sep expiry and call buying. Whatever the reasoning, technically with recent selling applying vol pressure and put pressure, good opp.
Jan 19, 2020 • 11 tweets • 2 min read
1) Brief overview of the weekend BTC options activity: messy. Interestingly, much of the flow this weekend seemed to be pushing for upside bias. Call buying + put selling. My last thread 17/1 stated the options mkt was wary 'showing short-covering or consideration of wknd move.' 2) Call buyers on Friday took risk-off after failed stop hunting attempts >9k, but in European hours on Saturday, buyers of short-dated calls were back and aggressive - lifting offers only when size appeared (ignored small). Spot tight range, but 24/1 vol moved up 5% back to 60%
Jan 17, 2020 • 12 tweets • 5 min read
Demand for near-term options absorbing natural expiry related flow, as the BTC options market on @DeribitExchange effectively saying that 'we're either going through 9k with a break higher or time to retrace, but not hanging around for long'. Direction flow 2way, slight bias up. @DeribitExchange However, one player happy to play medium-term range, continuation selling in BTC march options. 300x 7500p-12000c strangle (selling both options) premium 0.076BTC, $680, therefore (if stand-alone trade) anticipating (hoping) for BTC market to stay within 7.5k-12k pre-mar27th.
Jan 16, 2020 • 5 tweets • 1 min read
BTC options market showing continued signs of profit-taking and adding protection. The TA 61.8% retracement (10.4k-6.4k) around 8875 was a key marker. Initially Mar20 calls profit-taking, good size, now some nearer-term protection being placed and BTC spot risk-off. On the 1st high 14/1, sellers mar20 7000-9000calls, mainly profit-taking, + buyer 31st Jan 7k put; on 2nd test 15/1, smaller sellers of mar20 12k calls + some Feb28 put buying + Jan 24th 8k-10k strangle bought. 3rd, less successful high 16/1, buyer of Jan 31st 8k put. Protection.
Jan 13, 2020 • 7 tweets • 2 min read
BTC mar20 IV has been trading high relative to RV even before the accumulation of mar20 8k-10k calls at the start of the year. Opportunity. Seller of 300x (clips x100) mar20 7000p-14000c strangle @ 0.65BTC ie $524. Prior to strangle, 2-way fronts, with bias put buyers....thread Despite a benign BTC spot weekend, vols remained firm - a little defence going on at the front end, but there were natural buyers of puts+calls. With the march strangle, vols have softened a touch. Jan vols flat 53-55%, 3m 67%, 6m 72%....