Derivatives Market Update - 08.14.2023
August 14, 2023

Volatility Markets - Overview

This week Bitcoin continued ranging and vol movement stayed virtually flat. Near and mid term vols adjusted just a few but basically held the same levels since last week. Further term BTC vols moved about 1-2 points up. Ethereum ATM vols however dropped by roughly 2 points for mid-late term expiries with September, December, and March now sitting at 28.8, 32.55 and 36.8. The only expiry left with vol above 40 is June 2024.

Interesting to see ETH vol now remaining below BTC vol for every expiry persistently over the recent months. Still also remaining quite pronounced is the difference in ETH and BTC skew. In the graphs below (showing BTC and ETH smiles overlaid for set expiries), one can visually see the difference in call side skew, as BTC smiles exhibit much steeper slope on the call side than ETH smiles.

Digging Deeper - Volume Analytics

Digging deeper into BTC Deribit and Paradigm block trade data we see the biggest volumes in  Strangles / Straddles, Call Spreads, and Risk Reversals, and (39.5%, 29.1%, 15.8%). Also seen in Deribit’s volume breakdown was a larger majority of Calls and Puts sold, 35% and 19.1% certainly contributing to lowering vol.

Ethereum volume data shows a similar mix in combination spreads but with Call Diagonal Spreads comprised the majority of volume. The top 3 were Call Diagonal Spreads, Risk Reversals, and Strangles / Straddles (33.4%, 25.3%, and 20.1%). ETH also showed dominance in short calls this week, with call selling comprising 39% and Put selling comprising 16.3%.

BTC Combo Spread Volumes:

  • Strangles / Straddles: 1,625.5 Contracts 
  • Call Spreads: 1,198.1 Contracts
  • Risk reversals: 650 Contracts

ETH Combo Spread Volumes:

  • Call Diagonal Spreads: 9,875 Contracts 
  • Risk Reversals: 7,500 Contracts 
  • Strangle / Straddle: 5,927 Contracts



***Data and insights as of August 14th, 2023 12:00:00 UTC


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