1/ Couple of big things for myself coming this next month, but for one, I'm excited to announce I'll be coming on board as a strategic advisor for
@pear_protocol
@quinnslcm
Never fell for a free armor trimming scam and proud of it.
Attribute my interest in trading from flipping lobsters at the grand exchange for sure.
1/ Having spent some time pricing, hedging, trading, and generally staying involved in the crypto options space, I think this would be a great time to ask a few questions as an opportunity to learn or clarify a few things regarding how much this “Gamma Squeeze” has popped up.
Looking forward to spending some of my personal time outside of work and on the weekends to help provide insights to the growing options and derivatives space!
Having been active on the sidelines as an advisor and ambassador for several protocols over the past few months, I've realized how much I've missed being back in the space.
I've decided to pause my master's program here at Georgia Tech and get back into the space as a full-time…
Super excited to be selected to speak at
@EthereumDenver
!
Looking forward to connecting with new projects, builders in the space, and hopefully I’m able meet some crypto options/vol traders in person!
1/ Starting to finally see some signs of life in the BTC options market albeit nowhere near the size and volumes of Jan 2022.
ETH had it's big trade of last week with the large put buying flow happening on screens in the JUN23 tenor 400P
1/ Looking at approximated dealer gamma positioning today there's a decent bit of positive gamma expiring this week.
ATM Gamma for 1/13 expiries compared to 1/27 expiries is around 4x greater.
How I set myself up for success in Crypto/Web3 early on 🗒️🗒️🗒️.
I never really thought to put out a thread like this, and I’m not sure how large my student audience is, but yesterday was the 50th introduction/informational call I’ve taken from a student looking for advice.
I…
Super excited to help
@Vertex_protocol
as an ambassador for their DEX.
Vertex emphasizes liquidity, cross-margining, speed, and a well-structured token program.
Definitely looking forward to seeing the growth of DEX volumes after recent developments.
Pre-ETF Week Thoughts with
@GreeksLive
🧠:
The past few days have led to significant price volatility and perpetual liquidations. Off the back of a few news-oriented events, we saw large amounts of liquidations and a reset in funding rates.
This rise in funding rates certainly…
Shared some thoughts with a friend on the most recent rally:
Forewarning, it's paragraphs + a couple of images instead of a thread.
Side Note: I'm In ETH Denver so would love to discuss in person with anyone + always looking for builders/teams to chat with.
From my…
Around $1.8B of BTC options expiring this Friday. Going to be interesting to see how the market shifts itself heading into March. Especially with the bull rally starting to wane as we reject $25K multiple times.
Super excited to be on a panel with some DeFi Gigabrains representing protocols and institutions who have years of experience building and investing in the space.
Looking forward to discussing some of the developments in DeFi options, and some of the new primitives popping up.
Long writing weekend ahead! ✍️✍️✍️
Hoping to get out a piece on Ratio Spreads for
@tradeparadigm
, an explainer on market moves driven by liquidations, how to read potential gamma squeezes, an exciting weekend recap for
@DeribitInsights
and a couple other short pieces!
Seeing some size start to come back into the ETH options market. Big chunk of ETH 400 puts being traded for June 30th. Largest to start the year off.
25K 30JUN23 400-P traded at around 00:03 UTC today at an IV of 104.47 all done on screens.
Charts:
@genesisvol
Love writing things like this and hope others find it insightful and encourages new traders to explore different strategies!
If you’re looking for a new versatile strategy in the options market take a look at this guide to calendar spreads.
Save the Date! 🗓️ A Comprehensive Guide to Calendar Spreads. (Very applicable)
In this piece
@GSR_io
trader Chris Newhouse (
@CryptoDeFiGuy
) breaks down calendar spreads and trading the volatility term structure in simple terms.
Read it now! 👇
The latest report in our Options Series explores the concept of "working collateral" and the path towards capital-efficient options collateralization, as well as delta-hedging trade-offs.
Read Part III at .
1/8
Never underestimate the power of short liquidations + dealers' short gamma today + FOMO/momentum into after-hours liquidity.
Those 18/21K 18/23K call spreads are looking really good right now since yesterday haha.
@davidbrickell80
@jkruy26
Thanks for all the positive feedback and questions!
I’m motivated now more than ever to continue to provide insights into the crypto options space.
I’ll try and focus on providing insights and education rather than just summaries and recaps. 🚀🚀🚀
1/ Having spent some time pricing, hedging, trading, and generally staying involved in the crypto options space, I think this would be a great time to ask a few questions as an opportunity to learn or clarify a few things regarding how much this “Gamma Squeeze” has popped up.
2/ Preliminary information: I trust the methodology
@Amberdata
uses to discern “dealer gamma” from retail option flow is rigorous. I’ve been using their charts for years. Note: dealer gamma exposure only matters when you can safely assume that DEALERS are tagged.
Thanks for having me! I really enjoyed the opportunity to answer some of the questions everyone prepared, and I was happy to see so many students interested in crypto/web3 research!
We want to give a special thank you to Chris Newhouse, the
@CryptoDeFiGuy
for joining us on Wednesday. Chris graduated from Georgia Tech as Co-Founder of their Blockchain club. He currently works
@GSR_io
as a Trading & Research Analyst and writes for Deribit and Paradigm Trading.
Great explanation on the difference between gamma/vega regarding how to think about market moves and the mindset behind entering into longer-dated/shorter-dated positions + main sources of P/L
Let's differentiate between Gamma and Vega.
Rant.
Both are 'Vol' - volatility ie every Option has Gamma and Vega, but when I see people say buy/sell Vol, they are not the same in terms of their reaction to market moves.
Mathematically derived and attached, they are acting…
🧵With crypto derivatives comprising a record ~79% share of crypto trading volume globally, our latest report provides an overview of common derivatives & their use cases before diving into the landscape of
#crypto
futures, options, and structured products
Landed in Austin and went to my favorite pizza spot. Literally the best I’ve ever had.
So good I bought a “legalize marinara” shirt just to support.
DeSano Pizzeria Napoletana
1/ Although ETH term structure has been a bit sticky over the past week (At one point BTC down 6-8 IVs, ETH up 1-2 IVs), it's started to slowly drift inward in the longer dated tenors.
Enjoyed the opportunity to talk with macro and option gigabrains
@davidbrickell80
and
@jkruy26
on
@tradeparadigm
’s The Big Picture Podcast.
Definitely some really interesting microstructure trends being established in the crypto vol markets, and all eyes on the macro for now.
As
@DylanLeClair_
pointed out yesterday, spot liquidity is evaporating!
We talk about this on The Big Picture a few days ago.
It won't take much belief to send $BTC sky-high. 🚀
Although, we hope it doesn't hit $1M like
@balajis
suggested. 😂👇
1/ Following up on yesterday, IVs for BTC and ETH ended up taking quite a hit. ETH was the one I was primarily taking a look at, as I figured it had remained relative strong for quite some bit.
1/ Recent rally has certainly been BTC driven. Upside demand in BTC is apparent with positive call skew across all tenors.
Looks like ETH has started to move again, however, with ETH/BTC showing a little bit of strength off the bottom.
@GenesisVol
As volatility increases delta trends towards 0.50. ITM options will decrease, OTM options increase due to the higher probability OTM options end up ITM while ITM options may end up OTM.
We released Part 1 of our blogpost on tokenomics last week, where we discussed aligning a project's goals with its token and managing the supply. Part 2 covers demand drivers and supply-demand equilibrium.
Read Part 2 at
1/11
9/ I’ve quoted this exact line this year for podcasts and media outlets and have been trading and hedging flows like this previously. Here’s a snippet from June.
Looking forward to chatting more tomorrow with
@CoinDesk
! I'll be posting a summary thread after as well.
We'll cover some of the most interesting flows, institutional positioning, notable aspects of the volatility surface, and much more.
Can't wait
@Blofin1
and
@godbole17
$BTC supposedly rallied last week on the belief
@SECGov
will approve an ETF in January. Big product launches tend to see
#bitcoin
reverse pre-launch uptrend. Is it again?
Join
@CryptoDeFiGuy
and
@godbole17
on our Crypto in Macro Spaces.
Set a reminder:
Looking forward to working with
@cryptojesperk
,
@guil_lambert
, and the awesome team over at
@Panoptic_xyz
as an ambassador!
Really enjoyed the panel with
@guil_lambert
at Cornell's Blockchain conference and am excited to have the opportunity to help out!
4) Funding Rates to determine spot/futures/perps
5) Specific hedging parameters such as % move in the underlying or time since the last hedge.
6/ Market Volatility/Views
Nobody is continuously hedging their deltas every second.
Bullish sentiment flowing back into the options markets for BTC.
Skew on every timeframe is now positive and showing 25D calls trading at a premium to puts.
🎙 Let's talk DeFi options 🎙
Premia team x
@rush_btc
are joined by
@CryptoDeFiGuy
and
@defitrader_
this week to share opinions about the current markets and give you a little bit more perspective 🔮
🤳 Jump here to set the reminder:
Super interesting piece on OTC trading and Dark Pools in DeFi by a student from
@txblockchain
's Research Division.
Continue to be amazed by the high quality of work some of these university clubs put out.
Dark pools are legendary in
#finance
, however, centralized solutions' vulnerabilities are evident. As we explore privacy-driven fintech, trustless dark pools could be revolutionary.
Ecstatic to share my article on
#zk
-powered
#crypto
dark pools!
1/ Quick Options Thoughts with
@GreeksLive
.
With the movement in both price and volatility across the curve, it's good to see some volatility risk premium returning to the options market.
5/ The chart interpreting how much delta needs to be bought by dealers for every 1% upside move is sick.
It’s nice to put a tangible value/number to the exposure that needs to be hedged, and it’s also cool because it helps visualize how aggressively the gamma exposure ramps up.
It's been great working with the
@ZetaMarkets
team recently and watching some of the recent growth of their protocol, and the emphasis they place on the trading experience of the users.
With the Solana Ecosystem thriving and airdrop season in full swing, I've been looking…
Enjoyed the opportunity to talk with
@hufhaus9
about the markets.
Unfortunately we recorded before the onslaught of news including:
Blackrock & Wisdom Tree’s Spot ETF filings, EDX launching, Deutsche’s Digital Assets push, etc.
Feeling a lot more bullish now for sure.
The Crypto Narratives Podcast Ep.5: OUT ✅
@hufhaus9
sat down with fellow trader
@CryptoDeFiGuy
to talk about the markets, trading narratives and where crypto is headed.
If you ever hit the green and red buttons, you certainly can't miss this one 😉
Very excited to have the opportunity to speak to some of the students and prospective candidates involved with
@BlockBeamio
bootcamp programs.
Sign ups still open at:
1/ Post-CPI saw a decent bit of vol compression across the board in ETH and BTC. ETH/BTC ratio was definitely pretty weak and the recent move saw a great expression of strength in BTC
🚨 New Big Picture just dropped! 🚨
It was an amazing conversation with
@NoelleInMadrid
!
Here's a preview. 👇
"If options are so cheap, why aren't people buying them and pushing up IV?"
Full Episode:
#Web3ATL
is BACK!
We're overwhelmed with the positive feedback we've received from year 1, and are excited to announce that round 2 of Web3 ATL is officially happening this Fall! 🍂
The dates for the event are November 3-5th at the Georgia Tech Hotel and Conference Center. 🗓️…
Looking forward to moderating the panel!
Some of the topics involve both the spot and derivatives space, institutional adoption to the regulatory environment, and trends in the institutional trading environment.
The institutional crypto landscape has dramatically changed after blowups from FTX, 3AC, and Celsius
But what's next?
Find out at the State of Institutional Crypto: Past, Present, Future:
• Saturday Nov 4
• 2:35 - 3:10pm
• Main Stage
Hear insights from these speakers 👇
3/ The reason this matters is because dealers are assumed to hedge their underlying exposure, and thus, their underlying flow can be considered as a catalyst for price movements.
7/ There’s no group of dealers saying hey guys, everyone ready to market buy our delta hedge at $32K? This staggering of transparent flow and difference in hedging parameters means although we know some hedging flow will happen, we have no idea how or when it will.
4/ Regarding how delta hedging and gamma exposure are managed, there are several different things to take into consideration.
1) Passive vs Aggressive Order Placement
2) Execution I.e., short-term TWAP/VWAP
3) OTC/Bilateral trade with another counterparty/dealer,
Happy to be to helping CoinCall build out its CoinCall Academy program for new options traders.
Also looking forward to working with
@4adybug
and other options traders!
For those looking for an options trading platform with a simple UI:
Get ready to level up your
#crypto
trading skills with Chris Newhouse
@CryptoDeFiGuy
, our options tutor, in our first Weekly Market Recap & A Look Ahead at
#Coincall
Academy.
Click to view⬇️
Feel free to leave your comments below!
#cryptocurrency
…
+/- 1% after the +40% move in January definitely felt a lot slower.
Although there were certainly directional trades to put on intra-month, directional plays at the start of February certainly bled a bit.
That funding reset on the previous shakeout was an incredible opportunity to get into position if you were waiting to long.
Side note: Skew is definitely signaling long term bullish with regard to the IV premium in longer dated tenors.
Chart below measures skew in Call - Put…
12/ It’s important to realize that positioning in the perpetual futures markets (liquidations), natural spot demand, and any potential events (DTCC stuff last week) must also be present to see something as explosive as a 10% move in a day.
🎉CORNELL BLOCKCHAIN CONFERENCE TICKETS ARE SOLD OUT 🎉
We are ecstatic to welcome over 6⃣0⃣0⃣
#blockchain
lovers to Roosevelt Island this April 21. This is beyond our expectation and we are overwhelmed by the support and we thank you for joining the
#web3
revolution with us…
8/ Given the massive move last week happening primarily over a single day, there’s no use arguing whether the chicken comes before the egg.
There was a combination of factors driving this move, and hedging from dealer gamma exposure certainly played a part.
We are excited to announce our latest Options Series report, delving deep into options pricing, tokenomics and value accrual mechanisms.
Read Part II at , and go over some of our findings below.
1/5
We are proud to launch Paradigm Institutional Insights! 🧠
A proprietary analysis on the state of the Crypto Option Block Markets. 🚀
Take a look 👉
This is designed to be a periodic report unveiling key themes in the institutional crypto derivatives…
We want to give a special thank you to Chris Newhouse, the
@CryptoDeFiGuy
for joining us on Wednesday. Chris graduated from Georgia Tech as Co-Founder of their Blockchain club. He currently works
@GSR_io
as a Trading & Research Analyst and writes for Deribit and Paradigm Trading.
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1/ Markets Update:
BTC finally breached the 40K level for the first time since April 2022, recovering to Pre-Terra levels. Speculated to be driven by liquidations, spot demand, and longer-term views betting on Fed cuts and ETF hopes.
6/ This is not just a single entity. This is an aggregate of gamma exposure tagged, which can mean although $X of hedging may occur at Y levels; the timing and execution of hedging differs for every dealer entity and the various factors/weights they place on certain factors.
10/ What is worth arguing, however, is that a “Gamma Squeeze” could happen again this week. Sure, dealer gamma exposure has moved higher, and subsequent moves in the spot could bring in some of that forced hedging flow again, but there were several factors last week...
@hansolar21
@kingfisher_btc
Chiming in W/ extra info; Gamma is most impactful in short dated option expiries. (Like that chunk of 26K 24FEB expiry that traded last week).
Also because hedging has more of an impact on crypto than in the very liquid equity markets.
Great Thread! 🫡🚀
Anyone interested in derivatives has to attend!
Will be on a panel with a few friends and OGs in the crypto volatility space.
@joshua_j_lim
@turbanether
🫡
Panoptic is hosting the premiere derivatives side event at
#ETHDenver2024
. If you're a trader or builder interested in perps, options, RWAs, or VC, you won't want to miss this special event!
The first round of speakers is official, see below 👇
New episode of Premia x
@thinkingvol
Options Talk coming up tomorrow🎙️
🗣️Institutions in the low vol regime, directional vs non directional plays, institutional flows, DeFi options & more. Featuring
@CryptoDeFiGuy
. Tune in!
⏱️Wed, Aug 9, 6pm UTC
📲
Call skew is still elevated across the board, funding rates are positive, but not many tailwinds heading forward for the next couple of months.
Some eyes on the BTC halvening as a tradable opportunity, but really seems like we're in a lull in which we may see some…
Haha my forecast ended up happening quicker than expected for sure.
Really solid trades by those who bought outright short-dated gamma + any upside call spreads.
Huge Call clips went through last Wed, the trade ended up being a 20x (at time of recording) on the back of this rally! 🤯
@CryptoDeFiGuy
@jkruy26
@davidbrickell80
Full Jan 12th TBP episode here: