1wk Implieds continue to trade at a premium to realised in BTC and ETH, however the ETH implied, realised spread is a little less ‘stable’. It would be plausible to expect that the continuous bidding in ETH vol in anticipation of the ‘merge’ would expand this spread but it seems the underlying has proved turbulent to the extent that spreads have flirted with negativity.
This prompted us to review ETH spreads more closely and ETH vol appears to be king of the roost, trumping SOL vol as ETH vol continues its bid tone. The SOL ETH IV spread continues to trickle towards parity as the crypto vol-scape is washed over into unipolarity.
Reflective of the bump in interest in ETH, the below chart displays the clear displacement of OI by notional. Whereas BTC clearly dominated in the former half of the year, attention is clearly focused on ETH as the merge nears, with ETH representing 60% of total Options OI.
A further drill down here shows that although the flies that were the talk of the town earlier in quarter continue to loom large, Sep expiries have crept up in terms of Notional OI.
Futures too paint a heavy sense of expectation as OI rises to YTD highs. The below 2 charts display this in USD terms as well as coin terms, highlighting the fact that even though USD amounts aren’t ATH, in coin terms, September is lining up to be a very eventful period.