Bitcoin Options Report | September 28, 2021

BTC Options Trading Report | Tuesday, September 28, 2021

HXRO Labs – US residents | Hxro Trade – International 

KEY HEADLINES

Key Takeaways

In the past 24 hours, roughly $356m in premium has traded in bitcoin options, which is considerably lower compared to recent weeks activity. The put/call ratio for volume across exchanges is .92, with 52.1% calls vs. 47.9% puts. In the daily and weekly contracts leading into the October 29th expiration, there is $1.1B notional value of weekly bitcoin options outstanding, with approximately the same amount in the standard monthly expiration. Implied volatility has ticked higher and the top options trade by premium size in the last 24 hours was a buyer of 200 of the October 29th $50,000 calls for a total premium outlay of $378,000. 

Since the last option report, we have seen an uptick in OTM Bitcoin put positions in the $38,000-$42,000 strikes for near-term expirations. Most of this activity has been for the next few weeks weekly and monthly expirations. In particular, the September 30th $39,000 puts (which are just launched contracts) have 502 contracts open, making up 65% of open interest (look at the interesting chart below). 

The October 1st, 8th, and 15th expiring options have also seen increases in put activity and the October 15th $52,000 calls have been reduced in half since last week. While the short-term appears slightly bearish, after October’s expiration, there have been more OTM call contracts added, going out as far as September 2022 $250,000 calls. That strike holds the highest open interest position for that month and is in the top 10 in terms of bitcoin option strikes outstanding. More than half of the 1472 contracts outstanding for the $250,000 calls expire in September 2022. The top two strikes across all months are the $80,000 calls (6693 contracts) and $200,000 calls (6245 contracts).

Overall, crypto options traders seem to be hedging and protecting the downside through the end of October. These thoughts are echoed by an option trader that is noticing similar flow in Ethereum: “we saw large put buying activity in ETH, with someone buying 1-2wk ETH 2600-2800 strike puts in about 15000x. It’s possible this is a bearish bet going into the end of Q3 as there’s some discussion about US regulatory action and also the looming debt ceiling”.

Bitcoin Options Volume

In total, during the last 24 hour period, crypto traders and hedgers have sold more crypto option contracts than they have bought. Premium sellers totaled 4231 sold versus 3851 bought. Call sellers have the most volume, with 2398 contracts sold versus 1976 calls bought. Bitcoin puts sold totaled 1833 contracts versus 1874 puts bought. 

For the September 29th Bitcoin options expiration, the 41,000 puts have the highest open interest with 148 contracts outstanding, followed by the 44,000 calls with 96 contracts outstanding.

For the September 30th Bitcoin options expiration, the 39,000 puts have the highest open interest with 502 contracts outstanding, followed by the 44,000 calls with 62 contracts outstanding.

For the October 1st Bitcoin options expiration, the 42,000 puts have the highest open interest with 1509 contracts outstanding followed by the 48,000 calls with 1365 contracts outstanding.

For the October 8th Bitcoin options expiration, the 38,000 puts have the highest open interest with 896 contracts outstanding, followed by the 46,000 calls with 646 contracts outstanding.

For the October 15th Bitcoin options expiration, the 52,000 calls have the highest open interest with 252 contracts outstanding (these have halved since the last option report), followed by the 34,000 puts with 227 outstanding.

For the October 29th Bitcoin options expiration, the 100,000 calls have the highest open interest with 3001 contracts outstanding, followed by the 80,000 calls with 2259 contracts outstanding.

For the November 26th Bitcoin options expiration, the 90,000 calls have the highest open interest with 931 contracts outstanding followed by the 70,000 calls with 877 contracts outstanding. The 80,000 calls used to have the top position, and have been reduced by more than 200 contracts since the last report.

For the December 31st Bitcoin options expiration, the 200,000 calls have the highest open interest with 5269 contracts outstanding, followed by the 100,000 calls with 4616 contracts outstanding. Both series have seen an uptick in contracts outstanding since last week.

For the March 25th Bitcoin options expiration, the 100,000 calls have the highest open interest with 1331 contracts outstanding, followed by the 20,000 puts with 1040 contracts outstanding.

For the June 24th Bitcoin options expiration, the 100,000 calls have the highest open interest with 997 contracts outstanding, followed by the 20,000 puts with 686 contracts outstanding.

For the Sep 30th, 2022 Bitcoin options expiration, the 250,000 calls have the highest open interest with 880 contracts outstanding, followed by the 70,000 calls with 430 contracts outstanding.

Top Block Trades by Premium Size – September 28, 2021

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Disclaimer:

This commentary is provided as general information only and is in no way intended as investment advice, investment research, a research report, or a recommendation. Any decision to invest or take any other action with respect to the digital assets and/or securities discussed in this commentary may involve risks not discussed herein, and such decisions should not be based solely on the information contained in this report. Option data generated from Gvol, crypto traders, and trades on Deribit. Past performance is not indicative of future results.

©2021 Hxro Labs

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