GravitySucks
@Gravity5ucks
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Crypto vol trader. Data scientist @GenesisVol #bitcoin
Joined May 2010
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I've just received my goxxed bitcoin.
After 11 years of filling forms, writing emails, reading posts, news...the happy ending.
With a mere 16% in BTC terms, it's around 1200% in USD term.
Celebrating frens!! 🎉🍾
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Kraken just sent an email to mtgox creditors that coins are arrived.
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The perp premium completely gone and leverage so low that hasn't been seen in months.
And the risk of liquidation is only to the upside.
If someone had told me that these would be the pre-announcement conditions, I wouldn't have believed it.
It seems healthy to me.
Bet more.
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Maxpain at finest.
In less than two hours around 85% of options contracts at deribit are going to expire worthless.
#Bitcoin
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The week started with the spot below $40k, and in two days, it reached $41.5k (Monday) and then $44k (Tuesday), remaining unchanged for the rest of the week.
This price action led to distinct phases of options flow:
1/
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Ooops we did it again.
In this thread the explanation of why gamma exposure from dealers are influencing the
@DeribitExchange
liquidity on the orderbook of swaps contracts.
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Deribit funding to the roof.
MMs (who has short calls inventory on $60k on this 15th) are suffering gamma squeeze and are trying to be neutral longing the perp.
Really interesting market activity to watch. 👀
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Someone has just taken profit on $32k Dec call (and rolled to $37k).
Based on position, sizing, and timing , I assume the initial buy occurred in October at approximately $800.
Total premium paid: 800$ * 750 = $600k
Profit: 6500$ * 750 = $4.8M
Rolled: $2.6M
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In 2016 the bankruptcy trustee mistakenly uploaded a pdf file to the Mt. Gox platform containing the list of all creditors, with their names and claims. After discovering the error, the file was promptly removed...
1/n
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Straddles prices are a best proxy for expected moves.
Few.
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People rushed to buy ETH$10k call after reading Arthur's post.
Today after 10 days, people worried about last post of Arthur predicting bloodbath by June.
NGMI
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Astonishing $50k puts volumes in the last 24 hours.
(sold)
Total $80k call open interest > 10k.
I would say: up only.
#BTC
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Interesting
#BTC
activity on-screen with almost 2k contracts of 34k call *bought* yesterday. 🧐
PS: Look at the discrepancy with the direction reported by Deribit.
Only with
@genesisvol
can you accurately read the trade directions. Verify it yourself!
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This is how
#BTC
total options market positioned itself since 1st January 2023.
Blue: market is long the strike
Red: market is short the strike
30k is a major short/mid term resistance.
Between here and there, only longs...
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These books are always near my desk.
I come back to them anytime I understand something more about volatility.
Still learning but now I can connect the dots.
Really excited for what is ahead of me! 💪🏻
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Buyers are exhausted.
Spot/vol correlation is down.
Sell the rumors, buy the news.
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I think the most likely scenario gonna be chopping till 26MAR expiry then up only.
Options flow on 2APR is on bull-mode.
#BTC
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Last week
@DeribitExchange
recorded the historical high notional volume on
#btc
.
This is bullish 🚀
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4SEP20
Asian hours gone crazy buying PUTS.
IV and price to moon.
Something similar happened on 24th: the day after BTC drops 400$.
I think
@PelionCap
will talk about this in his option flow article.
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#BTC
strangle 38k-49k sold >1000x.
It has been for days now that market is constantly shorting volatility.
Reckless activity imo.
Conditions are set for a squeez.
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Personally this has been the major bull sign in late July / early August.
Over any technical/fundamental/on_chain/derivatives indicators by magnitude.
Any time I think about
#bitcoin
difficulty adjustment I thank Satoshi for the gift to humanity.
Hashrate is back on the rise after the China ban. The world is unaware of the how big of a deal this is in terms of validating Bitcoin as a network that is capable of facilitating the distribution, accounting, & security of the global reserve currency.
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A new chart I'm working on.
Footprint of volatility in strike space.
Dotted line is the current curve.
Too much alpha?
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Last 24 hours
#BTC
open interest changes.
Accumulation on >$72k calls keeps going on.
Great tool from
@GenesisVol
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The most talked about trade of the week was the on-screen BUY of
#ETH
puts $400 on June23 via a resting bid on
@DeribitExchange
.
Over 30k contracts already bought, 15k still remain in the orderbook.
As always the right direction of the trade is only on
@genesisvol
.
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Bullish options flow yesterday evening.
@tradeparadigm
@DeribitExchange
Huge amount of call spreads 140k-200k 31DEC21 have been bought.
#Bitcoin
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Bitcoin.
We can observe the substantial butterfly $23k-$27k-$31k and the long call-spread $31k-$37k.
The accumulation of long-naked-call on November continues.
The roll-up forward of short call highlights a net premium received of $1.3M.
1/
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$80k strikes take over 🚀🚀🚀
Astonishing $50k puts volumes in the last 24 hours.
(sold)
Total $80k call open interest > 10k.
I would say: up only.
#BTC
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49
New volatility generator arrived in the family.
Being exposed to positive convexity is the best way in life.
Long vega! 🎉🚀
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Light shorted with leverage at $34k.
Did he get liquidated?
PS He deleted all tweets about his short.
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Here we go again!
"Asian crazy horse" gone mad buying 9K/9.5K puts.
Usual modalities: iv skyrocketing, went from 90% to 150%!
Price from 0.005 to 0.0040!
WTF!
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It's interesting to note the divergence between BTC and ETH when looking at skews.
BTC skews towards calls after April (puts even negative compared to ATM).
While ETH skews towards puts regardless of everything.
The implicit deduction suggests the pair might trend downwards.
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Profit taken mostly on the 30JUN.
Many of the positions have been rolled up and new call position added.
Short 35k/36k strikes.
Last time we broke 30k resistance we had fast tp (from dark blue to light blue) and no rolls up.
Will be this time different?
Hint: yesterday we saw some rolls indicating the upside move continuing...
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The week has been dominated by two type of trade: profit-taking and closing of shorts went bad.
The impact of these flows is clearly evident when looking at the historical premium, reaching its relative all-time highs.
Bitcoin "quadrupling" ethereum.
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Last week I had the same exact conversation😄
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Heavy flow with negative premium.
Max pain is upside 🤷♂️
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IV BLOODBATH!
Front in the 40s, all curve under the psychological and historical level of 75%!!
This is a tough level both to buy and sell but personally I'm evaluating to be long here.
#Bitcoin
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The recent flow is bullish again.
But remember that 80% of options expire worthless.
Options are "convexity bets": you lose frequently but when you win, you do it big.
Consitency and risk management are keys.
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I've installed a second
#BTC
node.
Smoothly amazing experience with
@getumbrel
.
Less than 250$ and half-an-hour to setup a full node, that's the real decentralized finance.
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A thread about the current picture of
#BTC
options open interest on
@DeribitExchange
Charts from my code and
@GenesisVol
.
1/n
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MMs are sitting on huge amount of negative gamma on $50k strike.
Short squeeze incoming?
#Bitcoin
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Selling gamma and buying vega.
Low leverage in futures.
Unless there are unexpected developments, the market will provide an opportunity to enjoy Thanksgiving, but warn your relatives that you might need to be at the screen during the Christmas holidays.
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I had some bad trades in a row.
Really pissed off.
I've been thinking about the process, and the error is always the same: not well defined edge and position sizing, resulting in negative emotive reaction if trade goes against me.
Need to work on this, seriously.
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We are still receiving a lot of criticism (envy?) for having developed a trade direction tool.
But we are delivering reliable results every time...
2) Monday 11th, a buyer of ~1k Sep 25.5k Calls as Spot traded ~25.4k, spent $840k.
The market rallied to 26.5k, where he sold out for ~$1.2m.
That's trading!
This was done on DSOB, executed at his own pace, which was....aggressive.
Interestingly, BTC dipped & Calls bought back!
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The
#BTC
net positioning of traders calculated with our proprietary system, highlights a support area at $21k and strong resistance at $30k (where dealers are gamma long).
Positive exposures instead in the $24k-$28k range (dealers are gamma short).
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This is the real flippening no one is talking about.
BTC iv > ETH iv
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Hopes dissipates slowly. Fears comes quicky.
Skew at the same level of 7th Sept.
Be careful outhere.
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#BTC
Unusual Weekend Options Flow
Puts have been sold during the last 24 hours in big tranches.
Unusual for a weekend low volume.
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This is massive!! 👀
They sold convexity of their bitcoin positions for more than $10M premium!
Aka covered call.
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After a week of celebrations (for the profit-takers) and sorrows (for the shorts and the liquidated), this week we witness a reorganization of the books with long upside exposures on Bitcoin and the latest capitulation of call-sellers on Ethereum.
1/
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Despited the rally, term structure is down across all maturities!
It's not a good time to be long vega.
Imo this validates the thesys of "hated rally".
I bet on a bounce in volatility here (every direction we go).
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Sunday re-reads.
It might not be Euan’s most recommended book, but for me, it’s definitely the most page-turning.
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This is why we trade options.
This new feature is dropping in streamlit soon.
Stay tuned.
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For anyone interested to deepen the Greeks.
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26MAR Futures trading at negative premium.
Take that profit!!
👀One of the largest $BTC futures spread we've ever seen. An absolute juggernaut of a trade!
$20M long perp, $20M short March future.
Blocked on Deribit Via
@tradeparadigm
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30d volatility checkpoint for BTC and ETH: hourly data points from the last 90d.
It's possible IV may go down further along with RV, but R/R does not appear attractive for me to be max short.
I'll continue keep deltas tight with covered call until a clearer resolution.
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These are the TOP 10
#BTC
options traded the last 24 hours.
It seems clear to me how the market is positioning.
This week: $52k-$64k range
Next weeks: some fears.
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Summary of the week changes in
#BTC
options open interest.
(This night during Asia session large amount of 80K 30APR CALL bought)
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Do you remember Mt.Gox FUD?
This is freshly arrived this morning.
Points 1 and 2 the most relevant news.
This story will not end this year...
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Do you know that with the new
@GenesisVol
"Gravity charts" you can see if a block was delta hedged?
🚀
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The market is relentlessly loading gamma for tomorrow's FOMC meeting.
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Anatomy of a trade.
1. Analysis tools from
@GenesisVol
2. Risk control and trade idea from my side
3. Execution with
@tradeparadigm
and
@DeribitExchange
PS I bought it just above mark price.
Don't try this at screen.
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Almost $10M
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A year ago I took a break from trading.
Today I finished one of my best months ever (BTC nominated) and my edge has never been so solid.
Often being a trader is tough...keep learning and never give up!!
I will take a 1 month vacation in the south of Italy.
I'll stop trading for a while and time to focus on:
- first holiday with our newborn 😍
- reading some books
- deepening
#BTC
lightning network
- thinking about my edges (if any)
- meditate
HODL my friends!
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Front backwardation, spot/vol +ve correlation (something we haven't seen recently).
Market is pricing the FOMC meeting will move prices.
But the smarter players will short faster than the buyers if rate hike < 0.75.
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First time
#BTC
closed above 16000$ was 7th Dec 2017.
Realized volatility was around 300% annualized.
Today RV is 73%.
Game is changed.
Trade accordingly.
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Hey
@DeribitExchange
, had to write some code to analyze my portfolio greeks.
A lot of manual work to write it and to keep it updated.
It would be a lot much easier if there would be an integrated tool available.
🙏
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lmaooo
Zcash is up 6.9% (nice!) against bitcoin over the last 24 hours.
21.6% over the last week!
I’m sorry, I thought privacy was gonna make me poor? Everything goes down against bitcoin?
Hello?!
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Some charts of ours.
Note the CME bearish flow in 2024.
Side sell volumes at highest level of the last year.
After this week moving parts that are needed to be looked are notably increased.
Tradfi PLUS Crypto metrics will change the way we look at the market.
Stay tuned. 🚀
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