BitOoda Afternoon Report 11/3/2020 — Volatility

  • In December and March, put skew is attractive and calls are relatively expensive. We recommend being long puts either outright or spread to Straddles. Given the size of the recent move, we would not be short Vega here. If one decides to be short call skew, we recommend expressing it in a Vega long fashion via long call spreads.
  • Use contango to November to enhance returns.
  • In December and March, put skew is attractive and calls are relatively expensive. Put skew has moved closer to the historic level, so look for opportunities to exit the put skew if it appreciates further. If one decides to be short call skew, we recommend expressing it in a Vega long fashion via long call spreads.
  • Use contango to November to enhance returns. If contango dips towards $50, consider reducing the spread positions or roll them into a different maturity contract.

--

--

Get the Medium app

A button that says 'Download on the App Store', and if clicked it will lead you to the iOS App store
A button that says 'Get it on, Google Play', and if clicked it will lead you to the Google Play store
BitOoda

BitOoda

A boutique digital asset investment bank focused on providing innovative and compliant capital markets solutions for institutional clients.