BitOoda Afternoon Report 12/1/2020 — Volatility

  • In December and March, put skew is attractive and calls are relatively expensive. With IV now elevated and over realized we think scaling into short risk reversals (shorting the call) is the best risk reward strategy that combines both contango and IV edge.
  • Use contango to enhance returns. We are aggressive here, as widened to 12%-15% APR.
  • In December and March, put skew is attractive and calls are relatively expensive. With IV in backwardation we prefer longer Vega risk reversals in March and Shorter Vega in December.
  • We are neutral in our price view, however, if new highs are exceeded and the levels hold, we will be forced to become constructive on price again.
  • Use contango to enhance returns. We are aggressive here, as it stays 12%-15% APR.

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BitOoda

BitOoda

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