BitOoda Afternoon Report 4/14/2020 — Volatility

  • Get long call skew by buying calls vs. straddles or puts. We like meatier calls, not the small wing as those are more discounted. Adjust the ratio to fit your IV view. We would be flat to slightly short Vol here. Avoid April call skew, we like June-September.
  • Long June 6500 straddle vs. short September 6500 straddle. Spread is out to $1000. We think longer term vol will keep coming off or gamma performs. The trade is losing money, so we do not recommend increasing size.
  • Contango is back! April/May on CME is $75, or 12% annualized. One can start thinking of picking up extra yield.
  • Get long call skew by buying calls vs. straddles or puts. We like meatier calls. Adjust the ratio to fit your IV view. We would be flat to slightly short Vol here. June is our preferred tenor.
  • Exit or reduce the June / September straddle spread. That one has not worked out.
  • Take profits on contango trades. Potentially roll spot length into futures to free up some capital.

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BitOoda

BitOoda

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

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