BitOoda Afternoon Report 9/8/2020 — Volatility

  • We like the put skew and do not like the call skew in March. We recommend being long put short call (hedged). Maintain a flat Vega position for now if price neutral or lean longer Vega if bullish.
  • In December, put skew is cheap and call skew is now elevated. We recommend being long puts vs. straddles on leveraged put spreads. Given call skew appreciation, start rolling short strikes into calls. Maintain a flat Vega position for now if price neutral or lean longer Vega if bullish.
  • September smile is fair, and gamma is underperforming. We recommend being long wings vs straddles being flat to slightly short gamma.
  • Spot to September contango is around $140. Use it to enhance your returns.
  • We like calls and do not like puts in September. Long call/short put position is recommended (Vega flat or slightly short).
  • March and December puts are still attractive and call skew is fair. We recommend leveraged put spreads (long the wing). Keep Vega neutral.
  • Spot to September contango is around $32. We recommend reducing spread positions.

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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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