BitOoda Evening Report 5/25/2021 — Volatility

  • April calls are attractive on a spread to ATM or puts. Manage position sizing this close to expiry.
  • September puts are attractive in a Vega neutral spread to straddles.
  • Reduce June smile exposure.
  • June calls are attractive vs. straddles or puts. We prefer to be Vega flat or close to it, as we do not know how long the jitters persist.
  • September puts are now fair. Exit the put skew exposure if you still have it.
  • We prefer Gamma vs. Vega here. June/September straddle spread, or a similar structure is warranted.
  • Contango is too flat to have any meaningful exposure.

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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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