BitOoda Afternoon Report 3/9/2021 — Volatility

  • Smile is fair in March, with vol still on the higher side. We suggest pairing down March option structures until a clearer risk reward opportunity presents itself.
  • Smile is still cheap In the June-September period (especially the put side). It has strengthened, though, from our last writing. We lean towards either reducing overall position or buying back some of the ATM options to keep Vega exposure constant (smile structures decayed and moved into shorter Vega exposures due to time and IV change).
  • Move basis trades from March into April to capture wider spreads. We are not overly aggressive here as the contango is not extreme given recent history.
  • Smile is on the cheap side in March and cheap in July-September. We recommend modest exposure in the front and increased wing to ATM position further out. Puts are still the cheapest relatively, but calls have become attractive as well.
  • Reestablish a moderate basis exposure. Keep some powder dry as the spreads have somewhat underperformed on this rally.

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

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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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