BitOoda Afternoon Report 04/13/2021 — Volatility

  • April skew/smile is fair with calls being slightly cheap.
  • June puts and calls are on the cheap side. With Gamma underperforming, we would lean Vega flat or slightly short in June. We like wings vs. straddles here.
  • September put skew is getting even more attractive. We prefer to be long puts on spreads to ATM. Maintain flat to short Vega due to realized vol underperforming.
  • Reduce exposure to basis.
  • April puts are attractive on a spread to ATM or calls.
  • June and September puts are attractive in a Vega neutral spread to straddles.
  • June smile is the cheapest on the board (we prefer to lean Vega neutral or slightly short)

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BitOoda

BitOoda

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