Greeks.live @GreeksLive

October 23 Options Data 16,000 BTC options expiring, with a put-call ratio of 1, a maximum pain point of $82,000, and a notional value of $1.28 billion. 58,000 ETH options expired, with a put-call ratio of 1.24, a maximum pain point of $2,460, and a notional value of $250 million. On tomorrow’s expiration date, less than 4% of Bitcoin options open interest and less than 7% of Ethereum options will expire. This week’s gains were wiped out today, while the pace of the U.S. stock market’s correction has slowed. BTC has not followed the U.S. stock market lower this month, and the $80,000 support level remains strong. We are currently in a consolidation phase at the bottom of the bear market cycle, and it will take time for a new trend to emerge. Looking at key options data, implied volatility (IV) is currently at a relatively low level, stabilizing above 35%, indicating that the market expects low volatility in future price movements. The structure on Gex is relatively dispersed, unlike in the past when it converged around round numbers, suggesting low market consensus. Cryptocurrencies staged a solid rebound over the summer, and market sentiment has improved significantly—a positive sign. However, from a cyclical perspective, the foundations for a major bull market have not yet been laid. Given that monthly out-of-the-money IV remains low, it is still advisable to implement some directional put protection.

With just over a week left until the monthly settlement, this mini-bull market has entered a lull, with most trading centered around expectations of sideways movement. As the saying goes, “Even a strong bow’s arrow loses its power at the end and cannot pierce fine linen.” However, another positive signal emerged this morning: a whale proactively purchased 500 sets of 90K/95K bull spreads expiring at the end of the month. This is a directional trade that has been relatively rare lately, indicating that the whale is anticipating some market movement in the final days of the month.

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October 16 Options Expiration Data 18,000 BTC options contracts expired, with a put-call ratio of 1, a maximum strike price of $83,000, and a notional value of $1.47 billion. On today’s expiration date, 4.5% of Bitcoin options positions expired. This week, U.S. stocks experienced a sharp pullback due to poor macroeconomic data, and cryptocurrencies largely followed suit, resulting in a relatively weak market. Looking at key options data, implied volatility (IV) is currently at a low level; with 35% representing a floor with little room for further decline, market expectations for future price volatility have reached an extremely low level. Although the market performed well this summer, high IV has yet to emerge in the major option markets, as buyers remain very cautious and are unwilling to pay a premium to take on risk. Gex has gradually converged around the 90K mark, while put options at the 80K level have also begun to accumulate some gamma. Cryptocurrencies staged a solid rebound this summer, marking a two-month mini-bull market. As mentioned last week, given the low monthly out-of-the-money IV, it was still worth establishing some put-side protection; with the market having experienced a certain degree of decline this week, it remains worthwhile to continue rolling these positions.

October 9 Options Data 22,000 BTC options expired, with a put-call ratio of 1.12, a maximum pain point of $84,000, and a notional value of $1.84 billion. 123,000 ETH options expired, with a put-call ratio of 0.71, a maximum pain point of $2,650, and a notional value of $320 million. Tomorrow’s expiration date will see 6% of Bitcoin options open interest and 9% of Ethereum options open interest expire. The market has been correcting for most of this week, so we must wait for BTC to choose a direction. Historically, the first wave of a bear market involves trading time for space, with frequent security incidents and exit scams occurring in the interim. The market typically consolidates at the bottom for a relatively long period before a new trend begins. Looking at key options data, implied volatility (IV) is currently at a low level, indicating that the market expects low volatility in future price movements. Although there have been two relatively large, rapid rallies this year, IV for options with major maturities has continued to decline. Market buyers are being very cautious and are unwilling to pay a premium to place bets. The structure on Gex is quite interesting: Gex is converging at the three round numbers of 90K, 95K, and 100K, but there isn’t much accumulation at 80K and 85K, which are close to the expiration price. Cryptocurrencies staged a solid rebound over the summer. During this mini-bull market—which has lasted over a month—major coins have seen two sharp rallies, and market sentiment has improved significantly. This is a positive sign, and it’s worth holding onto the spot positions of several coins. Currently, monthly out-of-the-money IV is not high, so it’s still worth implementing some directional put protection.

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October 2 Options Data 30,500 BTC options expired, with a put-call ratio of 1.07, a maximum strike price of $82,000, and a notional value of $2.63 billion. 116,000 ETH options expired, with a put-call ratio of 1.17, a maximum strike price of $2,660, and a notional value of $320 million. Today marks the first weekly expiration following the quarterly settlement. The BTC price rebounded significantly on the expiration day, with robust block trading in call options, making it a relatively active weekly expiration. After fluctuating around the 85K level for over a week, market sentiment remains positive, and community discussions primarily focus on expectations for price increases in major cryptocurrencies. Looking at key options data, implied volatility (IV) for major maturities this week has declined compared to last week, though it has rebounded slightly from two weeks ago; it currently stands at a low for this bull market cycle. Monthly realized volatility (RV) follows a similar pattern, with VRP for major maturities also showing a decline. The Gex peak is at $90,000 and above; the Gex distribution for the downside has returned to a dispersed state. After a 10-month bear market, the cryptocurrency market has experienced a mini-bull run lasting over a month and is currently consolidating. Market sentiment has improved significantly, which is a positive sign.

September 25 Options Settlement Data 167,000 BTC options expired, with a put-call ratio of 0.87, a maximum pain point of $79,000, and a notional value of $14.04 billion. 789,000 ETH options expired, with a put-call ratio of 0.67, a maximum strike price of $2,380, and a notional value of $2.1 billion. Today is the quarterly settlement date, with 32% of Bitcoin options open interest and 40% of Ethereum options expiring. The market remained relatively stable around the settlement date, with position rollovers driving most of the trading activity over the past two days. Prices have risen by $10,000 consecutively this week, breaking directly through the consolidation range near $80,000. Just as market confidence was beginning to recover, the market was hit by a security incident in which Bitget was hacked for $300 million; such thefts can no longer be called “black swan” events. Security incidents are common in the mid-to-late stages of a bear market, often preceding the start of a new market cycle. Looking at key options data, implied volatility (IV) has rebounded slightly compared to last week, but it remains lower than in other time frames, as the rally in mid-last month had a more significant impact on the market. Monthly realized volatility (RV) follows a similar pattern, with VRP across major maturities showing declines. Overall trading activity has also picked up somewhat; due to the quarterly expiration date, Gex has converged sharply around $84,000—near the settlement price. After delivery, the peaks will cluster above $90,000, while the Gex for the downside will return to a dispersed state. After a 10-month bear market, the current mini-bull market—which has lasted over a month—has seen gains in major cryptocurrencies concentrated primarily in the last two months, with market sentiment improving significantly—a positive sign. However, the short-term pressure on the market caused by the Bitget hack must be taken seriously. Currently, monthly out-of-the-money IV is not high, so it is still worth implementing some directional put protection.

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可扫码进群👇

期权买方课程第三讲👇今晚继续开课！

BIT证券频道 @BITstocks_CN

a month ago

📈 今晚 20:00｜美股期权实战工作坊 · 第 3 讲 期权怎么下单、下多少、什么时候止损？ ⏰ 今晚期权课堂主题： 从判断到下单｜开仓流程与仓位纪律 🎙 主讲 BoBo哥 — 全职期权交易员，11 年二级市场经验 🎙 嘉宾 Jeff — Greeks.live CEO，加密衍生品研究者 ✅ 60 分钟　✅

141 105 120 5K 4

September 11 Options Expiration Data 29,000 BTC options expired, with a put-call ratio of 0.6, a maximum pain point of $78,000, and a notional value of $2.24 billion. 114,000 ETH options expired, with a put-call ratio of 1.17, a maximum pain point of $2,450, and a notional value of $280 million. Bitcoin continues to consolidate around $80,000. After a three-day rally in late last month that pushed it to $80,000, it has been trading sideways for nearly three weeks now. As expected, Bitcoin’s price swings are completed in a very short period, followed by a prolonged sideways consolidation. Monthly realized volatility (RV) remained unchanged from last week, while monthly implied volatility (IV) rose slightly, and VRP across most maturities saw widespread increases. Looking at other key options data, 7% of options expired this week. Open interest for BTC and ETH declined slightly compared to last week, and overall trading volume also saw a moderate pullback. The Gex on the upside continues to converge, with call selling positions gradually accumulating above $78,000; $80,000 remains the peak. On the downside, the Gex is also beginning to cluster around $77,000, marking an end to the previously completely dispersed pattern. After a 10-month bear market, the gains for major cryptocurrencies in this bull run were primarily concentrated in a single week last month. However, during the pullback, some concept coins and meme coins showed signs of recovery, which is a positive signal. The brief lull in the U.S. stock market has also provided the crypto market with a window to catch its breath. Market sentiment is very optimistic, and with monthly out-of-the-money implied volatility (IV) currently low, it is still worth making some directional buys.

@wepoets1107 回测只能去做一些非择时非预测场景，因为未来是随机的

September 4 Options Data 29,600 BTC options expired, with a put-call ratio of 0.65, a maximum pain point of $73,000, and a notional value of $2.39 billion. 139,000 ETH options expired, with a put-call ratio of 0.9, a maximum pain point of $2,400, and a notional value of $350 million. After a sharp rally two weeks ago, Bitcoin has continued to consolidate around the $80,000 level, often experiencing rapid short-term gains followed by a slow sideways decline, in a recurring cycle. Monthly realized volatility (RV) continued to rise compared to last week, reaching 40%, while monthly implied volatility (IV) turned downward to 36%. The 15-day VRP briefly fell to -16% yesterday but has since rebounded to -6%, though it remains significantly lower than last month’s high of 15%. Looking at other key options metrics, 7% of options expired this week. BTC open interest rose, while ETH open interest declined slightly, and overall trading volume surged significantly. The Gex for call options has gradually converged from a dispersed state, with positions selling calls above $80,000 gradually clustering; the Gex for put options is virtually negligible. After a 10-month bear market, the current bull run has lasted nearly three weeks. The brief lull in the U.S. stock market has also provided the crypto market with a window to catch its breath. Market sentiment is very optimistic, and with monthly implied volatility (IV) currently low, it remains worthwhile to make some directional buys.

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Today I saw people discussing Strategy resuming its crypto purchases. This kind of short-term stimulus doesn’t affect the long-term trend, and Strategy is just another big “sucker” anyway. It’s no longer possible to manipulate the BTC market, and no one can predict its direction. All I can say is that now that Strategy has unrealized gains, it has more room to buy coins. Looking at the long-term trend, ETFs are still seeing overall outflows; it’s very difficult for BTC to hold steady above 80K, and selling pressure is heavy. On the macro front, whether it’s the Fed’s hawkish rhetoric or the escalating U.S.-Iran tensions, these factors are testing investors who are already on thin ice. Short-term volatility is dropping rapidly, and a single bullish candle is hardly enough to sustain a bull market. Hopefully, after a slight pullback, prices can reach above 85K; otherwise, arbitrageurs and sellers will create significant selling pressure. With Gex gathering momentum at the end of the month, we need to keep this momentum going.

@CryptoRounder @Maxandzero 猎杀时刻

It’s only when a major market move hits that you can truly tell how effective an options risk management system is. In the past, when reviewing an account, I only knew how much profit I’d made that day. Now, with Pro Risk Analytics, I can break down the daily P&L directly into: Delta, Gamma, Theta, Vega, Skew, Smile, and the Residual—which the model cannot explain. On the day Bitcoin surged, the account made money through bull spreads and futures, but typically you can only see the total P&L. The most valuable insight isn’t this number—it’s being able to answer: Was this profit driven by Delta? Or by Gamma, Skew, or Smile? How much of it does the model explain? How much of the P&L remains unexplained? Especially during periods of extreme volatility in BTC, this type of P&L attribution and SABR Greeks exposure becomes extremely valuable. It goes beyond “how much was made today” to reveal “why it was made and where the risks lie.” For options traders, this is what truly constitutes useful risk analytics.

@ZY724 @Maxandzero On it

@AntonLaVay That's a very vivid analogy—volatility trading is really interesting.

@Maxandzero @kofvi Good Insight

Greekslive recently launched the Pro Risk Analytics feature, an institutional-grade tool for options portfolio management that makes positions reflect market risk more accurately under the SABR model. In the past, we used the BSM model to calculate Greeks, but there has always been an issue in the options market: implied volatility (IV) is a surface rather than a fixed value. The SABR model is specifically designed to describe the dynamics of the volatility surface, calculating the “total risk exposure of the entire options portfolio.” In our Pro Risk Analytics system, we can calculate numerous second-order exposures and complex parameters for your current positions, providing a risk profile under the SABR model that more closely mirrors real-market conditions. This is why we’ve been actively promoting SABR recently—to provide you with a true institutional-grade tool. If you’re a market maker, you’ll be able to determine exactly where today’s P&L comes from: Delta, Gamma, Vega, Theta, Skew, or other factors. We’ve already added 38 features for you to use. If you have any questions or want to share your experiences, feel free to send me a private message or tag me in a post—let’s learn together how to use SABR. Our first question: Is the profit from selling options really just Theta?

August 21 Options Data 24,000 BTC options expired, with a put-call ratio of 0.84, a maximum pain point of $67,000, and a notional value of $1.82 billion. 149,000 ETH options expired, with a put-call ratio of 0.84, a maximum pain point of $2,000, and a notional value of $360 million. Bitcoin surged significantly this week, breaking through the 76K level and breaking out of two sideways price ranges this year. This was one of the few expiration dates this year where the settlement price exceeded the maximum pain point. Monthly realized volatility (RV) jumped 20% to 53%, while monthly implied volatility (IV) rose only 6%; currently, VRP has dropped sharply. Looking at other key options metrics, 6% of options expired this week. Open interest rebounded but remains at low levels, while trading volume surged significantly. The rapid pace of the rally and the sharp increase in trading activity have caused Gex in the call direction to be highly dispersed, while Gex in the put direction is virtually negligible—the market is in a state of widespread long positions. After a 10-month bear market, cryptocurrencies have finally seen a substantial rally, and market sentiment is extremely optimistic—one could say a single bullish candle has shifted market sentiment. Currently, monthly out-of-the-money IV remains low, making it worthwhile to make some directional buys.

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