张无忌wepoets

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Weekly live sessions discussing options strategies and data analysis.
Let's be friends with time, enjoy the rental income~hhh
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In December, the Federal Reserve cut interest rates by 25 basis points as expected. At the same time, it announced a $40 billion Treasury purchase plan to be initiated within two days. Everything seems to be looking good.
The expectation for interest rate cuts next year is not very optimistic. According to the latest economic forecast summary, although the median in the dot plot remains unchanged, indicating one rate cut each in 2026 and 2027, there were six 'soft dissent' opinions in the 2026 forecast, which slightly leans towards a hawkish stance.
The implied volatility (IV) of ETH has clearly declined, and the entire surface has sunk and flattened slightly.
Friends who are shorting volatility with a butterfly spread can reap rewards.
How the market will move next remains to be seen with new narratives. Since liquidity has improved, there is no reason not to see a rally, right?
From the FLY data, the curvature of the volatility smile has decreased, and sellers have entered a comfort zone.
From gamma ex, the range between 3K and 3.3K is still in the negative gamma zone, and volatility may be quite intense.
In terms of strategy, one can operate in line with the trend. Sellers suggest a wide dual sell for the medium to long term; buyers may consider directional trading with call ratios and put ratios while also benefiting from falling volatility.
Wishing everyone to be friends with time and to open positions steadily~

U.S. stocks dipped slightly, while cryptocurrencies surged. The independent market performance is indeed strong, especially ETH, which soared by 10% at its peak.
The Fear and Greed Index has shifted from extreme fear to fear, and the overall options implied volatility skew remains deeply negative.
This means that alongside the rebound, bearish sentiment still prevails.
After the interest rate cut on the evening of the 11th, will there be a crash? Everyone's concerns are likely focused on this.
Let's take a look at the data.
In terms of implied volatility, the overall IV has slightly decreased, and the risk-reward ratio remains negative, indicating that risk is still high.
From the changes in open interest, there are many short-term traders betting on an upward movement. In the short term, the possibility of continued violent rebounds cannot be ruled out.
From the gamma exposure perspective, the right side of 3200 has completely shifted to a negative gamma dominance zone. If a gamma squeeze occurs, the effect will be very obvious, pushing volatility to increase.
Overall, there is a clear divergence between bulls and bears. As market prices rise, those who have already profited can take partial profits while waiting for the interest rate cut to make a decision on the larger direction to continue pursuing.
For the selling strategy, it is acceptable to continue a wide-ranging double sell to short volatility in the medium to long term. After the 12th, there should be a trend of decreasing volatility, marking the harvest season.
Wishing everyone to be friends of time and to open positions steadily~

As the date of the Federal Reserve's interest rate cut meeting approaches, today's volatility has slightly decreased, but the IV skew remains negative, indicating market concerns.
Mainly looking at the ETH data.
From the volume perspective, the trading volume of calls and call blocks in the past 24 hours has been dominant, and changes in OI reflect this, with positions increasing across strike prices from 3200 to 3800.
From the pcr data, the proportion of puts on the 11th and 12th exceeds 1.0, reflecting a typical insurance style and highlighting market worries about the situation.
From the IV perspective, the IV on the 11th and 12th remains relatively high, while IV for other maturities has decreased. The VRP value has turned positive, indicating that sellers have come out ahead.
From the gamma ex perspective, the 3K position remains positive gamma, providing clear support. The 3.2K position has clearly increased negative gamma, which will provide significant momentum to the upside, potentially challenging 3400.
In the current market situation, maintaining a positive exposure in the portfolio is relatively suitable, betting on the favorable support of the interest rate cut on the 12th.
However, it is also unwise to be blindly optimistic, as the skew remains deeply negative, with no bullish market sentiment. A rebound and then exit may be the choice of most traders.
Wishing everyone to be friends with time and open positions steadily~

A new week, and also a key week at the end of the year. The volatility of options is clearly rising, and the IV of ETH on the 11th and 12th has already reached around 80.
Let's take a look at the data for ETH.
From the IV perspective, the near-term is high, a typical event market, hoping that interest rate cut news can lead to a rebound.
However, the outlook is not optimistic, as the medium to long-term RR values and various skewness remain significantly negative, with a trend of worsening. This proves that traders are predominantly panic bearish on the long-term.
From the OI perspective, there was a lot of buying of call positions yesterday, concentrated between 3300 and 3500.
From the gamma ex perspective, the current price has already broken through the positive gamma resistance zone and is about to enter the negative gamma area, which may further amplify volatility.
From a strategy standpoint, it is again time for buyers to bet. However, for sellers, it is torturous, as the direction is hard to judge, and the surge in IV has also led to profit drawdowns.
It is still recommended to do butterfly spreads in the medium to long term and short volatility at highs.
Wishing everyone to be friends with time and open positions steadily~

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The options data shows very subtle changes today. OI is bullish, skew is bearish in the long term, and the near-term negative values are converging.
gamma ex is in the positive gamma range. Everything seems to be signals of calm stabilization.
However, after the 12th, it seems like greater volatility is brewing.
Today, it is still recommended to implement a butterfly strategy on the 12th, betting on a drop in IV and narrow price fluctuations.
Take a rest over the weekend, read books to recharge, and stop watching the market.
Wishing everyone a happy weekend~

Last night's encryption continued to decline, as expected. The skew data from yesterday already indicated risks. Today's skew data has worsened further, with medium to long-term starting to turn fully negative, and panic has spread. Major short sellers have issued bearish statements on US stocks, while the benefits of interest rate cuts in the US stock market are being offset by the negative impact of interest rate hikes in the yen, and the uncertainty of the future is the true source of fear in the market. Let's take a look at the most perplexing ETH. From the IV data, the increase in volatility is not obvious, but the RR value has dropped significantly, and the skew has clearly entered a bearish rhythm. The skew is shining brightly, and the sentiment is evident. This is also supported by the changes in OI, where the number of puts has surged from the 3100 to 2000 range, all increasing. From the gamma ex perspective, there is weak positive gamma resistance at the 3K position, but the negative gamma growth on both sides is significantly greater than the positive gamma. The trend of increasing volatility in the future will likely be a high-probability outcome. The overall delta value of the portfolio has been adjusted from neutral to negative, strengthening defenses. The event node on the 12th should see significant volatility. It is recommended to appropriately buy some long-term puts for insurance. Sellers can time their short positions on volatility when IV rises, and butterfly and eagle strategies are good choices. Wishing everyone to be friends with time and to open positions steadily~

Overnight, it seems the little cow has returned.
Looking back at the market data, US ADP private sector job growth has slowed, which is favorable for interest rate cut expectations. Then Japan assisted, with expectations for a yen interest rate hike also increasing, almost certainly to be raised.
Recently, Bank of Japan Governor Kazuo Ueda has released hawkish signals, and the market generally expects him to raise interest rates at the December meeting. (I bought a book written by Ueda, and I will read it carefully and ponder his thoughts, haha)
Returning to the cryptocurrency market trends, once the yen appreciates, the impact of unwinding carry trades is likely to have a draining effect on the crypto market, which must be guarded against.
Of course, a weakening dollar is also favorable for crypto. The east wind and the west wind, who will prevail, remains to be seen.
In short, the risk of uncertainty remains strong. The cryptocurrency market's volatile ups and downs will not stop.
From the IV of ETH, it shows an overall trend of decreasing volatility, and the RR value is rising. This indicates that traders are relatively optimistic about future prices, and the put premiums have decreased.
From the OI perspective, the volume of 3100 puts has increased, indicating a significant expectation of a short-term correction.
From the gamma ex perspective, the price is in a negative gamma expansion area, and future price fluctuations will be further amplified.
Overall, it is currently a buyer-dominated scenario, and sellers are facing challenges. If betting on a pullback, it might be a good idea to buy some 3100 puts; if continuing to be optimistic about the rise, buying 3200 calls is also okay.
On the contrary, for sellers, selling put 3000 moderately bets on the rise and shorting volatility, which is relatively stable. The right-side short call should be approached with caution to avoid being pierced.
The 12th has a major event for interest rate cuts, and the fluctuations before this should not be small.
Wishing everyone to be friends with time and open positions scientifically~

Last night's decline may be a healthy outpouring under market panic. Although the price did not fluctuate much, it confirmed the bearish sentiment for the second time.
Let's continue to watch ETH.
From the IV perspective, implied volatility has increased, and bearish sentiment is dominant. However, the RR value has rebounded significantly at the near end, suggesting a slight easing of bearish sentiment. Additionally, the VRP has also returned to positive, indicating that spring is coming for sellers.
From the OI perspective, there is a serious divergence between bulls and bears around the market price.
From the gamma ex perspective, positive gamma strength has increased. Although the market price is in the negative gamma region, the energy of negative gamma is shrinking, suggesting that future volatility will be smoothed out.
In summary, taking some short positions with a small position size to short volatility is a good choice.
Moreover, the IV for the Fed's interest rate cut bet on the 12th is still relatively high, and short-term speculation on large movements from buyers can be arranged in advance.
Personally, I still lean towards betting on a drop in IV, waiting for the drop waves on the 19th with a double sell.
In the current market, the intra-day tug-of-war is quite severe. Last night, I placed an order for DDH and got hit from both sides. It is still important to focus on static hedging and not to have a complacent mindset.
Wishing everyone to be friends with time and enjoy the happiness of collecting rent!

Today, the cryptocurrency market plummeted, and many partners believe it is due to fears caused by expectations of a yen interest rate cut.
It is reported that Japan's 2-year government bond yield has risen to the highest level since 2008 at 1.01%. 53% of economists expect an interest rate hike in December, with a probability of about 50%.
Once the yen raises interest rates, liquidity in the cryptocurrency market will also be drained, so panic is inevitable.
Looking at the data for ETH, from the implied volatility (IV), it has once again risen to a previous high state. Moreover, the risk-reward (RR) value has also restored to a left-skewed state, and traders probably only now truly understand the profound meaning of Tom Lee's 2500 prediction.
From the skew perspective, the premium on the put side has fully reflected market panic, and it is feared that further declines will continue.
From the gamma exposure perspective, 2.8K is in a negative gamma amplification zone, and volatility will be further amplified. Next, there will likely be more wild price swings.
Previously suggested sellers to reduce positions, and at this time, it is also recommended to continue to observe and wait for the panic to stabilize before entering the market. Currently, selling calls at 3K should still be relatively safe.
For buyers, if already positioned in puts, it may be beneficial to hold for a few more days to let profits run.
In the current market, it is difficult to determine direction, so it is better to trade in the volatility dimension to avoid being caught by price fluctuations.
Wishing everyone to be friends with time and trade steadily~

The weekend is quite conflicted, with long and short positions once again diverging.
Looking at the net inflow of ETH's ETF, there has been a net inflow for five consecutive days last week, indicating a relatively bullish sentiment.
However, the IV slightly increased over the weekend, and the IV skew shows a negative value, with panic premiums in the put side coming back up.
In the end, it's hard to say whether it's bullish or bearish, as the sentiment divergence is significant.
From the perspective of VRP, both RV and IV are currently on a downward trend, making it not particularly easy for either buyers or sellers. Especially, sellers have had enough of theta and vega last week, and now they are in a dilemma: should they close positions or continue selling? The severe collapse of near-term IV means that selling in the medium to long term is relatively safer.
From the gamma ex perspective, 3000 remains a positive gamma accumulation zone, which has a strong suppressive effect on volatility.
When and in which direction will there be a breakout? Currently, there's a tendency towards downward movement, consistent with the skew data.
For strategy building, sellers suggest reducing positions, while buyers recommend preparing in advance.
Wishing everyone to be friends with time and to open positions steadily~

@Sober 期权工作室 @Yi He @Crypto交易员朱一旦 Happy Thanksgiving. Lottery game.

The selling profits of ETH have been quite good these days. But when will the calm be broken?
The panic index is declining, but the IV of ETH has decreased a lot.
From the perspective of IV, the near-term IV has dropped significantly, and the RR value has also risen considerably, suggesting a warming bullish sentiment.
However, the VRP remains negative, and the RV is higher than the IV, which is not a good signal.
From the OI perspective, the actual OI of several heavily traded strike prices is decreasing.
From the gamma ex perspective, the current price is in a negative gamma zone, but there is huge positive gamma resistance on both sides.
Overall, it seems that market sentiment is still divided, with those worried about a crash reducing positions, while those expecting a rebound are positioning themselves.
In this delicate balance, will the market continue to trade sideways? It's hard to predict.
From a strategy perspective, it is still recommended to sell far out-of-the-money options in a wide range and short volatility. This is the most stable choice.
For buyers, it might be worth betting on a sudden surge when the IV is low. After all, the probability of rate cuts in December is rising, and bulls are restless.
Wishing everyone to be friends with time and open positions steadily~

It's Monday again, and the cryptocurrency market is entering the workweek. This week, the Fed's favorite inflation indicator, PCE, will be released on Wednesday, and some volatility is expected.
From the changes in options data, panic sentiment has risen again.
From the IV perspective, both BTC and ETH's IV are increasing; although the RR value has risen somewhat, it remains negative. Panic sentiment has not weakened, and caution is still necessary.
From the changes in OI, the positions of out-of-the-money puts have suddenly expanded, which is not a good sign. The long-short distribution of BTC is relatively balanced, while ETH's puts have surged, which is more concerning.
From the gamma ex perspective, both are in a positive gamma range, and volatility will be suppressed. However, the liquidity of market makers has sharply decreased recently, which will naturally weaken the effect of gamma.
Overall, a defensive strategy is still the main focus, waiting for a rebound. It is not advisable to blindly go long or catch the bottom at this time.
In terms of strategy, continuing to short volatility as a seller is a good choice. Buyers can consider some put ratios.
Wishing everyone to be friends with time and to open positions steadily~

The greatest panic has weakened, and the IV has decreased significantly. Those who shorted volatility and made over half of the profits yesterday could close their positions.
Today's data changes are quite large and worth contemplating.
From the perspective of IV, the near end has dropped, but the mid-term remains high, and the far end is slightly lower. This indicates that traders still have strong uncertainty about the medium term, and they may be afraid of a decline, buying insurance.
From the gamma ex perspective, we are seeing a significant change in the previously entirely negative gamma-dominated scenario, achieving a positive gamma reversal in the 2.8K to 3K range, with very noticeable volume. I suspect that there might be many players shorting volatility, all selling ATM, leading to this? Perhaps. The positive gamma of market makers will stabilize price fluctuations, but it also casts a shadow over the short-term rebound in prices.
The price of ETH is likely to hover below 3K for a while.
From the OI changes, this trend is also evident. The increase in the 2600 put is very obvious.
Overall, sellers can start selling around 3K, shorting volatility at highs.
Buyers can layout puts for insurance, and if there is another dip, accumulating more coins is also a good option.
Wishing everyone to be friends of time and to open positions steadily~

The U.S. stock market turned down during the session, dragging down crypto. Well, in fact, crypto doesn't need anyone to drag it down; the recent trend has been a mess, and the bear market is a solid fact, no need to hold onto any illusions.
Currently, the focus is on seeking a bottom and seeking a rebound.
Still mainly looking at my favorite ETH, to see if it can find a bottom.
From the IV data, implied volatility remains high, with a clearly negative RR value, and market panic continues to maintain at a high level. At this point, it is probably very difficult to talk about finding a bottom.
From the top trade statistics, the bulls have not given up, still hoping for the 3.1K and 4K positions.
From gamma ex, 2.9K has become the strongest area of negative gamma, and the short-term future volatility will revolve around this price level.
Current trading shows that the heat of puts is higher than that of calls, and hedging is the core demand.
It is recommended that traders exercise caution in directional strategies under high IV conditions, as options are quite expensive.
Perhaps shorting volatility is a good choice. Especially during the bottom-seeking process, an IV drop is still a likely outcome, and it shouldn't maintain high IV until December.
It is suggested to short the options volatility for the end of December or January, maintaining delta neutrality.
Wishing everyone to be friends with time and to open positions steadily~

Last night's big fluctuations were really exciting. Bitcoin and Ethereum have repeatedly demonstrated extreme pullbacks, with each time reversing. But which time will drop and not bounce back?
Last night's NVIDIA earnings report was strong, and US stocks surged. However, the Federal Reserve's meeting minutes poured cold water on interest rate cut expectations, and uncertainty for December remains high.
Is the rebound in the crypto market a bottom, or a continuation of a downward trend? This is likely the dilemma for most traders.
Let's take a look at the most relevant ETH data.
From the implied volatility (IV) perspective, the overall curve remains high, with a near negative and far positive risk-reward (RR) value, but there is an overall recovery. Bearish sentiment has slightly weakened.
From the volatility risk premium (VRP) perspective, recent realized volatility (RV) is significantly higher than IV, indicating considerable selling pressure.
From the open interest (OI) data perspective, there was a very strange large volume yesterday, with a sell call on ETH9000 options, which should be a closing position. Overall, there is still a divergence in direction, with many new call and put options added near the at-the-money level.
From the gamma exposure perspective, the broad range from 2.5K to 4K shows negative values, meaning that prices in this area will experience amplified volatility. Once there is good or bad news, prices will fluctuate violently.
Therefore, it is recommended that everyone set up insurance for the downward direction, and overall positions should be reduced somewhat, waiting for a clearer direction later.
For buyers, it might be a good idea to follow recent fluctuations and make some low-buy high-sell bets.
For sellers, trading short volatility on out-of-the-money options is relatively safe.
Wishing everyone to be friends with time and gradually become rich~

Last night, ETH broke through the central level of the 1H timeframe and continued to decline. From a broader perspective, the US stock market broke below the 50-day moving average, facing the risk of sell-offs. BTC also broke through support and entered a bearish trend. The overall market atmosphere has become desolate and bleak.
Many traders, especially E guards, are unwilling to accept this, but data shows that many traders have indeed given up the fantasy of November and rolled over to December.
From the implied volatility (IV) perspective, the overall trend shows a long-term increase, while the near-term has slightly decreased; however, the entire curve has risen, deepening the level of panic.
From the volume open interest (OI) ratio, the 4K positions in November have decreased, while the 4K positions in December have increased. It appears that some traders have shifted to betting on longer cycles.
From the gamma exposure perspective, the negative gamma range is wide and dominant. Positive gamma is sporadically visible but ineffective. Therefore, the probability of significant fluctuations in the future has increased, and sellers are under greater pressure.
In this scenario, buyers who follow the trend find it easier. However, the current IV is relatively high, and options are expensive; if not trading short-term, long-term buyers still have a low win rate.
For sellers, selling long-term options and shorting volatility is a good business at this time. Remember to maintain delta neutrality to avoid the risks of sharp declines and surges.
Wishing everyone to be friends with time and gradually become wealthy~