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Bitcoin's option skew is deeply bearish, with the market pricing a clear break below $60,000. Yet outright puts are expensive, and with activity this low, their PnL payout, even if Bitcoin falls, is questionable.
We propose two alternative structures, informed by our directional view, the shift in options market activity over recent weeks and months, and our proprietary time series tracking whether volatility is cheap or expensive.
Accompanying this note is our 11-page options chart book (PDF), featuring 30 charts and tables covering Bitcoin, Ethereum, and IBIT, designed to give traders a comprehensive read on current market conditions.
Bitcoin's skew confirms the bearish bias, but outright puts remain an inefficient means of expressing it. Below, we present two alternative trade structures, along with a brief update on our systematic options strategy.
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