Authors Samneet Chepal

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Samneet Chepal
Samneet Chepal
@samchepal
1. Congrats to the @opyn_ team for launching V2 - very exciting! I’m happy that the new V2 dashboard has a clean layout with greeks and implied vols for each respective option. It’s also a pleasant surprise to see the prices are closely in line with @DeribitExchange's options.

2. Many folks in this space use options to make directional bets on the underlying price of an asset ie: if we’re bullish or bearish we can buy a call or put respectively. Things get interesting when we move beyond simply trading the direction of where BTC or ETH is going...

3. Unlike futures, with options we can make bets on the underlying volatility of an asset. This style of trading is commonly referred to as “vol trading” which is a slightly more advanced strategy used by sophisticated retail traders and institutions such as @ledger_prime.

4. Below are a few key terms we need to understand as vol traders:
- Realized Volatility
- Implied Volatility
- Delta

5. Realized volatility (a): the historical volatility of the underlying asset throughout the life of the option. This volatility is measured during a given time period - ie: volatility over a 30 day period. Below is a plot of realized ETH vol from @GenesisVol data.
CRYPTO
Samneet Chepal
Samneet Chepal
@samchepal
1. This legendary $36k call trade led me down a rabbit hole into the world of higher order option greeks to analyze this trade using past historical data. This was a good learning opportunity and I wanted to share some stuff I've been


2. The $36k JAN-29-2021 calls began trading on @DeribitExchange on Oct. 31, 2020 and had an initial delta of around 3%. At this time, BTC’s index price was trading around $13.5k. On this date, it seemed like a long shot that prices could do a ~3x within 90 days.

3. My guess is the buyer of these calls was trading a re-pricing of risk as opposed to speculating that the price of BTC would actually be >= $36k on Jan 29/2021 (one thing we can say with confidence is they were smart and used @tradeparadigm to avoid massive slippage).

4. This thread does an excellent job explaining how traders can make money by trading relative probabilities.


5. If the trader believed the market was pricing too low of a probability for an option reaching ITM, they could purchase options with the intention of selling them before maturity once the market’s expectations become more bullish (as we’ve seen over the past few weeks).
TRADING