Delta.theta - NEWS

The Telegram bot @yieldfortdatabot has been launched in a test mode. It is designed to provide analytics that we post in the YieldFort Trading Desk chat (@yieldforttrading). Currently, it offers data on the dynamics of Open Interest (OI) over 1, 8, and 24 hours for BTC and ETH. We will gradually enhance its analytical capabilities as well as improve its UX/UI.

As we navigate the anticipation of ETH ETFs, with 7 applications pending & a decision due by May 30, the market watches closely. Strategy? Defensive, yet growth-focused. https://yieldfort.com/blog/etf-on-eth-awaiting-final-decision/

Market Wrap: Pre-FOMC

Today's key event is what Powell will say at the press conference. The focus is on his expectations regarding how many times the rate could be cut in 2024. It's worth noting that Goldman Sachs believes there could only be 3 cuts. Optimism regarding the rate has decreased following the latest CPI publication.

Bitcoin. An important level of 60,775 was reached during the Asian session. The 60,000 level is quite interesting, and it seems we will be exploring it over the coming week. With the upcoming expiration this week and next, bearish sentiment persists according to volatility. Dealer gamma is tight at 64-60 for this week and 65-55 for the quarterly expiration.

Ethereum: Amid reduced optimism regarding the approval of an ETF in May, the Grayscale Ethereum Trust's discount fell to -20%, the lowest level since November 2023.

We expect the period leading up to the quarterly expiration to be a time to consolidate at the 58-60 level and position for an upward movement in April against the backdrop of the halving.

25Δ RR & 25Δ BF

🌟Today, let's discuss what RF, BF are, and what all this means. Starting with RR - it stands for risk reversal. Essentially, buying an RR means selling an out-of-the-money put and buying a call, both options having the same expiration date. You're betting on the underlying asset's growth, and the sold put finances it.
🌟BF refers to the butterfly option strategy, which consists of two elements: the "body of the butterfly" - sold options, two at the center, and the "wings of the butterfly" - one bought option on each side of the body. An example of a butterfly would be a bought call at 68,000 and 70,000 (wings) and 2 sold calls at 69,000. If there's no skew in the butterfly's wings, the volatility curve does not affect this strategy.

In essence, constructing a butterfly chart with RR is like building “risk under control (BF - butterfly)” and “risk appetite (RR)”.

🌟Comparing volatility between calls and puts provides insights into market sentiment. RR, which measures the difference in volatility between out-of-the-money calls and puts, can indicate whether the market leans towards bulls or bears. A positive RR suggests higher volatility for calls (bullish sentiment), while a negative RR points to higher volatility for puts (bearish sentiment). Analyzing the difference between RR and BF helps understand the shape of the volatility smile, which in turn reflects the market's views on the price movements of the underlying asset.

25Δ RR & 25Δ BF for this and the next Friday.

Call-Put Option Parity

This is one of the fundamental principles of the options market. This principle describes the relationship between European call and put options with the same strike price and expiration date.

In simple terms, the difference between the prices of the call and put options equals the difference between the current price of the underlying asset and the strike price, multiplied by the discount factor.

🌟 C−P=S−K×(e^(−rT))

It's worth noting that this parity is a rather "simplified" representation of reality and has a number of assumptions. You can mentally challenge it with the following exercise. Suppose there is an asset with a positive expected return, the market is efficient, and everyone has equal access to information, as a result, calls on the asset grow, while puts should... fall. But the parity suggests the opposite. So, in brief, here are some limitations for the parity:

First and foremost - dividends and liquidity. For example, on Deribit, there is occasionally an opportunity for arbitrage based on parity (due to liquidity factors and market makers).
And then - transaction costs, the story about the interest rate, etc. The classic “disclaimer” of economic literature.

Despite all this, the parity remains a very practical tool in trading and definitely should be in the arsenal. That’s all for now.

Tomorrow at 18:00 Moscow time, together with Sergey Oleynik, we will talk about volatility: what it is and how it works, as well as why it matters and how to live with it. A practitioner's view on academic research. The broadcast will be in Russian (with English subtitles). https://www.youtube.com/watch?v=_-V3bczQ2Dc

We are converting option settlements to USDT on the BNB network. After expiration today at 12:00 UTC, please do not place orders with BUSD, and only use pairs with USDT. Pairs with BUSD will be removed from the terminal

#meme #friday #crypto 🍷🥃🍺

We are launching the beta test for YieldFort https://yieldfort.com/. Welcome aboard!
As a reminder, you can find the manual on how to use the terminal here → https://medium.com/@yieldfort/yieldfort-user-manual-7037f523bdf9

This week, we will also publish materials on the two available strategies, and the first start is already this Friday.

YieldFort - a crypto (Bitcoin/Ethereum) structured product aggregator is launching a public beta test on August 11th. Register and participate → https://go.yieldfort.com/3DMJgpf

Let's remind you that on YieldFort you can participate in two strategies:

Fixed yield on crypto assets at 5.5% annually, denominated in Bitcoin or Ethereum, with weekly rollover.

Capital protection at 0.1% annually, denominated in Bitcoin or Ethereum, with weekly rollover. In this strategy, you get protection from a fall in the exchange rate of Bitcoin or Ethereum against the US dollar. That means if the cryptocurrency drops over 7 days, you receive its amount at the end of the week to offset the reduction and 0.1% annually calculated for the week. However, if it rises, you only receive 0.1% annually.

In this article, we will discuss what deltatheta is, what this protocol is capable of, and what sets it apart from existing solutions, both among the number of options vaults and existing options protocols.
https://optiondeltatheta.medium.com/3e83ad1492fc

Explore the impact of delta & gamma on crypto option prices, potential pitfalls, and risk reduction strategies in our latest article.
https://optiondeltatheta.medium.com/cryptocurrency-options-delta-and-gamma-part-1-18e04091ac14

AURORITY x DeltaTheta #AMA
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Dear users and holders! We’re pleased to announce the launch of the third version of our terminal. Margin trading, combining multiple orders into one transaction, and other protocol improvements are already available on the Aurora/NEAR https://twitter.com/deltatheta_tech/status/1627712957571276800?s=20

Check out our new video about Layer 2 Solutions.

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After last week's Fed meeting, options trading dynamics have changed slightly. You can find out exactly how and what the current market expectations and valuations are right now in our report.

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