🌴 1st July Trading Update

- Top Strategy: Short Call Condors
- Most Wanted Option: BTC-2JUL25-109000-C

- Volatility Commentary:
Realized volatility subsided quickly last week as spot found itself comfortably back in the heart of the $100-112k range that has broadly contained spot for the past 2 months, with the market clearly long gamma locally, also contributing to the range-bound price action. This put heavy pressure on implied volatility levels as we started to price daily vols below 30 in implied space for the first time this year, while even 3m volatility (September) is threatening to price below 40 vols
The term structure is very steep within the front month expiry, with daily vols around 27-28 for the upcoming days but picking up quite steeply to 40 vols by end of July. Beyond that the curve has actually flattened significantly as the market has removed risk premium for an eventual localised regime shift of higher realised, creating an attractive opportunity for roll down expressions on this curve

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