BY GREG MAGADINI
February 14, 2024
Hello Traders,
Let me introduce myself.
I am Greg Magadini, a Chartered Financial Analyst.
Currently, I am the Director of Derivatives at Amberdata which acquired Genesis Volatility, the company I co-founded.
Option Pit and I are partnering up to bring you the playbook to the coming increased trading and opportunities within crypto and securities associated.
And the best news is – I’m not another pontificator or a theorist on crypto. Mark and I joined up because I have data analysis about Crypto that no one but the loyal folks at Option Pit will have access to.
I have been active in the crypto space for ten years and trading for fifteen years.
Prior to creating Genesis Volatility, I was a proprietary trader for DRW and Chopper Trading in Chicago.
Here’s my mug shot
So let’s talk about cryptocurrencies.
While browsing the market this week, I’m looking for cheap optionality in the market. Option venues like Deribit, Aevo, Synquote and Lyra offer both BTC and ETH options.
Today, ETH implied volatility is starting to look interesting in my eyes.
If we look at the current term structure, the March 29th expirations look especially attractive. This is the longest maturity before the leg higher in April.
The Red horizontal line is 30-day RV which is substantially above the current 30-day implied.
To contextualize a bit more, the current ATM IV for ETH is near all-time lows.
The ETH Dencun upgrade is scheduled from March 13th. This is the biggest upgrade since April 2023 when we had the “Shanghai” upgrade.
This might be a catalyst for volatility.
Sincerely,
-Greg Magadini
Greg Magadini
Director of Derivatives, Amberdata
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