Halcyon Waters
@Halcyon_Waters
Crypto options data & intelligence: vol surface, 37 Greeks, cohort positioning, 3+ exchanges. Built by ex-bank quants 👉 with REST API
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Have you noticed that AI removed ever lasting war between Python vs. R ?! 😂
Clean visual, but it assumes dealers are short those puts. That’s a convention, not an observation. We infer dealer sign from taker flow instead.
Vanna can change how dealers respond to the market.
When puts remain out of the money, rising implied volatility can support buying and improve liquidity.
But once those puts move in the money, dealer hedging can reinforce selling pressure and increase volatility.
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Most iron condor backtests use mid price. We use cohort-level bid/ask depth across Deribit, Derive, Thalex to test what you’d actually fill at
Out of nothing, there is sudden surge of expert articles on „graph engineering” leading to a successful hedge fund formation.
Becoming a hedge fund manager never been easier than now 🤦🏻
No need for MBA, PhD, FRM, CFA, CQF…
Just Claude’s Agents 🙌
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The iron condor’s worst enemy isn’t a big move. It’s a slow grind to one side. A fast spike can round-trip before expiry. A quiet drift parks spot at your short strike and sits there: max gamma, max theta against you, no vol to blame.
You lose most on the days nothing happened.
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SOL long-dated ATM has not moved in two weeks: 41.2 pct, inside a 3-point band.
The 7d lifted about 7 points over the same window.
Same asset, same surface. Nearly all the vol-of-vol lives in the front, and almost nobody prices that asymmetry.
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An iron condor backtest with 200 trades does not have 200 observations.
Short premium P&L is decided by tail events. If your sample window contains two of them, your effective n is 2.
The other 198 trades are the same premium collected repeatedly.
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Every gamma trader before option expiry…
The only missing piece in RFQ game at any crypto-exchange is a clear understanding of the motivation standing behind these trades.
We initiated a long-term systematic studies in connection to the market microstructure based on data
Soon at #PuntaAllen#
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Derive's RFQ is where the largest trades in onchain options happen.
The biggest single trade ever executed on Derive was $210M notional in one structure. Trades above $10M notional clear almost every day.
But the RFQ is not just for whales. Read more 👇
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Who is a „dealer” in option trading?
It is whoever took the other side of your trade and doesn’t want it.
Not a firm, a licence, a category on the exchange.
The dealers hold option risk they didn’t seek, so they neutralise the directional part by trading the underlying.
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DEX repositioning map for $ETH. Dealer, relative view. Interestingly, the upper wing being active for the past 24h, suggesting intensified hedge positiong.
Completely hidden and unchartered options plane of activity, now…
Delivered by Cayø Largo 💯
👉
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A rising superstar of on-chain crypto-options, @DeriveXYZ exchange's data are now processed by Cayø Largo
#options# #Derive# #analytics# #optionstrading#
