TechFlow reported, citing Adam, a macro researcher at Greeks.live, that options expiry data from May 31 showed 69,000 BTC options expired with a Put Call Ratio of 0.37, maximum pain at $66,000, and a notional value of $4.7 billion. For ETH, 920,000 options expired with a Put Call Ratio of 0.46, maximum pain at $3,300, and a notional value of $3.5 billion.
This week, the crypto market has been relatively quiet. This May has arguably been the best-performing May in recent years, with ETH even seeing a single-day surge of 20%. The current bull market is far from over, and market sentiment remains optimistic. Currently, a clear divergence exists between BTC and ETH: BTC’s implied volatility (IV) across major maturities has dropped to levels typical of a cooler market, while ETH’s IV remains elevated. A favorable strategy would be selling ETH and buying BTC to exploit the cross-asset IV spread, as ETH faces significant downward pressure on its IV.
Currently, the divergence between BTC and ETH is evident. BTC’s IV across major tenors has fallen to low levels indicative of subdued market activity, whereas ETH’s IV remains high. Selling ETH and buying BTC to capture the cross-asset IV differential is an effective strategy, given the substantial downward pressure on ETH’s IV.
