Cryptarbitrage

Happy to (and have done already), but it would be nice to have questions answered 😉teapawt.net/cryptarbitrage/status/… I did look for the answer myself by the way, but I found the documentation difficult to find.

Hot tip: Deribit is currently in the process of routing their spot markets over to the Coinbase spot markets, and this has a very nice bonus for Deribit traders. They get the liquidity of Coinbase spot markets, but with Deribit fees (0-5 bps). Some markets are already routed, with the rest currently due to be done by the end of the week. Deribit trading fees pictured.

Basis still not very elevated, at around 4% across almost the whole term structure, despite the relatively large price move out of the range. Barely above risk free rate. Historical BTC funding on Deribit for the last week, and last year, also shown.

It seems @LorisTools has added option data. Quite handy since AmberData went behind a paywall. I've been using the Loris Tools website for months to track funding rates across venues (which it is awesome for, nice job @0xLoris !) and somehow I didn't notice the option addition until a colleague pointed it out 😅 Lot's of cool funding rate tools on there as well, including a current arb scanner, historical funding charts, and a backtester. You can even execute trades through there if you want to hook it up to your exchange accounts (the trading part has a fee, but most of the site is free).

@GreeksLive have just launch launched a free bitcoin option backtest tool. Well worth a look if you already trade BTC options (or intend to). Pictured is a backtest of selling weekend vol on a Friday, something I looked at in a couple of articles on the Deribit blog.

Basis is in the toilet, and has generally been heading steadily lower for many months. Zero incentive to do standard basis trades currently as holding cash/bonds/USDC pays better. Cross exchange funding arbs still available though for those willing to do a bit of extra work.

Well this is an annoying thing to log in to. X Pro (Tweetdeck) is now locked behind only the most expensive subscription.

No more free option metrics from @Amberdataio after April 😭 Who remembers @skewdotcom ? They were bought by @coinbase and the website was discontinued for some reason, but I believe the code is all there still ready to be rebooted. Maybe we should add it to the Deribit website? 🤔

I finally made it back @GreeksLive 😅

I show an example of using the @GreeksLive smart trading feature to automate option orders on @DeribitOfficial in my latest video: youtube.com/watch?v=Ba_5aWpK… I've used the maker assistant tool in previous videos, but this is superior, so I will be using this instead going forward.

I haven't released a video in ~4 weeks now, mainly because I'm hardly trading. I'll try and put something interesting together soon regardless, but I'm not particularly excited to sell midweek BTC vol in the mid 20's, so barely any positions. Front end vol is on the floor.

While calls are becoming relatively more expensive vs puts, vol overall is still trending down, and longer dated IV is about as low as it's been in the last year. (All charts are free at @Amberdataio )

Skew creeping up. (Call - Put) 30 and 180 day shown. Skew not at highs yet, but likely if price breaks ATH. At that point risk reversals (-C, + P) will start to offer enticing odds. Useful for defined risk/reward bullish bets + cost effective hedges for existing spot positions.

VRP negative recently. Good couple of weeks for anyone long vol. VRP compares implied volatility with realised volatility. In other words the price of vol in the options market (IV) vs how much vol there actually is. Great chart of it available on @Amberdataio (now free).