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2 min readJun 2, 2022

Paradigm Block Commentary — 06/02/2022

A strong bid for gamma with ATM vols trading cheap: 10Jun: 61.5v, 17Jun: 63.25v, 24jun: 63.1v. Not a lot of offers to sell shorter-dated vol at these levels.

While BTC 7-day realized is lackluster at 54v, a busy calendar ahead with 17Jun capturing the Ropsten testnet merge (8Jun), ECB (9Jun), US CPI (10Jun), and FOMC (15Jun).

360x DO 17Jun 27k/33k strangle bot
300x DO 10Jun 30k strangle bot
1k EH 17Jun 1600/2000 strangle bot

Outside of outright gamma buying, a bid for protection in BTC with spot pinned back at 30k. Looks like the FOMO dead-cat bounce call buying is behind us…

500x DO 24Jun 25k/28k 1x2 put ratio sold (buying 2x 25k leg).
350x 29Jul 28k put bot
315x 29Jul 26k put bot
190x 24Jun 26k put bot

Kudos to our Joe Kruy for the analysis.

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Written by Patrick Rooney