Soundings Issue 01: Bitcoin Options Positioning Report
Soundings Issue 01, a weekly structural read of the Bitcoin options book. Where dealer gamma sits, taker-flow signed, and what the market is set up to do.
Soundings Issue 01 is a weekly structural read of the Bitcoin options book. It maps where dealer gamma exposure sits and where it flips, what traders built and unwound this week, and whether protection is being bid or fading, all dealer-signed from the Deribit tape and read across the 28-cohort grid. The whole report holds one line: it describes where the options book is positioned, and never forecasts price or volatility. Positioning, not predictions.
Download the full issue · PDF, 12 pages
Download the full issue · PDF, 12 pages
What's inside Issue 01
| • | The volatility cycle and Cayo Vol Index. Where BTC sits in its implied-volatility cycle, and how loaded the next move is. |
| • | This week's repositioning, dealer-signed, by cohort. What options risk was added and removed across the 28-cohort grid, hour by hour, against a normal month. |
| • | The gamma terrain into the front weekly. Bitcoin gamma exposure by strike, taker-flow signed, with the gamma flip level, the call wall and the put wall. |
| • | Tail positioning against traditional 25-delta skew. Whether the deep put wing is being bid beyond the standard skew. |
| • | The variance risk premium in context. How rich the premium is against its own recent range. |
| • | Surface versus structure. The smooth implied-volatility surface beside the dealer-signed repositioning it smooths away, the same market read at two depths. |
Frequently asked questions
What is Soundings? Soundings is Halcyon Waters' weekly structural positioning report on the crypto options book, published under Cayo Largo. It reads where dealer gamma sits, what got built and unwound, and what the market is set up to do, dealer-signed and read at cohort depth. It describes where the book is positioned and never forecasts price or volatility.
What is dealer gamma exposure (GEX)? Gamma exposure measures how much options dealers must buy or sell of the underlying for each move in price to stay hedged. When net GEX is positive, dealer hedging dampens moves and price tends to pin near high-gamma strikes. When it is negative, hedging amplifies moves and price can gap through levels.
What does taker-flow signed gamma mean? Standard GEX assumes dealers are net short options. Taker-flow signing infers the side dealers are actually on from real Deribit trades, so the sign reflects measured positioning rather than an assumption. In Issue 01 the dominant 66k strike reads as a stabilizing ceiling unsigned, but flips to amplifying once signed by taker flow.
What is a gamma flip level? The gamma flip is the price where net dealer gamma crosses from positive to negative. Above it, dealer hedging tends to dampen moves. Below it, hedging tends to amplify them. It is one of the most decision-relevant structural levels in the options book.
How often is Soundings published, and what does it cover? Soundings is weekly. Each issue covers the volatility cycle and the Cayo Vol Index, this week's repositioning by cohort, the gamma terrain and key levels, tail and skew protection, and the variance risk premium in context. Issue 01 is Bitcoin. Every figure is re-pulled live the morning of publication.
Is Soundings investment advice? No. Soundings describes the structure of the crypto options book. It contains no price or volatility forecast and no recommendation to buy, sell or hold any instrument. It is published by Halcyon Waters sp. z o.o. using Deribit data.
Soundings describes the structure of the crypto options book. It is not investment advice and contains no price or volatility forecast. Published by Halcyon Waters sp. z o.o. Data from Deribit.
Frequently Asked Questions
What is Soundings?
Soundings is Halcyon Waters' weekly structural positioning report on the crypto options book, published under Cayo Largo. It reads where dealer gamma sits, what got built and unwound, and what the market is set up to do, dealer-signed and read at cohort depth. It describes where the book is positioned and never forecasts price or volatility.
What is dealer gamma exposure (GEX)?
Gamma exposure measures how much options dealers must buy or sell of the underlying for each move in price to stay hedged. When net GEX is positive, dealer hedging dampens moves and price tends to pin near high-gamma strikes. When it is negative, hedging amplifies moves and price can gap through levels.
What does taker-flow signed gamma mean?
Standard GEX assumes dealers are net short options. Taker-flow signing infers the side dealers are actually on from real Deribit trades, so the sign reflects measured positioning rather than an assumption. In Issue 01 the dominant 66k strike reads as a stabilizing ceiling unsigned, but flips to amplifying once signed by taker flow.
What is a gamma flip level?
The gamma flip is the price where net dealer gamma crosses from positive to negative. Above it, dealer hedging tends to dampen moves. Below it, hedging tends to amplify them. It is one of the most decision-relevant structural levels in the options book.
How often is Soundings published and what does it cover?
Soundings is weekly. Each issue covers the volatility cycle and the Cayo Vol Index, this week's repositioning by cohort, the gamma terrain and key levels, tail and skew protection, and the variance risk premium in context. Issue 01 is Bitcoin. Every figure is re-pulled live the morning of publication.
Is Soundings investment advice?
No. Soundings describes the structure of the crypto options book. It contains no price or volatility forecast and no recommendation to buy, sell or hold any instrument. It is published by Halcyon Waters sp. z o.o. using Deribit data.