Bitcoin is a bit precarious at 100K. ETH retraces to 2200.

Yesterday, we analyzed the gamma ex changes of Bitcoin, which basically stayed within the estimated volatility range. Today, we mainly look at ETH.

From the gamma ex perspective, ETH shows a similar trend to Bitcoin's recent changes, with negative gamma ex shifting left and an expanding energy trend. This means the volatility range is shifting left and expanding.

At the same time, the changes in OI data also support this shift, likely caused by a large number of put positions being bought.

This reflects traders' increased expectations for ETH's retracement, as many are buying insurance or betting on the decline.

Currently, we can only judge the decline from a short-term perspective; future changes in gamma ex are unpredictable, so we cannot rule out the possibility of gamma ex shifting right.

Therefore, it is recommended to maintain a neutral volatility strategy. If you have already benefited from the increase in volatility from a previous position, you can consider adjusting the position and recalibrating the price range. If you are preparing to open a position now, selling near and buying far is a good opportunity, as you can enjoy profits from high volatility during peaks.

The expectation of interest rate cuts may come earlier in July, so the duration of the current sluggish market in June may be shortened. In the process of using calendar strategies to long volatility and eat theta, it is recommended to gradually increase the allocation of long-term buying legs to prevent sudden market changes and enhance convexity protection.

Wishing everyone prosperity~