btc options flow on deribit. june 27 expiry.
put/call OI ratio 0.57. calls dominant in open interest. but volume tells a different story. put/call volume ratio 2.36. puts traded more than twice the notional of calls today. someone is buying protection or taking directional bets to the downside.
max-pain sits at $60,500. spot is $61,702. we're above max-pain, which means dealer hedging flips from stabilizing to amplifying. above max-pain, dealers are short puts and long calls. as spot drops, they sell spot to delta-hedge their long put positions. that selling pressure accelerates the move lower. the volume skew suggests this dynamic is already in play.
ATM IV 56.3%. elevated. market pricing in turbulence.
the flow is bearish. OI structure is bullish. the tension is in the volume. someone is loading up on puts while the crowd holds calls. when the crowd is wrong, the unwind is violent.
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Originally published on FalsifyLab Substack.