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BTC ATM IV

ETH ATM IV

Two weeks ago in #70, I told you the easy money in long vol was done. BTC 1W ATM was sitting at 50%, the highest level since the war broke out, the term structure was inverted into hard backwardation, and skew had blown out to minus 13. I said 50 was no longer cheap; it was rich, and the trade had flipped. Sell the panic, hold the longer-dated protection, and stop selling naked anything into a tape that had just nuked $250 billion.

Here is where we are now. BTC 1W ATM is 35.21%. ETH 1W is 49.52%. The front end of the curve fell roughly 15 vols in BTC and 16 in ETH. BTC is at $65,083, up a polite 2.6% from #70. ETH is at $1,762, up 4.7%. Price barely moved. Vol got cut by roughly a third. The hedgers who were paid 4x at the top of the panic gave a chunk of it back to the people who sold them the spike. That was us.

Peace broke out. Vol broke down. Let's get into it.

I called the deal dead in #70. I was early by nine days.

On June 14, the mediators announced a memorandum of understanding. On June 17, after the G7, Trump and Iranian President Pezeshkian signed a 14-clause MoU at Versailles, of all places, and started a 60-day clock toward a permanent settlement. The US lifted the naval blockade. Iran agreed to reopen the Strait of Hormuz for mine clearance. Tankers that had been anchored for three months started moving, and more than 12 million barrels exited the strait in the first session. The shooting war that began on February 28 was, on paper, over.

So much for buy the rumor. The rumor died in #70, and the actual signature printed in #71. The tape does not care about your timing; it cares about your structure.

Here is the part that keeps this interesting. The deal is held together with tape and threats. Iran spent the weekend saying it would reclose Hormuz over Israel's ongoing fight with Hezbollah in Lebanon. The Switzerland talks that were supposed to firm up the details got postponed, then restarted, then got rocky again. Trump is threatening to seize the strait by force and charge tolls if the agreement falls apart. As I write this on Monday, Vance is calling it a “good foundation,” world shares are mixed, and Brent just slid again. A 60-day clock to a nuclear agreement, a fragile ceasefire in Lebanon, and a chokepoint that carries 20% of the world's oil. The premium got priced out. The binary did not.

Look at the curve. In #69, vol was too cheap at 30. In #70, it was too rich at 50. Today, it is 35, and the term structure has flipped back to clean contango. 1W at 35.21 sits almost 6 vols under 6M at 40.79. Two weeks ago, the front traded 7 vols over the back, and that was the market screaming fear. Now the front trades below the back, and that is the market exhaling.

ETH did the same dance. 1W collapsed from 66 to 49.52. The ETH premium over BTC at the front is still around 14 vols because ETH is ETH and beta does not take a vacation, but the panic is gone from the structure. Backwardation to contango in two weeks. That is a regime flip, and it is the second one in a month.

I told you in #70 that the regime flips, and then it flips again.

It flipped again.

This is the cleanest part. In #70, BTC 1W skew was minus 13.23%, steeper than at the start of the war, and I said that was peak fear and a mean-reversion candidate if the world did not end. The world did not end. BTC 1W skew is now minus 6.75%. It more than halved. 1M skew came in from minus 8.50 to minus 7.39.

ETH skew was the screamer. 1W blew out to minus 14.07% in #70. Today it is minus 6.43%. The puts that were bid like the apocalypse got sold back to earth as the apocalypse was postponed to a future newsletter. Selling that put skew was the trade, and it worked almost to the vol.

I do not like grading my own homework, but you keep asking, and #70 was a clean sweep, so here it is. Backtested on Block Scholes theoretical marks, entered on the #70 publication date of June 8 and marked to expiry or to today.

Sell the panic: the 1W BTC straddle. Sold the ATM straddle at 52 vol for about $3,660 per BTC of notional on June 8 and held it to the June 15 expiry. BTC drifted up to $65,628, so the call finished in the money at $2,343 and the put expired worthless. You kept $1,316. That is 36% of the premium you collected, banked in a week, by being short a vol that had nowhere to go but down. Spot moved against you and you still won because you were short the right thing.

Sell the ETH put skew: the mean reversion. Sold the ETH 1M 25-delta put at 69 vol for $54.64 per ETH on June 8. It is now worth $13.61. That is $41 of profit, with 75% of the premium gone in two weeks, as ETH rallied and the skew snapped back from minus 14 to minus 6. The put went from 25 delta to 11 delta and melted. This was the highest-conviction line in #70, and it paid like one.

Roll the winning puts out and down. If you took the #70 advice and rolled your deep-in-the-money 91-delta puts down to a fresh 25-delta put, you banked the war P&L and now own a cheap, clean downside line into a 60-day clock for almost nothing. That is the gift that keeps giving, and we are about to use it again.

Three calls in #70. Three winners. Now comes the hard part: doing it again from a worse entry.

We have a Fed chair with a mandate to cut and a temperament to hold. On June 17, the FOMC left rates at 3.50%-3.75% in a unanimous 12-0 vote. It was Warsh's first meeting and the cleanest committee vote since the 8-4 brawl in April under the old regime. So far, so dovish. Then the dots landed.

The median dot for 2026 jumped from 3.4% to 3.8%. Nine of eighteen members now pencil in at least one hike this year, a full flip from March, when the median still favored a cut. Warsh gutted the statement, dropped forward guidance entirely because he thinks it ties his hands, and pointedly refused to submit his own dot. May CPI ran 4.2% headline on oil, with core a tamer 2.9%. He stood up five task forces to rebuild how the Fed measures inflation, talks to markets, and reads the labor market. The man walked in, shortened the statement, removed the easing bias, and told the market to stop reading his mind.

In #70, I said a dovish surprise rips and a hawkish hold retests $60k. We got the hawkish hold. We did not retest $60k. BTC held the mid-$60s and equities printed fresh highs. Why? Because oil falling off a cliff did more to kill the inflation trade than nine hawkish dots could revive it. The geopolitics outvoted the Fed. When the supply shock that started the inflation scare reverses, the dots are arguing about a fire that is already going out.

The S&P is back at the highs around 7,500, up from the 7,383 it was nursing in #70 after the AI wobble. The Nasdaq is back near 26,500. The VIX got crushed from 21.51 to 16.78. Equity vol fell asleep again the second the strait reopened.

Gold did the unglamorous thing. It fell to about $4,172 from $4,365 in #70. The safe haven gets sold when there is nothing left to be safe from, and a signed peace deal is exactly that. Risk on, haven off.

And oil, the thing that started all of this, is the headline. Brent is around $78, down from $93 in #70 and a country mile from the $113-$120 war peak. It has erased nearly the entire war premium. Goldman cut its Q4 Brent forecast to $80 and now expects Gulf exports to return to pre-war levels by the end of July. Kuwait is lifting force majeure. Saudi supertankers are moving for the first time since February. The barrel that spiked the whole world is now the barrel dragging inflation expectations back down, which is the quiet reason Warsh's hawkish dots did not scare anyone.

In #70, I told you the ZEC trade was done. Do not catch the knife. Rotate on. The narrative call was right. The price call needs an asterisk.

ZEC bottomed near $264 on June 5 during the Orchard panic, then ripped. It bounced into the high $300s and is now trading around $440. The coin that everyone left for dead rallied 50-70% off the lows and squeezed a lot of late shorts. Arthur Hayes, who dumped the whole bag at the bottom and declared the Holy Trinity dead, rotated the cash into Worldcoin.

So here is the honest version. The thesis is still broken. You cannot sell cryptographic supply integrity and then admit you cannot cryptographically prove your own supply. Trust does not soft fork. I stand by that.

But a broken thesis and a tradable bounce are two different animals, and shorting a privacy coin into a relief rally with a thin float is its own way to get carried out. I said rotate on, not sit short and pray.

The #70 panic had Strategy selling 32 BTC, and people treated it like the end of the world. Turns out it was a tax move. The 32 coins, sold at about $77,135, were funding the STRC preferred dividend, exactly as previously disclosed, and Citi came out and said it does not change the strategy. Saylor then did the most Saylor thing possible. He bought 520 more BTC, lifted the cash reserve to $1.4 billion, and pushed the stack to 847,363 BTC. The never-sell doctrine cracked for one tax filing and then went right back to buying.

The real overhang is not Saylor. It is the bid behind him. The ETF outflow streak I flagged at 13 days in #70 did not break. It is now in its sixth straight week of redemptions. Citi estimates that spot ETF flows drive about 45% of weekly BTC moves, and that flow is still pointed the wrong way. Whale accumulation stalled in May. The institutional bid that absorbed two months of long-term-holder selling has not come back. That, not a hawkish dot or a Saylor tax sale, is why BTC is glued to the mid-$60s instead of pressing new highs alongside equities.

Price is calm. The plumbing is not.

Vol round-tripped from 30 to 50 to 35. It is no longer obviously cheap and no longer obviously rich. It is roughly fair, and the entire market is now positioned as if peace is a done deal. That is the setup, because the deal is on a 60-day clock, the strait is one Lebanon headline away from closing again, and the bid under spot has been gone for six weeks. The crowd sold the war premium all the way out. The binary did not leave with it.

So the edge flips a third time. In #69, you bought cheap vol. In #70, you sold rich vol. Now you buy cheap convexity into defined event risk because contango has let the front end get cheap right as the calendar fills up with things that can move the market 10% in a candle.

This is NFA. Vol is cheap, the calendar is loaded, and the bid is missing. Buy convexity, keep your downside, size small, and do not sell naked options into a 60-day countdown.

In #70, I told you 50 vol was too rich, the steepening skew was peak fear, and that you should sell the panic while holding the longer-dated protection. Two weeks later, the deal got signed, oil fell to $78, vol got cut to 35, skew halved, and all three trades printed. The short straddle banked 36% of premium, the ETH skew short banked 75%, and the rolled puts are sitting pretty.

I am not taking a victory lap on the price, because I buried a deal that was nine days away from a signature. What I called was the vol. Rich in #70. Mean-reverting. Sell it. That is what paid, just as the cheap-vol call paid in #69. The level was the edge, not the headline.

Now vol is fair, the curve is back in contango, peace is fully priced, and the bid has been gone for six weeks. The easy money in short vol is done, just as the easy money in long vol was done in #70, and the easy money in cheap vol was done in #69. Three flips. Three calls.

The fourth call is to stop selling the calm and start owning the convexity, because a 60-day countdown to a nuclear deal is not the place to be short gamma.

Bears ate in #70. The people who sold them the panic ate in #71. The tape does what the tape does when everyone leans one way, and right now everyone is leaning on peace.

Stay nimble. Own the wings. Stop selling naked anything.

Stay pimpin.

Notes: Kyan is live on Arbitrum Mainnet. Options, perps, portfolio margin, combo trades, and liquidity are available! No waitlist. No trading fees.

Vol data from Block Scholes: https://www.blockscholes.com

Charts from Velo Data: https://velodata.app/

Twitter: https://twitter.com/VeloData?s=20

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