TL;DR

- Paradigm drives $8B in volumes and captures 30% of global crypto option volume despite muted volatility.
- Amberdata Analysis of Market Volatility.
- Paradigm unveils the all-new Leaderboard Page.
- Bullish Sentiment amongst Institutions.

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Heading into Q4

September had a few significant milestones we're proud to share – the successful completion of our SOC2 Type 2 audit being a big one. This accomplishment isn't just about certification; it's a testament to our unwavering commitment to security, transparency, and trust.

We also delivered two insightful The Big Picture Episodes that dug into some interesting market dynamics. The first episode explored net dealer gamma with Amberdata and covered risk management strategies. The second episode, featuring QCP, delves into the evolving dynamics of the cryptocurrency market, particularly focusing on Ethereum's put skew compared to ATM options.

Lastly, even in this low volatility environment, Paradigm managed to capture 30% of the global option share while posting an impressive $8B in total volume.

With that said, let's dive in. 👇

Stabilization

Dog days of summer bled into September, and with it, lower cryptocurrency volumes across spot and derivatives markets. Paradigm options volumes were lower as a result of market apathy, -14% MoM vs. August. Majors grinded higher vs. equities in September BTC +4%, ETH +2%, SPX -5%.

Despite the anemic price action observed in majors, there was a discernible demand for Q4 upside on Paradigm. Buyers of BTC Oct topside, perhaps playing for October Spot ETF approvals, rolled their positions to November expiry. In ETH, topside also dominated our trade blotter, but flows felt more interdealer with market makers managing risk around large Nov overwriter positions. Kindly refer to TBP episodes for further flow themes. Notable prints below:

BTC
1. 2498x 27-Oct-23 30000 Call bought
2. 1775x 24-Nov-23 31000 Call bought
3. 1475x 27-Oct-23 31000 Call bought
4. 1350x 27-Oct-23 32000 / 24-Nov-23 33000 Call Calendar bought
5. 1300x 27-Oct-23 30000 / 24-Nov-23 33000 Call Calendar bought

ETH
1. 27755x 24-Nov-23 2000 Call bought
2. 25280x 24-Nov-23 1900 Call bought
3. 20750x 29-Dec-23 1400 Put bought
4. 12500x 29-Sep-23 1550 Put bought
5. 10750x 24-Nov-23 2100 Call bought

The below chart shows net BTC taker flows on Paradigm from September. The purple (Oct) and teal (Nov) bars in the 30-33k strike range represent the aforementioned Oct/Nov call calendars. Takers sold Oct ATM vol to help reduce carry of these positions, with realized vol remaining lackluster. We observed muted downside flows in comparison, outside sporadic buying interest in 13Oct 24-25.5k strikes.

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This slight optimism prompted a discussion in this short clip of our most recent "The Big Picture" episode.

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Unveiling the all-new Leaderboard Page!

We also released our leaderboard in September. You can now stack up your Volume and Liquidity prowess and see if you've got what it takes to outshine the brightest stars in the Paradigm arena.

Simply tap 'F1' and be instantly transported to the Leaderboard screen.

View your position on the Leaderboard now!

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SOC2 Type 2 Audit Complete! 🔒

We're thrilled to share our latest milestone - passing the SOC2 Type 2 audit.

This isn't just a certification; it's a testament to our unwavering commitment to security, transparency, and trust.

SOC2 (Systems and Organization Controls 2) sets high standards for trust in service providers, covering vital aspects like security, availability, and confidentiality. We've chosen the rigorous Type 2 audit, emphasizing our ongoing commitment to compliance. Our recent three-month monitoring period ran from June 1st to August 31st, and we plan to undergo this annually.

Read More Here

September Content Highlights

TBP: Breaking Down Net Dealer Gamma With Amberdata

In this video, Fabio sets the stage for a deep dive into options vol trading. The discussion covers net gamma rebalancing, emphasizing its significance in risk management strategies, and dives into dealer profiles, net gamma price changes, and dealer gamma.

Watch Episode Here

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TBP: Hidden Opportunities Amongst FTX FUD

In this episode of "The Big Picture" featuring QCP, we explore the cryptocurrency market's intricacies. The conversation covers many topics, including the evolving skew dynamics in the market, with a specific focus on Ethereum's put skew compared to ATM options.

Watch Episode Here

Stay informed and engaged with us through our weekly "The Big Picture" podcast and "Paradigm Edge" Telegram channel — your go-to resources for navigating this ever-changing crypto derivatives landscape.

Thanks for taking the time to read our Monthly Brief.

Reach out to your rep for details on what we’re building and make sure you ​​follow us on Telegram, Twitter, LinkedIn, and YouTube.

Sincerely,
The Paradigm Team 💜