“Call spreads remain attractive for anyone wanting recovery exposure into the post-quarterly reset. And now look even better on a relative-vol basis, since call spread longs are buying the cheaper wing of a skew that is leaning the other way,” he said.

There are a number of factors that might drive volatility higher in the near term. Friday’s options expiry, for example, which Péquignot described as “traditionally one of the most significant liquidity events on the annual calendar.”

Moreover, ahead of the expiry, options traders who bought puts, or downside bets, in recent months are sitting in profit. That is, they are in the money, while those who bought calls are set to see their bets expire worthless.

“With spot at 64k, the June 26…