Amberdata Derivatives Newsletter: Insights on BTC, ETH, & Macro Trends

Markets remain volatile as crypto reacts to macro uncertainty and shifting policy signals. What’s next for BTC, ETH, and risk assets? Read more in this week's Amberdata Derivatives Newsletter.

USA Week Ahead (ET):

1. Wednesday 8:30a - CPI

2. Thursday 8:30a - PPI

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Disclaimer: Nothing here is trading advice or solicitation. This is for educational purposes only.

Authors have holdings in BTC, ETH, and Lyra and may change their holdings anytime.

MACRO Overview

Last week the NFP number showed +151k (+170k expected) jobs were created for February. 

The household survey showed that unemployment rose from 4% → 4.1%

According to Powell the US economy is fine and there’s no reason to rush to rate cuts. 

WSJ.com

The markets continued to trade with high volatility as tariff policy tries to settle on a clear path forward.

This week we have the CPI and PPI numbers, which should continue to guide rates and inflation policy. 

Chart: CME FedWatch Tool

Given the potential blowback from “deglobalization” to the economy, the market is starting to price is 4x rate cuts this year according to the CME FedWatch tool, despite Powell’s latest opinion on the economy. 

Risk-assets are reflecting the headwinds as VIX hangs around 25. 

BTC: $81,275 (-13.6% / 7-day)

ETH :$2,027 (-19.0% / 7-day)

SOL :$127.48 (-28.8% / 7-day)

Crypto Options Overview

This week brought another round of realized volatility outperformance. 

Buy the rumor: 85k → 91k

Last Sunday the Trump administration announced the March 7th presidential crypto summit was scheduled. 

The summit schedule announcement spiked spot prices higher bringing BTC to open Monday’s session around 92k. 

Sell the news: 88k → 81k

Traders hoped the administration would build a BTC reserve through fresh BTC purchases, but instead the Trump administration promised to establish a reserve through coins already owned by the government (through seizure) and guidance for commerce secretary to potentially purchase more, if purchases remain “budget-neutral”. 

Altcoins we’re hurt further when David Sacks (Crypto & AI czar) said the altcoins tweeted by Trump were not indicative of alt purchases but rather illustrative that other coins beyond BTC could serve in the reserve. 

Chart: BTC realized VRP

We can see the realized volatility for 7-dte, 14-dte, and 21-dte greatly exceeded the implied volatility previously priced. 

14-dte was the most extreme VRP, with RV exceeding IV by nearly +40 volatility points. 

BTC prices look to be delivering a Bart Simpson pattern, which would target spot prices back to $72k, the Nov 5th election level. 

Given that the SPX has now retraced back to election price levels, I think this pattern for spot BTC could be in the cards. 

Chart: BTC ∆25 RR-Skew/Atm

Bitcoin ∆25 RR-Skew pricing (above) isn’t very bearish here however, there’s likely a good continuation trade here (+p/-c), given the broader “risk-off” environment in equities due to de-globalization. 

Chart: ETH/BTC daily spot prices

There’s even more short-side opportunity in ETH given the lack of “global reserve” surprise demand from governments and the strong downward trend in prices. 

Chart: ETH ∆25 RR-Skew/Atm

Like BTC, the ETH ∆25 RR-Skew is also historically “neutral” providing good short-delta opportunity. 

If broader risk-assets crash, the associated crypto sell-off will be accompanied with a lot of vol. 

Paradigm's Week In Review

Paradigm Top Trades This Week

Weekly BTC Cumulative Taker Flow

ETH Cumulative Taker Flow

BTC Cumulative OI

ETH Cumulative OI

BTC

ETH

• Derive has announced LRT basis vaults for e.g. LBTC and weETH. This will give more users the ability to generate automated market competitive yield!

• Derive has now been integrated into Hummingbot!

• Parameters for portfolio margin have been lowered which has led to an improvement of 15-20% on previous margin requirements!
• Despite bearish markets, call OI still dominates put OI for BTC options by a factor of 5.

AMBERDATA DISCLAIMER: The information provided in this research is for educational purposes only and is not investment or financial advice. Please do your own research before making any investment decisions. None of the information in this report constitutes, or should be relied on as a suggestion, offer, or other solicitation to engage in, or refrain from engaging, in any purchase, sale, or any other investment-related activity. Cryptocurrency investments are volatile and high risk in nature. Don't invest more than what you can afford to lose.