In this week's Amberdata Derivatives Newsletter, risk assets and bonds rallied as volatility dropped, with markets stable ahead of key economic data and an upcoming FOMC decision; in crypto, Bitcoin and Ethereum surged, while Solana showed strong relative strength, presenting a compelling trading opportunity.
Tuesday 9am - S&P Case Shiller Home Index
Tuesday 10am - Consumer Confidence
Wednesday 8:15am - ADP Jobs
Wednesday 8:30am - GDP
Wednesday 10am - PCE
Friday 8:30am - Employment Report NFP
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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 Derive and may change their holdings anytime.
Risk-Assets and safe haven bonds both rallied this past week as volatility came down.
Trump said he wasn’t looking to fire Jerome Powell and the markets responded well.
Chart: Finviz.com (VIX Index Daily Chart)
As VIX came down, GOLD also finally gave up a bit of its gains. I think everyone was happy to see this.
In about 9-days we have another FOMC rate decision and well see if things get spicy again as a result.
Market expectations have held steady over the past month anticipating only a 10% probability that the Fed cuts rates in May according to the CME FedWatch Tool (below).
Chart: CME FedWatch Tool
This upcoming week is packed with important economic data.
On Tuesday, we have the Consumer Confidence report, followed by ADP employment data and GDP figures on Wednesday.
Wednesday also brings the PCE report, the Fed’s preferred measure of inflation.
Finally, the week wraps up with the highly anticipated employment report, which Powell has suggested could be a key driver for a shift in sentiment toward lower interest rates.
We’ll see what happens… I’m expecting some good price action around these releases.
BTC: $94,198 (+11% / 7-day)
ETH :$1,799 (+13.9% / 7-day)
SOL :$149.59 (+9% / 7-day)
Last week we talked about a BTC/IBIT option play given the macro landscape (also talked about on TastyLive below), but this week I think Solana has good opportunity as an industry specific opportunity.
One of the most interesting trades that occurred over the past week is a very large seller of Solana $200 calls for the May 30th, 2025 expiration cycle.
We see an entity sold via block 100,000x contracts.
Chart: Solana Blocktrade Flows
Looking at the individual fills we see that the seller collected $3.00/contract.
This put the seller short about 17k delta and about 12k Vega in total.
Chart: Solana $200 5/30 trade prints
I imagine this entity owns some underlying Solana against the position, potentially being fully hedged.
The entity is likely trying to juice yield via covered calls.
Looking at the volatility surface, I can’t help but think taking the other side of this flow could be an interesting trade.
Chart: Solana Gamma Exposure
Dealers are NET long gamma, especially in this $200 region thanks to this flow. Which normally wouldn’t be great for an option buying thesis, but let’s not forget, Solana option flow (and therefore hedging) is relatively small.
The underlying spot market is going to dictate the market for now, hence, I still think buying these $200 5/30 calls as a great way to capture the edge.
Chart: 5/30 Expiration Solana Option Smile Timelapse
Volatility has come down a lot. We can see the ∆15 call wing is down over 20% vol points from two weeks ago. At the -12k vega, any push higher in vol could cause the entity to want to buy-to-close those short calls.
That could cause a good amount of buying pressure.
Chart: Solana ∆15/ATM Ratio
Looking at the past 12-months of Solana volatility surface pricing, we can see the relationship of the ∆15 call wing versus at-the-money volatility is nearly the cheapest it’s been.
Again, a good argument for owning the $200 calls 30-days out.
Chart: TradingView (SOL/ETH Daily)
Lastly, given the Trump crypto dinner, the friendly SEC and this “anything is possible environment” getting long the the SOL-vs-ETH rotation thesis a decent play.
The SOL-vs-ETH trend (above) is definitely volatile given the 65% RV for two highly correlated assets, but the trend is clearly showing Solana trending higher against ETH.
Chart: Solana ATM Daily 1y
This is a decent trade in my opinion, especially when considering where outright ATM volatility in Solana currently sits.
BTC
ETH
Derive’s basis trading vaults (using EtherFi’s weETH and Lombard’s LBTC) have gone live! Currently sitting at $1.5M and $600K TVL respectively as vaults scale up.
Borrow rate of USDC on Derive has held firm at 4.45%, providing users with access to cheap leverage.
Meanwhile, Derive’s covered call vaults have earned almost 13% yield (denominated in ETH) in the last 43 weeks even as the asset has undergone volatile downward movements.
BTC open interest remains heavily call-favoured, with more than 3x the OI in calls than puts.
Chart: BTC Option Open Interest
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.