Amberdata Derivatives Newsletter: Cooling Inflation & Options Positioning

Markets are showing cautious optimism after a cooler PCE print and upwardly revised GDP. With inflation nearing the Fed’s 2% target and crypto seeing continued treasury adoption, the risk-on sentiment appears justified, for now. Read on for a full macro and crypto options breakdown in this week's Amberdata Derivatives Newsletter:

USA Week Ahead (ET):

1. Wednesday 8:15am - ADP Employment

2. Wednesday 2:00pm - Fed Beige Book

3. Thursday 8:30am - Trade Deficit

4. Friday 8:30am - Employment Report NFP

*Various Fed Governors Speak*

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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.

MACRO Overview

Last week we had some encouraging data via the PCE release on 5/30. The headline number came in at +2.1% annualized for April, versus +2.3% in March. 

This is almost hitting the Fed’s 2% inflation target. Inflation continues to defy trade war fears (at least for now). 

(You can see the entire release here)

We also had the Fed’s FOMC minutes released last Wednesday as well. The Minute’s eco fears around the potential for stagflation from tariff led inflation (should it show up) mixed with recession fears from global trade. 

Another fear from the Fed is the potential for the US “safe haven” status being lost. Overall, the Fed re-asserts that it remains cautious and waiting to see more data developments. 

A recession is “technically” GDP contraction two quarters in a row. Q1 GDP numbers came in at -0.2% annualized last week (first revision), compared to +2.4% in Q4 2024. 

The initial Q1 GDP numbers released 4/30 estimated a -0.3% contraction, which means the revision higher was more bullish US GDP. 

Together, this helps explain the risk-on environment as inflation remains tame and recession risks seem less likely. 

Next week, we have Friday’s NFP/Employment report. Jobs have been strong and seeing resilience + reasonable inflation from wage growth, will help justify this risk-on recovery. 

As for other data… we have the Fed Beige Book and various speaking events from Fed governors. 

The Russian conflict continues to make headlines and remains a large wild card as Putin seems more and more aggressive. 

Lastly, on the crypto front, the corporate treasury trading / buying of crypto continues strongly as DJT announced plans to buy BTC and SharpLink plans to allocate funds to an ETH treasury. 

With USD reserve “safe haven” status under skepticism, Gold holding near ATHs, corporate allocations of balance sheet to BTC, it seems like a matter of time until an important (government) player decides to buy BTC, maybe to harden their fiat money!

BOJ intervention into the JGB market, as yields rise, is a context to keep an eye.

BTC: $105,134 (-2.4% / 7-day)

ETH :$2,530 (+0.3% / 7-day)

SOL :$155.39 (—9.4% / 7-day)

Crypto Options Overview

BTC hit a bit of resistance last week, as prices are testing new ATHs.
Block traders were mostly bearish last week as the main action saw selling OTM calls and buying put spreads.

Chart: BTC Block Trades (pro.amberdata.io)

In my opinion this action is normal and doesn’t signal any sort of break in the market up-trend. 

Despite the short-term selling, the longterm trend remains strong.
ETF inflows, futures OI build-up and corporate treasury allocation all show robust and constructive activity for higher prices as more and more people come into this market.

Chart: BTC ∆25 RR Skew (pro.amberdata.io)

The option risk-reversal remains biased to upside prices for days-to-expiration greater than 7-dte. This volatility pricing also shows long-term pricing for outsized “upside” moves in the asset. 

Chart: BTC Deribit options OI (pro.amberdata.io)

The June quarterly contract reflects the most concentration of outstanding open interest on Deribit, with about 60% of outstanding OI found in calls.

Chart: BTC GEX Exposure (pro.amberdata.io)

What’s very interesting is the current GEX (dealer positioning) dealers are long gamma around current prices, but QUICKLY become short gamma shoud prices break higher, or lower. 

The $110k ATH zone is the big ceiling for prices to break higher… Looking at the options market, $110k → $120k is an empty air-pocket. Downside activity would get into the mid 90s. 

This positioning is still small compared to the overall spot markets, but it gives us a good gauge of sentiment. Levels that people are trading. 

Chart: BTC Term Structure Richness (pro.amberdata.io)

Chart: ETH Term Structure Richness (pro.amberdata.io)

ETH has outperformed in the recent rally and comparing the ETH term structure vs BTC term structure, the option markets are continuing to prices outsized moves in ETH. 

Instead of looking at absolute volatility levels, looking at the divergence in the shape of the term structures, helps us see how markets are expected to move in the short-term (normalized for different absolute volatility).

ETH is in a slight backwardation state, while BTC is in Contango. 

We can see that over the past year, these two charts have moved in lockstep and the current divergence bodes wells for a continued break higher in ETH (or a massive outsized breakdown). 

Chart: ETH Gamma Exposure (pro.amberdata.io)

The GEX exposure on ETH shows a break higher has short gamma exposure all the way up to $3,600 ETH. 

Chart: ETH ∆25 wings vs ATM IV (pro.amberdata.io)

We can also see the shape of the ∆25 Puts and ∆25 calls trending towards outsized upside volatility, as trades price more upside expected value in the asset. 

The ∆25 Puts (orange) have been trending down, while the ∆25 calls have simulatneously been trading higher. 

Hearing SharpLink allocate treasury towards ETH ownership is also a strong sentiment signal that supports the ETH rally higher, especially if other corps. follow. 

BTC Block Trades

ETH Block Trades

• TVL remains strong at $90M
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• Borrow rate on USDC at 4.7%
• Derive Pro; the latest subversion is due to launch with enhanced UI and PM2 (explained last week) this week! Traders can expect anywhere between a 20-70% improvement in margin requirements, especially for structures like spreads, flies and straddles.
• Derive’s basis trading vaults for LBTC and WEETH have grown to hold $2.7M and $1.2M respectively. Vaults overall hold more than $10M in TVL generating yield in the 10-15% range.

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.