AD Derivatives NL: Employment Data, Volatility Trends, and Fed Outlook

USA Week Ahead (ET):

Every day of the Week - Various Fed speakers

1. Thursday 8:30a - CPI

2. Friday 8:30a - PPI

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

The major news last week was the U.S. employment situation report. The consensus forecast anticipated 150,000 jobs would be added in September, but the actual figure came in at 254,000. A substantial increase beyond expectations.

Additionally, prior months were revised upward, with an extra 72,000 total jobs added to previous reports.

Chart: ZeroHedge.com

The Household survey corroborated the payroll report, showing a drop in the unemployment rate from 4.2% to 4.1%.

Altogether, this has significantly lowered the likelihood of a 50bps rate cut from the Fed in the November FOMC meeting.

Chart: Polymarket.com

We observed significant repricing in Polymarket bets following the NFP release (this could provide opportunities for Polymarket traders who can quickly interpret economic news).

Additionally, hourly wages increased to 4% year-over-year, up from 3.8% last month.

Given these developments, I believe there’s a stronger likelihood of a “No Change” outcome at the November FOMC meeting than the current 2.6% probability reflected in the rates market, as indicated by the CME FedWatch Tool.

Chart: CME FedWatch Tool

We'll see if Thursday's CPI or Friday's PPI continues to reflect softening inflation trends.

I think the market is poised for a significant FOMC outcome repricing if inflation numbers also surprise to the upside next week.

BTC: $62,615 (-4.9% / 7-day)

ETH :$2,438 (-8.4% / 7-day)

SOL :$145.39 (-9.2% / 7-day)

Crypto Overview

Volatility finally ticked a bit higher last week as spot prices broke down. 

This has caused the risk-reversal to price puts more expensively, but what’s interesting is that anything longer than 30-DTE is almost unaffected. 

Option traders seem to think this pull-back in BTC is a short-lived volatility regime… as the spot/vol relationships being priced-in are positively skewed beyond 30-DTE and into EOY. 

Given the election is 30 days out, let’s break down what’s going on. 

Chart: November 8th Expiration (Skew Timelapse)

We can see the November 8th election contract is starting to squeeze out some volatility juice, as the volatility has dropped nearly -10% points in the past month. 

The left tail ∆5 Put “risk” remains well anchored however, while the “upside” ∆5 Call tail has lead the volatility deflation lower. 

Chart: Gamma Dealer Positioning (All Expirations)

Despite the spot retracement seen last week, the dealer positioning of Gamma continues to show dealers are short upside calls… especially if prices break above ATH strikes, +75k. 

Chart: Nov 8th (exp) Gamma Profile

If we isolate the gamma for November 8th and December 27th expirations, it becomes very clear what’s going on. 

For the Nov 8th election expiration, the street is currently selling that volatility through 60k and 65k strikes. 

Short strangles are a very logical trade given the propensity of disappointing “vol events” seen in recent history. 

Chart: DEC (exp) Gamma Profile

The real bullish sentiment is found in the EOY December contract, where the street is long a lot of call options from +65k through to +100k. 

The two consensus trades that everyone has been talking about continue be dominant and unchanged despite last week’s BTC spot drop. 

1. Short election volatility
2. Long Bullish BTC bets for new ATHs into the End of the Year.

Paradigm's Week In Review

Paradigm Top Trades This Week

Weekly BTC Cumulative Taker Flow

Weekly ETH Cumulative Taker Flow

BTC Cumulative OI

ETH Cumulative OI

BTC

ETH

Opyn Squeethcosystem Report

Crypto markets took a nosedive this week, ending the week negative. ETH ended the week at -8.39% and oSQTH ended the week at -17.86%.

Volatility

oSQTH IV is 109.60% vs. its ref vol. at 67.22%.

Crab Strategy

Crab saw losses this week ending at -0.21%.

Twitter: https://twitter.com/opyn

Discord: discord.gg/opyn

Derive (formerly Lyra) Overview

• New long term boards launched: 27 June 2025 and 26 September 2026!
• BTC 30 day VRP pulling away indicating a demand for options (pic attached, 54 v 44). Similar for ETH (63 v 52)
• Probably indicates a bullish trend - last 24 hrs 54% of trades were calls bought (BTC) (53% for ETH).
• More generally, BTC call OI dominates puts (167 to 43). The difference is smaller, but still significant, for ETH (5655 v 3047)
• Our borrow page is now live! Unique assets like LRTs can now be used as collateral to borrow and/or trade on Derive https://www.derive.xyz/borrow

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.