July 10, 2023
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Monday 10a & 11a - Fed members speak
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Wednesday 8:30a ET- CPI
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Wednesday 2p ET- Beige Book
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Thursday 8:30a ET- PPI
Disclaimer: Nothing here is trading advice or solicitation.
This is for educational purposes only.
Math-minded people here, pardon any typos.
MACRO THEMES:
We just received the latest employment data and although the job report only saw +209k and -110k (revision lower for April and May) the average hourly earning rose +4.4% y/y as June hours worked ticked higher and the unemployment rate dropped to 3.6% from 3.7%.
This means that unless CPI has a surprisingly weak reading, the Fed is likely on track to raise again in their July meeting.
YTD crypto has been led higher by BTC which has traded heavily on macro news.
However, a lot of BTC-specific news, such as Blackrock’s ETF application, Larry Fink called BTC digital gold, SEC coming after Binance, and Coinbase… has made macro news a background story.
Our base case going into CPI this week is that it’s going to be a muted and subtle event.
Unless something truly surprising occurs BTC is going to be driven by spot ETF applications and regulatory developments more for now.
Any surprise drop in CPI would be bullish for BTC prices otherwise, we view the next rate hike as larger priced-in.
BTC: $30,257 (-1.3% / 7-day)
ETH :$1,865 (-4.9% / 7-day)
SOL: $20.82 (+6.8% / 7-day)
Now that we’re beyond the big quarterly expiration and BTC has had some time pass since its recent leg higher into the +$30k zone, there’s a bit of a pause and a return of short-term VRP.
Both BTC and ETH are currently into Contango again yet BTC remains above ETH for most maturities.
Only the short-term option complex has this relationship reversed with BTC below ETH.
Overall, we can see the BTC term structure continued to extend its contango last week, especially post-NFP.
I’d expect the richness chart to move similarly this week… a bit higher into CPI, only to steepen again post-release, assuming we have a consensus CPI number.
PROPRIETARY “GVOL-DIRECTION” FLOWS - @Gravity5ucks
The weekly volumes have been affected by the lack of volatility, although some trades have seen significant positions being taken.
Purchases of $40k December call options have dominated the flow, with a total premium spent of nearly $5M ($9M considering the cumulative of the past few weeks).
A seller of a 1x2 put ratio spread -27k/+24k for September, with a long vega profile around 25k, suggests a clear view of the spot/vol correlation at those levels.
On-screen activity has been primarily focused on buying gamma.
On Ethereum, it's interesting to highlight a couple of trades for March 2024: a long $2.3k call and a long call spread $1.9k/$2.8k with an at-the-money implied volatility of around 51%.
Paradigm Block Insights
@GenesisVol 🧵
Two main flows this week: large upside buying and steady 2-way interest for gamma.
Natural takers positioning for a further move higher buying further OTM calls.
Large Deribit options expiry rolled off on Friday, busy short-dated flows surrounded it as spot whipped between pins.
TBP | Dissecting the world of Crypto in LATAM with NOX. -Ep. 28
Our friends at NOX came on The Big Picture this week for an epic 🇧🇷 style episode!
We dive into 👇
- Vol Insights from NOX Strategies
- Paradigm flows & ETH bullishness
- Bitcoin's dominance & macro backdrop
- Brazilian regulation landscape
Full episode 👇
🌊BTC
Droves of upside buying led the flows this week on Paradigm as takers positioned for spot rally to continue. Calls trade firmly over puts across the term structure.
1000x 29-Sep-23 35000/40000 Call Spread bought
1000x 29-Dec-23 35000/45000 Call Spread bought
1000x 25-Aug-23 35000 (tied) Call bought
800x 7-Jul-23 31500 Call bought
🌊ETH
Large upside buying in ETH, especially on Friday post-expiry. New @gvol cross-asset term structure feature makes seeing the stark contrast easy
45500x 29-Dec-23 1900/2500 Call Spread bought
10000x 29-Sep-23 2200 Call bought (tied)
6500x 7-Jul-23 2000 Call bought
We are curious for your thoughts 👇👇
https://twitter.com/tradeparadigm/status/1674096881453105154
The latest Macro Pulse just dropped.🔥
🌊Riding the Institutional Wave
✍️Breaking down Paradigm flows
⚠️Recessionary fears are back
🤔Trade or Fade?
Join the thousands of other Macro heads in reading @davidbrickell80 thoughts each week. 👇
https://www.paradigm.co/blog/bitcoin-is-about-to-break-to-the-upside-and-markets-arent-ready?utm_campaign=Macro_Pulse_Bitcoin_is_about_to_break_to_the_upside&utm_source=twitter&utm_medium=social&utm_content=tradeparadigm
Hit us up on Telegram! 🙏
Daily Commentary✍️ http://pdgm.co/edge
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Sign up now! 👉 https://pdgm.co/3BLEw1Y
Bybit x Paradigm Futures Spread Trade Tape: https://t.me/paradigm_bybit_fspd
BTC
ETH
Lyra Weekly Review
Arbitrum:
Optimism:
Volatility
Current ATM IV is ~40% in ETH, unchanged from last week. ETH prices are back to range-bound, without further movement the vol levels may revisit recent lows.
Trading
The majority of OI is in long calls, Lyra saw a few traders taking on large long call positions this week
ETH Market-Making Vault
ETH Arbitrum: +3.71% since inception, +8.10% annualized
ETH Optimism:
Depositors earn an additional 8.57% rewards APY, boosted up to 39% for LYRA Stakers by depositing USDC to Lyra’s Market Making Vaults.
Net MMV Exposure:
Both ETH vaults are long ATM options and short call skew. If the market continues sideways, AMM depositors may lose to theta decay.
ETH Arbitrum:
ETH Optimism:
BTC Volatility
BTC vol sitting ~40%, looking quite similar to ETH markets.
Net BTC MMV Exposure:
BTC vaults remain long gamma, paying theta
Learn more about Lyra in this GVOL explainer video!
Trade: app.lyra.finance
Twitter: https://twitter.com/lyrafinance
Discord://discord.gg/Lyra
Watch @itseneff and @GenesisVol talk options here
The Squeethcosystem Report
Markets remain range bound without any reason to pick a direction. ETH ended the week -2.45%, oSQTH ended the week -5.57%.
Volatility
oSQTH IV remained active with this weeks range printing low 30s to mid 60s.
Volume
The 7-day total volume for oSQTH via Uniswap oSQTH/ETH pool was $338.95k
July 5th saw the most volume, with a daily total of $89.53k traded.
Crab Strategy
Crab Strategy continues to find a way to stay positive ending the week +0.10% in USDC terms.
Twitter: https://twitter.com/opyn
Discord: https://discord.com/invite/opyn
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.
