June 11, 2023
USA Week Ahead:
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Monday 9:45a/10am ET - PMI & ISM
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Tuesday 8:30a - CPI
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Wednesday 8:30a - PPI
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Wednesday 2:00p/2:30p - FOMC + Press Conference
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.
Math minded people here, pardon any typos.
MACRO THEMES:
Despite a quiet last week for Macro economic numbers, the surprise actions from the SEC against both Coinbase and Binance sent realized volatility higher.
Option traders quickly bought up short-term options, sending the term structure into brief Backwardation.
Outside of crypto, the volatility complex was calmer as equities continued to rise higher, sending the VIX index into new post-pandemic lows.
This week is going to be busy in the Macro sphere as US CPI and PPI are released, along with June’s FOMC rate decision.
The FOMC number is expected to conclude with a rate “skip”, as the Fed continues to balance inflation, employment and banking sector woes.
The Binance situation remains the biggest “wildcard” in my eyes, as I expect FOMC to be a great IV-deflation candidate (little surprises causing little RV as the Fed plays “wait and see”).
BTC: $25,907 (-5.2% / 7-day)
ETH :$1,753 (-8.0% / 7-day)
SOL: $15.56 (-29.9% / 7-day)
(BTC Term Structure Distribution)
We can see that the term structure “flattened” up in BTC, as long-term expirations are at YTD IV lows and short-term expirations are closer to the lower 25% percentile.
(BTC Term Structure Richness)
Looking at a time series of the term structure richness, we can see this week’s activity “pop” the term structure briefly in Backwardation. Today, we remain rather flat.
(BTC Quarterly 6/30 Dealer Positioning)
Looking at how dealers are positioned into the June 30th quarterly expiration on Deribit, we can see that any rise in IV, as we drop lower, is beneficial to MMs.
Due to large inventory, any rise in IV might be short-lived as dealers look to lighten up inventory.
(BTC distribution of OI on Deribit)
June is also, by far, the most active expiration.
(ETH Total Dealer Positioning)
Switching over to ETH, we can see a lot of the block flows continue to be NET VEGA supply, as big traders close short-term, short-calls and sell medium and long-term calls.
(GVol Direction accuracy)
Zooming in on the individual trade prints for the July 1900C selling, we can see huge paper being marked correctly. (Something made obvious by IV prices reacting accordingly).
Great insights by the tweet above.
Looking at the forward vol curve, anyone interested in supplying paper here (likely a Covered Call seller), might as well sell the highest IV “kink”.
Interesting catalysts this week, but Binance remains the most opaque “wildcard” in my opinion.
Paradigm Block Insights (05 June - 11 June)
😫Crypto decoupling from tech this week, but not what we were promised.
⬇️Spot markets down.
⬆️Crypto vol up.
BTC -5.3% / ETH -8.0%. / NDX -0.3%
Record Liquidations
📉 Regulatory headlines from SEC suing Binance and Coinbase, paired with low exchange liquidity, led to long liquidation (buyers forced to sell longs) records twice this week😱!
BTC
Implied volatility for June started the week at 32v (1wk) but now sits at 40v. Flows, this week, were leaning bid gamma and long-dated wings. Despite the “sold” strangle, a large portion of those traded at fair value.
- 1015x 16-Jun-23 25500/27500 Strangle sold.
- 550x 29-Dec-23 40000 Call bought.
- 528x 30-Jun-23 24000 Put bought.
- 500x 30-Jun-23 22000 Put sold.
- 500x 16-Jun-23 27500 Call bought.
ETH
There were over 100,000 ETH Jun calendar spreads trading direct (buying Jun and selling far date) this week. We saw clients trading both sides of this, via spreads and out-rights.
- 17025x 30-Jun-23 2000 Call bought.
- 11500x 29-Dec-23 1900 Call sold.
- 9000x 30-Jun-23 2000 / 28-Jul-23 2000 Call Calendar bought.
- 8570x 30-Jun-23 2000 / 25-Aug-23 2000 Call Calendar bought.
🥜 @ThetanutsFi
We successfully ran the wBTC and wETH auctions for the second week! If you are interested in getting involved, drop us a message.
🔥New Podcast alert!
TBP Special | Option Market Analysis with Greg Magadini of Amberdata.
BTC
ETH
The Squeethcosystem Report (6/04/23 - 6/11/23)
Majors found their way lower on the backs of further regulatory concerns. ETH ended the week -7.68%, oSQTH ended the week -14.64%.
Volatility
oSQTH IV found its way higher throughout the week.
Volume
The 7-day total volume for oSQTH via Uniswap oSQTH/ETH pool was $483.97k
June 10th saw the most volume, with a daily total of $157.88k traded.
Crab Strategy
Crab ended the week at +0.37% in USDC terms.
Twitter: https://twitter.com/opyn
Discord: discord.gg/opyn
Lyra Weekly Review
Arbitrum:
Optimism:
Optimism completed its Bedrock upgrade this week - which paves the way for lower fees, shorter deposit time and improved EVM equivalence. Although there was some scheduled down time across the Optimism ecosystem, the upgrade went off without a hitch!
Volatility
Current ATM IV is ~35% in ETH, with a heavy discount to near-term options and downside at a slight premium.
Trading
Traders position themselves as they digest the most recent regulatory information. Lyra has seen an increase in traders buying options over the last week.
Market-Making Vault
ETH Arbitrum: +3.49% since inception, +9.12% annualized
Depositors earn an additional 8.6% rewards APY, boosted up to 24.6% for LYRA Stakers by depositing USDC to Lyra’s Market Making Vaults.
Net MMV Exposure:
ETH vault is short the 1700 strike to be long some ATM options and 2000 strike. For the first time in many weeks, the MMV is collecting Theta.
ETH Arbitrum:
BTC Volatility
Net BTC MMV Exposure:
BTC vaults remain long gamma.
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
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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 any investment-related activity. Cryptocurrency investments are volatile and high risk in nature. Don't invest more than what you can afford to lose.