November 2, 2023
USA Week Ahead:
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Monday 11 am ET - Fed Gov. Cook speaks.
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Tuesday 9:15 am ET - Fed Vice Chair for Supervision Barr speaks.
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Tuesday 10 am ET - Fed Gov. Waller speaks.
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Wednesday - 4 Fed Gov. speak throughout the day.
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Thursday 2 pm ET - Fed Chair Jerome Powell on panel at IMF.
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.
CRYPTO OPTIONS MACRO THEMES:
Last week we saw a massive “relief rally” that was expected post FOMC. The Fed’s rate decision was unchanged, with a slightly dovish tone from Powell during the press conference.
This led to a large drop in UST yields week-over-week.
Chart: (ustreasuryyieldcurve.com)
The NFP was also a large surprise to the downside (good for a dovish Fed) as the unemployment rate moved higher to +3.9% and the payroll print came in at +150k (vs +180k expected).
This print was also accompanied by revisions lower for both September (+336k→ +297k) and August (+227k → +165k).
We’re also seeing decent progress on the CPI and hourly earnings trends, giving room for the Fed to speak in a continued dovish tone.
(WSJ)
Lastly, the middle eastern war (something beyond my understanding) seems to have taken a backseat in terms of market driving news.
This week, given that there’s almost no new economic data but a lot of Fed commentary, I expect a continuation of the relief rally for risk-assets. Especially given the massive drop in VIX and VVIX week-over-week, and the classic end-of-year rally narrative that traders look for in Q4. That is my base-case for this upcoming week.
Chart: (VIX Daily Chart)
Chart: (VVIX Daily Chart)
I can’t help but think this macro asset rally will also be good for BTC, which has been rallying despite higher rates and global conflict throughout October.
BTC: $35,096 (+1.6% / 7-day)
ETH :$1,895 (+5.47% / 7-day)
There’s no reason not to be bullish BTC.
Spot prices have held their enormous gains and IV continues to be firm. Traders are positioning for a continuation high to the $40k range.
Chart: (YTD Term Structure)
The term structure is still near YTD highs and if spot hangouts here, we could quickly see the Nov monthly expiry roll down into oblivion.
If the thesis is… spot prices hold, while we wait for a Spot ETF headline, then I still like the delta neutral ∆25RR (long BTC) as the ∆25 put skew is equal to ATM vol and the ∆25 wing is expensive.
Chart: (NOV 24 Skew W/W)
That said, my “spider-senses” think we’re going to get a positive spot ETF news headline relatively quickly (say, in the next 2 weeks). That just seems to be the way the market is behaving and pricing itself.
In that more bullish scenario, Nov 24 Collars or Call Spreads are the way to go.
The Call spread is interesting, given the large premium in call wing implied volatility.
Chart: (BTC VRP)
The call spread is a lot more interesting than an outright call here, given the large VRP (as we wait) and the steep call wing skew.
TL:DR
Bullish.
+ Nov24 Call-Spreads
PROPRIETARY “GVOL-DIRECTION” FLOWS - @Gravity5ucks
After a week of celebrations (for the profit-takers) and sorrows (for the shorts and the liquidated), this week we witness a reorganization of the books with the continuation of upside exposures on Bitcoin and the latest capitulation of call-sellers on Ethereum.
Chart: (BTC Top Trades)
The buying of Bitcoin call options continues: $36k/$37k for November, $40k/$42k for December, and $50k for March.
At the beginning of the week, we note the sale of a $34k November straddle in multiple clips with a total premium received of $2.7M.
The resulting position from the last 10 days of trading is as follows:
Chart: (BTC Traders Positioning)
On Ethereum, the main trades have been the buy-to-close $1.65k/$1.70k for November, and despite moderate volumes, the buy-to-open of call options $1.90k/$2.00k.
Chart: (ETH Top Trades)
Chart: (ETH Volume/Oi Ratioed)
Paradigm's Week In Review
A strong rally in risk assets
Profit-taking / Upside Bid continues! 💰
BTC +3% / ETH +6% / NDX +5.5%
Paradigm Top Trades this Week 👇
Bullish flows continued on Paradigm this week, takers bought upside and took profit on long call positions.
Weekly BTC Cumulative Taker Flow 🌊
Weekly ETH Cumulative Taker Flow 🌊
BTC Cumulative OI
ETH Cumulative OI
TBP | Why Paradigm Crypto Option Volumes Just Hit ALL-TIME HIGHS with Kelly Greer. Episode 40
"You guys are like the All-In of crypto options 🔥" - Kelly
Amazing convo with @kellyjgreer, head of America Sales @galaxyhq!
Tune in now! 👇
BTC
ETH
The Squeethcosystem Report
Crypto markets found their way higher throughout the week. ETH ended the week +7.6%, oSQTH ended the week +16.51%.
Volatility
oSQTH IV continued to trade in a large range from the mid 30s - mid 50s.
Volume
The 7-day total volume for oSQTH via Uniswap oSQTH/ETH pool was $374.71k
October 31st saw the most volume, with a daily total of $104.36k traded.
Crab Strategy
Crab saw declines during the week, ending at -1.01% in USDC terms.
Twitter: https://twitter.com/opyn
Discord: discord.gg/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.
