Amberdata Derivatives Newsletter: SOL Outperforms BTC Amid Macro Turbulence

Last week’s PCE data showed inflation inching closer to the 2% target, while new tariffs on China, Canada, and Mexico rattled markets. Meanwhile, crypto saw wild volatility, with SOL outperforming BTC amid key macro events. Learn more in this week's Amberdata Derivatives Newsletter:

USA Week Ahead (ET):

1. Wednesday 8:15a - ADP employment index

2. Wednesday 2p - Fed Beige Book

3. Friday 8:30a - US Jobs Report

4. *Various Fed Speakers Mon, Tues, Thurs,Friday *

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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 Lyra and may change their holdings anytime.

MACRO Overview

Last week PCE came in as expected (+.30%) for the month and +2.5% for the year, which was below +2.6% seen previously. 

That’s a good reading for inflation as we’re getting closer to the +2% inflation target. 

The other market moving event was the additional 10% tariffs spoken about for China and the 25% tariffs for Canada and Mexico, set to take place March 4th. 

This caused the market to drop Friday and VIX to spike. VIX closed at 19.6 after touching 22. 

This also caused the crypto markets to crash lower. 

Chart: VIX TradingView.com

This week we have the US Job report on Friday that should be telling with respect to government job layoffs and hourly earnings. 

We also have the Fed Beige Book on Wednesday, which shows a Fed summary for current economic conditions. 

Lastly, there are Fed speakers every day this week, except Wednesday. 

BTC: $94,275 (-1.6% / 7-day)

ETH :$2,507 (-10.0% / 7-day)

SOL :$175.48 (+4.8% / 7-day)

Crypto Options Overview

What a weeeeek!

Although BTC ended week-over-week nearly unchanged (down -1.6%) the intra-week volatility was absolutely insane. 

(side-note: Think of the massive PnL differential between simply holding a straddle vs delta rebalancing a held straddle). 

Chart: BTC/USD - Finviz.com

The outright Bitcoin volatility thesis was painful but the Solana relative vol thesis proved itself to be true, especially with the surprise announcement of a March 7th White House crypto summit, which involve discussions around strategic reserves. 

We can see the SOL/BTC chart hit new lows during the week and violently squeezed back higher Sunday, materializing nice volatility vs BTC. 

Chart: SOL/BTC Finviz.com

I’d also like to quickly point to the ETH/BTC (below) chart versus the SOL/BTC chart (above)… This lower ETH/BTC trend looks strong and unchanged.

Chart: ETH/BTC via Finviz

Chart: Solana Volatility Metrics and ATM vs RV

In terms of volatility, we can see Solana have a big realized volatility movement that is outpacing implied, even as the front-tend of implied moved +80% IV (above charts)

Chart: Solana RR-Skew

As mentioned last week, not only did Sol IV seem fairly priced at 80%, but a lot of negative RR-Skew was being priced due to supply unlocks. 

As mentioned, there was potential for a positive spot/vol squeeze rally event (in this anything can happen world) that materialized this weekend. 

7-day ∆25 RR-Skew rallied from -7% → +9, nearly a 16% shift in the skew. 

Chart: Solana Shadow Term Structure (Time Lapse)

A quick review of the term structure shows a steep contango flipping into a steep backwardation. 

Chart: Bitcoin Shadow Term Structure (Time Lapse)

The same type of inversion happened for the BTC term structure as well. 

Although the RR-Skew isn’t as extreme for BTC, currently around even for short-term and medium-term options, the VRP also materialized very negatively for vol sellers.

Chart: BTC RR-Skew

Short-term IV versus materialized RV shows that vol sellers paid the price this week in BTC as well.

Chart: BTC Realized VRP

Chart: BTC Dealer Positioning

Looking at the positioning before the Sunday White House crypto summit announcement for March 7th, we see that dealers were short a lot of gamma around the $90k level. 

This upcoming will have interesting “Buy the rumor / Sell the news” dynamics around the March 7th crypto summit. 

$100k will be the level everyone is looking at intra-week.

Looking at the Sunday block trade flow (for trade ideas) the March 14th, +86,000-C/-92,000-C/+98,000-C fly looks very interesting around this trade idea. 

Fly trading around the news and high vol environment can pay nicely as vol normalizes back down and markets begin to settle. 

Paradigm's Week In Review

Paradigm Top Trades This Week

Weekly BTC Cumulative Taker Flow

ETH Cumulative Taker Flow

BTC Cumulative OI

ETH Cumulative OI

BTC Block Volume Traded and Puts vs Calls Volume

ETH Block Volume Traded and Puts vs Calls Volume

• Derive hits $4.5M in total fees generated while total value locked remains at $120M
  

• IV for BTC (7 day tenor) has spiked to 70% in light of the Trump administration’s strategic crypto reserve announcement

• Calls dominate puts on Derive, with calls outnumbering puts by 5x in terms of open interest for BTC.

• Borrow rate remains lowest in Defi, with the borrow rate on USDC sitting at 4.3%.
• ETH skew - which was negative for much of last week now positive for both 30 and 7 day expiries.

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.