Research Summary
The report discusses the recent selling pressure in the crypto markets, influenced by factors such as the strong US nonfarm payrolls report, upcoming US inflation figures, and the FOMC meeting. It also highlights the potential delays in the Ether ETFs launch and the selling of BTCs by accounts tied to Mt. Gox. The report further analyzes the volatility in BTC and ETH, the term structures, and the dealer gamma positioning.
Key Takeaways
Market Pressure and Influencing Factors
- Increased Selling Pressure: The crypto markets have been under selling pressure due to factors such as the strong US nonfarm payrolls report and the upcoming US inflation figures and FOMC meeting. The potential delays in the Ether ETFs launch and the selling of BTCs by accounts tied to Mt. Gox have also contributed to this pressure.
Volatility in BTC and ETH
- Realized Volatility: The report notes that realized volatility hit new lows in BTC and ETH early in the week, only to spike in the last 24 hours of trading as BTC and ETH test $67k and $3.5k support lines respectively. The implied volatility remains steady ahead of CPI and FOMC.
Term Structures in BTC and ETH
- Term Structures Alignment: The term structures of ETH and BTC are aligned, with call skews adjusting lower and moving into puts in the front end while they remain steady in the back of the curve. The report also notes that weekly ETH volatility increased, reflecting recent spot price drops.
ETH/BTC Vol Spread
- Vol Spread: The ETH/BTC vol spread is higher at the front due to ETH’s sharper drop but lower at the back due to ETF launch delays. ETH maintains a premium across the curve, expected to continue until ETFs launch. The spot spread is entering a support zone, offering a potential entry point.
Dealer Gamma Positioning
- Dealer Gamma Positioning: The report notes that dealer gamma positions in BTC and ETH are balanced, and having minimal impact on spot prices. BTC option volumes surged 35% to $9.5Bn, driven by strong ETF inflows and significant call spread activity trying to play a break to new highs. ETH volumes fell 8% to $3.25Bn, with upside flows and call spread buys dominating.
Actionable Insights
- Monitor Market Influencers: The report suggests keeping a close eye on factors such as the US nonfarm payrolls report, US inflation figures, and the FOMC meeting, as they have been influencing the crypto markets.
- Track Volatility Trends: Observing the volatility trends in BTC and ETH can provide insights into potential market movements. The report notes a spike in realized volatility in the last 24 hours of trading.
- Assess Term Structures: The alignment of term structures in BTC and ETH could indicate market trends. The report suggests monitoring these structures for potential investment decisions.
- Consider Vol Spread: The ETH/BTC vol spread could offer potential entry points, as the spot spread is entering a support zone.
- Observe Dealer Gamma Positioning: The balanced dealer gamma positions in BTC and ETH could impact spot prices. The report suggests monitoring these positions for potential market movements.
