Research Summary

The report analyzes the recent performance of Bitcoin (BTC) and Ethereum (ETH), focusing on their volatility, term structures, and option flows. It also discusses the potential impact of upcoming events such as the ETH spot ETF launch and the distribution of BTC by the Mt. Gox Trustee.

Key Takeaways

Bitcoin’s Resilience Amid Negative News

  • Bitcoin’s Quick Recovery: Despite negative news such as the planned distribution of 140,000 BTC by the Mt. Gox Trustee and BTC sales by Germany and the US, BTC quickly rebounded from a dip to $58k. The report suggests that market concerns about an oversupply may ease if no major new supply emerges.

Volatility Trends

  • Stable Volatility for BTC and ETH: BTC’s volatility remains stable around 40, while ETH’s has dropped to 37. Both BTC and ETH saw lower implied vols in 1-month options, reflecting low realized volatility. The report suggests that the upcoming FOMC minutes and NFP data could introduce some volatility but it’s unlikely to break ranges.

Term Structures

  • Declining Term Structures: BTC’s term structure is declining, with short-dated vol dropping significantly and back-end vols also lower but more gradually. ETH is following a similar pattern to BTC, with front-end vol hit hard due to the ETF delay and long-dated vol down nearly 5 points.

Option Flows

  • Increased BTC Option Volumes: BTC option volumes increased by 25% to $8.2Bn, with strong interest in upside calls for Sep24 to Mar25 maturities (85k-120k strikes) and Sep24 48k puts. ETH volumes decreased by 20% to $2.6Bn due to the ETF delay, but call flows dominate as traders exploit lower vols for upside plays.

Upcoming Events

  • Anticipated ETH Spot ETF Launch: The upcoming ETH spot ETF launch and ongoing BTC spot ETF inflows are seen as bullish factors. The report suggests that if the ETH spot ETF launch underwhelms, a vol reset is likely. However, the delay in the ETF launch hasn’t hurt ETH spot much, as approval seems inevitable.

Actionable Insights

  • Monitor BTC and ETH Volatility: Given the stable volatility for BTC and ETH, investors should keep an eye on upcoming events such as the FOMC minutes and NFP data that could introduce some volatility.
  • Consider Term Structures: With declining term structures for both BTC and ETH, investors should consider the implications for their investment strategies.
  • Track Option Flows: The increase in BTC option volumes and the dominance of call flows for ETH suggest that investors should track these trends for potential investment insights.
  • Anticipate Impact of ETH Spot ETF Launch: The anticipated ETH spot ETF launch could have significant implications for ETH’s volatility and price. Investors should monitor developments closely.

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