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- Market Data by Premia x Marty #10
Market Data by Premia x Marty #10
TLDR: Volatility Fallen, Prices Up, Santa Rally Vibes
Welcome to the 10th edition of our Monthly Market Data Newsletter with Premia x Marty!
Please note, Premia does not provide any investment advice and nothing herein should be construed as such. Anyone considering trading or holding derivatives or crypto assets should be aware that the risk of loss can be very high, and it is upon each individual to seek advice from an appropriate professional advisor.
TLDR: Volatility Fallen, Prices Up
BTC ATM IV
Index Price: $36,894
ETH ATM IV
Index Price: $2,020
BTC and ETH Prices
BTC, ETH, NQ, GOLD Prices
30-day Correlation BTC-NQ, ETH-NQ, Gold-BTC, BTC-ETH
In recent newsletters, we've monitored the correlation chart closely, and it's clear that strong correlations have returned. With the rising trend of stock prices toward the year's end, there is a strong expectation that cryptocurrencies will follow. The only thing worth mentioning here is the gold slump off the top, which isn't a major concern, but something worth following.
The largest notional value trade on GreeksLive showcases a bullish stance through a call spread targeting the December expiry. The trade is structured to achieve maximum profit if the price of ETH exceeds $3,000 at expiration. This strategy profits from a rise in ETH's price by selling a higher strike call, capping the maximum gain but also reducing the premium spent.
BTC Gamma Exposure by Strike
ETH Gamma Exposure by Strike
Areas of Interest
BTC: 40k, 45k
Feels like people are positioned for further upside here. With the current trend of up only, and the correlation back with stocks, I would assume we continue this into the end of the year. Santa rally vibes.
People are slurping up the 40k and 45k strikes in BTC, and up to 3k in ETH. The ETF coming in January, the halving narrative, and a 2024 US presidential election are all great catalysts to push us higher. With the spot ETF coming, I am still in camp that we have to wait to see the flows post-launch to see whether this is a product with real demand, or just hopium and a narrative to latch onto.
BTC IV vs HV
ETH HV vs IV
BTC ATM Implied Volatility
ETH ATM Implied Volatility
Taking a closer look at our four charts, they all point towards an interesting trend in the market. We've seen a significant drop in market volatility lately, moving down from highs in the 60s to now lingering in the low 50s.
It seems like the market is adjusting to a few key changes, especially the emergent hype around potential ETF approvals. There's a lot of talk that these approvals could come as soon as January, and this seems to be calming the market's nerves a bit.
Now, focusing on Implied Volatility for a moment, it's been pretty stable recently. Bitcoin's IV in particular has been steady at around 52. This consistency suggests that the market is in a wait-and-see mode, possibly feeling cautiously optimistic. Everyone's eyes are on these ETFs and what they could mean for Bitcoin and the broader crypto space.
Thoughts by Marty
Right now, everyone's eyes are on the ETFs and what their flows might bring to the table. The constant delays in getting these ETFs off the ground are, in my opinion, only adding to the hype. Personally, I'm leaning towards the idea that when the news finally breaks, we might see a bit of a sell-off. But hey, I'm more than happy to be wrong if we see a surge of traders jumping into these new products.
Looking at the market, even as the big swings in volatility start to settle down, meme coins have been hit hard, dropping by ~20% over the last few days. It's like we're still in a bit of a wild phase, yet it feels like the crazier speculative bets are starting to fade away. At the same time, it seems like the market is starting to shake off some of its leverage.
In the options world, there's a pretty clear trend. Traders are still betting on brighter days ahead, especially with a lot of action around the 40k and 45k strike prices. This shows that despite all the ups and downs, there's still a good chunk of optimism in the air. Traders seem to be betting on things picking up or at least holding steady at these higher levels.
We are in a pretty interesting spot. We've got these ETFs on the horizon, meme coins taking a tumble, and options traders keeping their sights set high. How this all pans out once the ETF situation clears up is anyone's guess, but it's definitely going to be a key moment that could either confirm or shake up what we're expecting from the market.
On a completely different note, South Korea is going to be testing a CBDC early next year with ~100,000 participants. The project is a collaboration between the Bank of Korea and financial regulators. Worth mentioning that the CBDC will initially be used for in-store payments only.
On the CBDC topic, Brazil is rolling out DREX. Not sure why they didn't just go with Digital Real, but here we are. It is a Wholesale CBDC, and the pilot program will be completed in 2024. Both Brasil and South Korea will be the guinea pigs for these CBDC programs, and we will continue to update on their developments.
If anyone wants to talk CBDC’s we’re all up for a conversation, holla at us on X to come on the Marty Show and chat.
Santa rally vibes — upside options buying persists
Volatility has fallen off
Correlations are back
CBDC’s are coming, with South Korea and Brazil as the guinea pigs
Areas of interest:
BTC: $40k, 45k
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