Market Data by Premia x Marty: #8
Monthly alfalfa in our Market Data newsletter!
Editor’s note: Today’s issue is slightly behind schedule — the entire Premia team is up to our necks in networking and spreading the Premia word at Smartcon.
Welcome to the special 8th edition of our Monthly Data Newsletter with Premia x Marty!
Your continuous support and avid readership fuel our efforts to bring you comprehensive market insights. In this issue, we're elevating your understanding of the Crypto financial landscape by offering a complete breakdown of the total market.
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: Sunday Rally Was Spot Driven, IV’s Bland
BTC ATM IV
Index Price: $28,015
ETH ATM IV
Index Price: $1701
Worth noting that DVOL is still sub 40 handle.
BTC and ETH Prices
BTC, ETH, NQ, and Gold Prices
BTC-NQ, ETH-NQ, Gold-BTC, BTC-ETH 30-Day Correlation
When you zoom out, the price trajectory of major cryptocurrencies resembles a gradual yet significant uptick. Bitcoin has steadily ascended from $16,000 to its current level, which was pushed up by last night's spike to $28,000. Intriguingly, this Sunday rally was driven by spot trading, and is barely affecting Implied Volatility (IV). This could be viewed positively, as rallies fueled by spot trading are generally more sustainable than those driven by derivatives.
Investors who previously acquired October and December calls with $30,000-$32,000 strike prices appear to have cashed. Currently, market attention is centered on the narrative surrounding Exchange-Traded Funds (ETFs). While I personally don't view a Futures ETF as a significant game changer, its addition does broaden the range of tradable financial instruments, which is beneficial for the space as a whole. The real focus is still on the possibility of a Spot ETF.
The market's uptick on a Sunday, when traditional finance markets are closed, opens room for speculation. While some might argue this is a form of front-running, others may see it as a function of illiquid markets. I'll leave it to the readers to form their own interpretations. Usually an uptick on price on a Sunday is an odd sign with a pullback. Until something is approved it's all speculation on the ETF side.
On another note, the only key observation from the top three charts is the declining correlation between Bitcoin and Ethereum. While it hasn't reached a point of complete non-correlation, it's a trend worth monitoring. We'll provide further updates in our next Monday Alpha Newsletter. Keep an eye on this.
Over the past two weeks, we've seen a diverse range of top trades executed on the Greekslive Market Place. Although the direction is not displayed here in the graph, the top five trades include a variety of strategies: #1 involved selling puts, #2 buying a call spread, #3 selling a call spread, while #4 and #5 exclusively bought calls. This assortment of trades captures the multifaceted nature of market sentiment.
On one hand, strategies like outright selling puts and buying calls lean bullish, indicating a positive outlook on the market. On the other hand, the sold call spread represents a bearish stance, but with a safety net in case the market surges unexpectedly. Notably, these traders had positioned themselves ahead of the price spike last night, allowing them to capitalize on market movements and secure profits.
BTC Gamma Exposure By Strike
ETH Gamma Exposure By Strike
Areas of Interest
The $28,000 BTC and $1,700 ETH levels are drawing significant attention, serving as critical focal points for options activity. The charts above indicate lots of call exposure on the upside, even on BTC, with some desire for 36k calls. Much of this activity was initially motivated by anticipation surrounding Exchange-Traded Funds (ETFs) a few weeks ago, but there was a noticeable uptick in trading activity last night, specifically with additions to October $1,900 ETH calls.
The current narrative capturing market attention is the ETH Futures ETF, which seems to be the new thing everyone is obsessing over. Given this context, it's likely that these key price levels will continue to serve as critical junctures for both buying and selling activity in the options market. This convergence of factors, including high options activity, the ETF narrative, and increased flows into specific call options further amplifies the significance of these price levels.
Again, for Marty, all eyes on a Spot ETF. A futures ETF seems very overhyped in our minds. With a move on a Sunday upwards, vols not moving (will cover later), and all based on hopes and dreams of a futures ETF… I’m still in the hopium camp.
You can read our newsletter 1 or 2 ago titled TLDR: Hopium. On the downside it is worth mentioning that there is some pick up in 1600 ETH and 25k BTC puts. These can be looked at as downside protection just incase the ETF hopium is not so concrete.
BTC ATM IV - 3 Months
ETH ATM IV - 3 Months
BTC IV vs HV
ETH IV vs HV
As previously highlighted, Implied Volatility (IV) has been largely unfazed by the recent sharp price increase, underlining the notion that we are witnessing a rally driven primarily by spot trading.
An analysis of Open Interest in both BTC and ETH perpetual contracts shows that traders who were short and leveraged were largely liquidated during last night's price action. In addition to these observations, we have provided a focused 2-week view and a broader 3-month outlook of IV. The IV has been stable, hovering between 30-40.
It is odd to see price spiking higher with IV just muted. Just something to watch out for when there is a violent move to one direction and IV is pretty much flat. We very much may see stability in IV levels, fluctuating within broader parameters like 30-50 or 30-60 handles.
This consistent behavior of volatility is a crucial metric for traders, suggesting that the market is likely in a state of relative equilibrium, despite the recent uptick in prices.
IV relatively unaffected by last night price spike
New narrative is ETH Futures ETF (our eyes are on a Spot ETF)
Upside call buying is favorable for larger players while IV still low
Areas of interest:
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