Market Data by Premia x Marty: #9
Monthly alfalfa in our Market Data newsletter!
Welcome to the 9th 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: All Eyes on BTC options
BTC ATM IV
Index Price: $34,643
ETH ATM IV
Index Price: $1,818
Things To Pay Attention To:
Wednesday, November 1
2:00 PM EST- FOMC
Friday, November 3
8:30 AM EST - NFP
Thursday, November 9
9:30 AM EST - Unemployment Claims
BTC and ETH Price
BTC, ETH, NQ, GOLD Prices
30-day Correlation BTC-NQ, ETH-NQ, Gold-BTC, BTC-ETH
30-day Correlation BTC-NQ, ETH-NQ, Gold-BTC, BTC-ETH
The most interesting chart of the 3 above is still is the Correlation chart. This chart has been important lately with the disconnect between crypto and stocks, and the connection with BTC/ETH.
Currently we are starting to see BTC/ETH come back into positive correlation, while Stocks and crypto are in full disconnection. One thing we would be watching is the ETH/BTC trading pair as it's sitting around 0.0524. With global conflicts heightening, it seems that both Crypto and Gold have caught a bid higher.
Largest ETH and BTC Trades (Greekslive)
In the Greekslive Block Marketplace, major participants caught our attention this week with their orders, spanning from straightforward calls and puts to more complex approaches involving variations of butterflies and bull put spreads.
The overall sentiment leans towards bullishness, with outright calls aiming for year-end, especially targeting the 45k strike. Notably, there's been a recent trend among these players over the recent week, showing a preference for options with shorter expiration dates.
BTC Gamma Exposure by Strike
ETH Gamma Exposure by Strike
Areas of Interest
Given the fast pace at which the crypto market moves, I am continuing to monitoring dealer flows around this 36k level for any insights.
Recent market movements have showcased fluctuating Gamma positioning, exhibiting dynamic shifts in response to the ever-evolving market landscape. Bitcoin, the king of cryptocurrencies, is regaining its throne. Buying trends are leaning favorably towards the end of this year and the early parts of the next, as market participants position themselves optimistically in light of potential spot ETF approvals and the upcoming halving event. From the dealer flows, market makers appear to be short gamma, particularly within the 36k-40k range. If price gets above this 36k level I would expect it to move quickly upwards.
When discussing Gamma, it's crucial to understand the phenomenon of a Gamma squeeze. At its core, a Gamma squeeze occurs when the price of an underlying asset accelerates due to the hedging activities of market participants, primarily market makers. When dealers are short gamma (short options), any upward price movement forces them to buy the underlying asset to maintain their delta neutral position. This buying action can further push up the price, prompting more buying for hedging, thereby creating a feedback loop. This self-reinforcing cycle can drive the price up rapidly, hence the term squeeze.
BTC IV vs HV
ETH IV vs HV
After a year of dead volatility with levels consistently trending downward, we've witnessed a resurgence. The king is back, Bitcoin that is.
Previously we were trading between 20-30 handles, now trading the 50-60 handle range. Although we touched on this in our previous newsletter, it's noteworthy to mention again that BTC's volatility is currently higher than ETH’s.
As we approach pivotal market events like the Spot ETF approval and the halving, the spotlight firmly shines on Bitcoin.
Thoughts by Marty
As we trade higher in underlying price, and vols continue to rise, I don’t want to be that guy… but I’m gonna be that guy. I’m still looking as an ETF approval to be dead on arrival. My ideas and trading ideas can change at any moment, so this is in no way shape or form financial advice. That being said I’m more than comfortable and happy trading the 30-40k range rather than the 20-30k range.
Until we see the real flows of a spot ETF, it's hard to say if this product is one people will be interested in trading. I believe in the long term of having a spot ETF product to trade, but that being said it is just another tool in the toolbox. Don’t get lost in twitter and the hopium, we really need to wait and see the flows of this ETF to see if its really THAT impactful.
I’m totally fine being wrong… Maybe the spot ETF trades more notional volume than a major CEX or DEX… never know pimps.
I will say one thing, it has been great to be trading a 60 handle product again instead of a 20 handle product. The market is finally moving, and it has been a great time trading in this market again. I will continue to keep a heavy eye on the 36k Bitcoin level and continue to watch dealer flow and positioning through to 40k.
Dealers short Gamma 36k-40k
Crypto and Gold catching a bid as global tensions rise.
Areas of interest:
Premia Blue is Live on Arbitrum!
Ya ready Anon? Get started trading DeFi options on Premia Blue!
Premia Blue is the first non-custodial options settlement layer with fully customizable options parameters and risk exposure.
Maximize capital efficiency, define your own risk, and optimize fees earned with Premia Blue on Arbitrum!