Monday Alpha #15

TL;DR: Buckle Up, Events Are Near, Vols Haven't Peaked

Author

Marty
April 08, 2024

Monday Alpha

It is indeed Monday — the alpha is free on Mondays. Let’s keep it short pimps.

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TL;DR: Buckle Up, Events Are Near

BTC ATM IV

  • 1W: 79.05%

  • 1M: 79.13%

  • 3M: 79.28%

  • 6M: 80.60%

  • Index Price: $72,750

  • DVOL: 79.04

ETH ATM IV

  • 1W: 84.03%

  • 1M: 80.42%

  • 3M: 80.69%

  • 6M: 81.13%

  • Index Price: $3,655

  • DVOL: 81.23

Quick update pimps; this week on Options Talks with Marty or The Marty Show we have Block Scholes on. Full voltard talk. Tune in, come up on stage and ask questions. If you have any questions you want me to ask them live on the show, DM me on Twitter or join my telegram and ask away!

Weekly Insights from GreeksLive

This past week, significant trading activity was noted on Greeks.live Block Marketplace, particularly in the sale of put options, despite a widespread expectation of a drop in Bitcoin price. These trades are an opposing view against the previous broader bearish sentiment. Greeks.live offers a liquidity service for large volume trades, please check them out for all your liquidity needs. These weekly insights only provide a partial view into traders' strategies, as the full scope of their portfolios remains undisclosed.

Crypto vs TradFi Correlations

30-Day Correlation BTC, ETH, Gold vs NQ

30-Day Correlation BTC, ETH vs NQ

We always show these various graphs of 30 day rolling correlations. The most interesting is the crypto majors / NQ. These I would like to see more in correlation as risk assets are back as a whole. Something to keep an eye on as crypto specific events like the halving are coming up.

Implied Volatility vs Historical Volatility

BTC IV vs HV

ETH IV vs HV

Vols seem to be stalling into events… well… so far. Vol gets hammered on Friday and picks back up either Sunday or Monday since the approval of ETF. This might be something you as a trader want to look at and incorporate into your trading strategies. As always, you need to be flexible as strategies change.

When I mean vol gets hammered on the weekends, I mean it’s dead… 1DTE at 25 handle… dead. As catalysts approach and market interest and uncertainty increases, a rise in volatility is anticipated. Post event looking for the classic vol sell off.

BTC and ETH Gamma Exposure by Strike Price

BTC Gamma Exposure by Strike

ETH Gamma Exposure by Strike

Areas Of Interest:

  • BTC: 70,000, 80,000, 90,000

  • ETH: 4,000, 5,000, 6,000

Upside interest remains the name of the game. The 80k BTC seems to be favorable over options traders. Even as price has stalled the last week or so (not this morning) the buying of upside exposure remained. Most of the attention seems to be on BTC over ETH. This would make sense if traders are expecting ETH ETF delay or denial. The halving created a simple supply and demand scenario — this usually takes a longer time to play out, but feels like this cycle we have accelerated this movement with ETF "front-running” aka ETF interest.

ETHE Premium Update

I just wanted to give a quick view into the ETHE situation again, as we covered it in previous issues. Discount to NAV is in absolute freefall, now sitting at 26.08%. This is an indication of a push or denial of ETH ETF approval. If you want to take the other side of the trade, the discount to NAV will jump to 0% once an spot ETF is approved.

Marty's Thoughts

With a supply crunch coming in BTC and demand staying strong it is hard to imagine that this is anywhere near the top. As it’s impossible to time the top perfectly or what the market is going to do, and I’ve said this before — I sold some spot at 50k, and 70k to set my life up how I see fit.

I’m still an active market participant and I wish nothing more than cripto to climb to Valhalla. That being said, I go back to practical Marty… If you have made life changing money, it’s probably best to take chips off the table and change your life. The markets will always be here and there will always be ways and times to extract monies from the markets. You aren't missing out by changing your life, don't let twitter or the moonbois to get to your head. If you are trying to chase this rally with your rent monies and high leverage you probably NGMI pimp, that’s the harsh reality.

Ok, enough self help style writing. Back to Marty's Thoughts.

This cycle has been a little different. Usually it goes BTC, then rotate to ETH, then memecoins, repeat. We seemed to skip over ETH and maybe replaced it with SOL? Some good projects have come out of the money flying around and interest in the cripto space has increased. Lets not blow it with memes please.

Upside interest remains in the options market. Though rarely does the market just go straight up, I expect some harsh pullbacks to flush out high leverage gamblers and reset people back to reality. The new strategy is called the do not blow up strat. This is all you have to do if this market is going to continue up. I personally think meme coin saga has gone too far and we deserve all the downward pressure and nukes and rug pulls since people are dumb with their monies and ape into anything and everything, there is always consequences when the market gets this silly. I’m looking into the options coming on the spot ETFs still.

These 2 scenarios are still at play; Institutional vol sellers come, sell all the vol, retail squeezes them and spot price goes bonkers, everything resets, vol gets hammered and prices goes up forever… or institutional vol sellers come, sell all the vol, and vol gets muted but price goes up forever. We will be covering TradFi options positioning when they come.

Wrap-Up

Recap:

  • Events are near, vols haven’t peaked

  • Upside buying remains

  • This isn't the last cycle as we know it

Areas of Interest:

  • BTC: 70,000, 80,000, 90,000

  • ETH: 4,000, 5,000, 6,000

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