Monday Alpha #22

TL;DR: Calm Before The Storm? Reality, Basis, and ETF week

Author

Marty
July 15, 2024

Monday Alpha

Please note that Premia does not provide 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.

TL;DR: Calm Before The Storm? Reality, Basis, and ETF Week

BTC ATM IV

  • 1W: 50.61%

  • 1M: 47.19%

  • 3M: 53.85%

  • 6M: 60.01%

  • Index Price: $63,022

  • DVOL: 51.73

ETH ATM IV

  • 1W: 59.61%

  • 1M: 60.56%

  • 3M: 64.86%

  • 6M: 69.73%

  • Index Price: $3,368

  • DVOL: 62.61

Note: Eyes on ETH vol, BTC front-end slightly lifted.

GM GM sideliners, let’s keep it snappy this week. This chart is just to put things into perspective. A reality check. We are just under ATH still, and people’s portfolios are at all time lows. We were given a dip on the first week of July, and some people forgot that every dip is a gift. Liquidations that week as far as the eyes can see… sad. I think this is due to the simple fact that people don't have spot bags, and are stuck forever chasing… never chase, and instead find positioning before others.

Weekly Insights from GreeksLive

Positioning this past week has been all over the place from GreeksLive Block Marketplace. We saw A LOT of short dated sells and Put action, not sure these are the best strategies, though we cant see their entire books. Overall with the current move up, I would have been expecting people to be buying more and more upside… let the chasing begin. I’m assuming this new chasing will be shown in the next newsletter.

BTC & ETH ATM Implied Volatility Term Structure

As we approach ETH ETF approval week, which supposedly is going to be this week? There is just a slight kink in the ETH term structure on the front-end, nothing too out of the ordinary yet? If we get an approval, and my current understanding that people are sidelined and ready to FOMO… feels like front-end will be instantly lifted. This is something to pay attention to.

BTC, ETH ATM Implied Volatility

BTC front-end is lifted, which is interesting and with ETH ETF approval on horizon I thought it would be the opposite. In the last newsletter I wrote about VOLmageddon, few days later we had the huge sell off July 4, and we have fully recovered since. I mentioned that buying vol felt right, but didn't have a clear direction bias.. this played out perfectly in the short term, but overall vols still around the same as it was pre-move.

ETH, BTC 3 Month Annualized Basis

Basis is slightly increasing in crypto land. You can lock in 10%+ depending on exchange. We went over basis trading a few times, and HERE is the article. This can be an attractive trade to someone that wants to lock in a trade and lightly manage the position.

Funding APR Heatmap

This is one of the few times we have shown the heat map. Funding overall seems to have been reset, the memecoin mania got flushed, and we have reset back to reality. This is overall a good thing and healthy for the market.

Marty's Thoughts

We are in the process of revamping the academy with some new visuals, sections and math. If you have any recommendations on long-form articles or sections to write about, please ping me on X or check out the Telegram to join the conversation!

As for trading insights… Nothing official for the ETH ETF approval, but there is some speculation that it will be approved and start trading this week. I think we can see this in the current market price spike. Front-end should start to lift here as people start speculating and more and more hype is built around the event. Funding is reset, basis is 10%, vols aren't too out of control yet, overall the market is pretty "normal”. This can change instantly with front-end getting lifted over 100v… Careful not to chase this mania (if it happens) as it will sell off hard after the announcement. The good ol’ vol crush.

If I wasn't already positioned, I would try to pick up some "cheap” front-end plays and sell as soon as it gets lifted. Positioning is set up over time and more about getting in and out first, whilst avoiding the euphoria.

Note: ARB STIP BRIDGE incentives are launching shortly on Premia. Feel free to come check out the platform, trade some options, and get some extra ARB juice.

Wrap-Up

Recap:

  • Front-end should lift here soon

  • Basis sitting 10%

  • Funding Reset

  • ETF Coming

  • Premia ARB STIP BRIDGE launching live soon

Areas of interest:

  • BTC: 60k, 90k

  • ETH: 4000, 5000

Trade on Premia: https://app.premia.blue/
Marty Community Telegram: https://t.me/optionswithmarty

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