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- Monday Alpha #33
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: Saylor Santa
BTC ATM IV
1W: 56.63%
1M: 57.76%
3M: 60.97%
6M: 62.21%
Index Price: $103,976
DVOL: 60.72
ETH ATM IV
1W: 70.52%
1M: 69.93%
3M: 71.85%
6M: 72.90%
Index Price: $3,903
DVOL: 72.51
Going to keep it short as we are approaching the holiday season. This edition will cover the usual stuff along with a short bit about Santa Saylor himself. Let’s jump in.
Note: We will do an end-of-year breakdown in 2 weeks for what to look for into 2025!
Wanted to quickly mention that we’re hosting a community call on Wednesday at 6PM UTC, straight from the Premia X account. We’ll be sharing what Premia has been building throughout all of 2024 along with our vision for the future of decentralized options.
Make sure to tune in pimps. Wednesday at 6PM UTC.
BTC & ETH ATM Implied Volatility
Front-end seems to be the only mover from the last 2 weeks, as longer dated vols have stayed the same. Every time the front-end gets too high, it’s instantly sold down and put in check. As the year is coming to an end I am looking for a slight volatility drop after this week’s data.
BTC & ETH Implied Volatility Term Structures
Quirky term structure this week with the economic data we have coming. With Wednesday’s FOMC, Thursday’s GDP/Unemployment Claims, and Friday’s PCE, we’ll certainly have a busy week. This is it for the US data into the end of year, all eyes on J Pow for continued market direction into Q1. Seems like the same playbook as always, front-end rises, and gets hammered post event.
Crypto 2 Week Returns
From top to bottom we have large, mid, and smol market caps 2-week returns. This looks quite different from 2 weeks ago! Back then we had a “buy anything season and it goes up”, seems there was a major reset overall in the market. I’ve found that even though Bitcoin is at all time high, CT seems focused on memecoins and alts still, even someone told me today that it is alt season? Is it? Alt season was 2 weeks ago, now its reset reason. Rotations seem to be faster and faster this cycle, don’t get caught with the wrong bags pimps.
CME Data & ETF Flows
BTC ETF Flows: $35.64b
ETH ETF Flows: $2.28b
All ETF inflow and CME data are paired together for this section. As mentioned in the last newsletter, we expected ETH inflows to continue while basis remained elevated. This is happening right now before our eyes. ETH basis is just below 20%, while BTC sits around 14%. This is about as much of a “free lunch” as you can get. Basis trade is buy spot, sell future… wait… cash.
Look at those ETH inflows with the futures OI, perfection. There is also another driver of spot inflows I think people skim over, options are now live on the spot ETFs, and players need to buy/sell shares to balance out their deltas. I would still expect pimps to keep putting on this basis trade into the end of the year to lock in some profits into 2025. We will cover this more in depth in our next issue which will be in longer form.
Charts from Velo Data: https://velodata.app/
Twitter: https://twitter.com/VeloData?s=20
Here’s some trading alpha. Hyperliquid’s funding is consistently higher than any other platform. This presents opportunities for traders like us. Funding arb or funding basis trades are what make my eyes sparkle right now. I used to say Bybit is where the apes live, but it seems things are changing. The first chart is a little messy so we showed the 2nd chart which is Hyperliquid/Binance.
Marty's Thoughts
Santa Saylor appears to be stepping in to save the day. There's been a consistent Coinbase Spot Premium, even persisting over the weekend. It's not just Saylor leading the charge; Spot ETFs are also absorbing significant demand. Saylor and BlackRock have become the primary salesforce for this cycle, doing more than retail participants ever could. Institutions are here, just as we wanted, right? After all, the plan has always been to sell our coins to the institutions.
One interesting observation is the market behavior by trading sessions(see chart). Contrary to expectations that returns would dominate during the US session, the APAC session is currently taking the lead.
While market cap might not matter during memecoin mania, it holds significant importance in the world of institutional capital. Bitcoin is now sitting above $2 trillion in market cap, which explains the dying excitement among retail investors. For them, the high cost and a potential 2x return just isn’t enough for them. However, for institutions, a 2x return is great. Institutions will continue adding Bitcoin and Bitcoin Products to portfolios, creating structured products around it, and engaging in large basis trades rising all tides.
This institutional adoption is great news for Bitcoiners. Bitcoin has found its wave, ride it.
To wrap it up, I wanted to mention that I will do a longer Saylor Trade write up and put it in the End Of Year Wrap Up. I will cover the trades, its mechanics, what happens if it goes right or wrong and what that means for us.
Recap:
Reset Season
Saylor Santa is here
ETH ETF inflows continuing
Basis is still juiced
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