Monday Alpha #9
Vol news, charts and thoughts on DeFi options trading in our Monday Alpha by Premia x Marty!
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TLDR: That Sweet Alabama Gamma
BTC ATM IV
Index Price: $30,471
ETH ATM IV
Index Price: $1,670
Things To Pay Attention To
Still observing the escalating tensions in Israel and surrounding area
U.S. House Financial Services Committee holds hearing against SEC
ECB main refinancing rate
U.S. initial jobless claims
BTC, ETH, NQ, and Gold Prices
It's Monday, so as usual, we'll try to keep it short.
While we usually show a zoomed-out perspective, today we're zooming in on the price trends of NQ, BTC, ETH, and Gold from August 2023 onwards. In the recent days there has been a favorable bid for BTC, ETH, and Gold, contrasted with a downtrend in NQ. Their correlations will be dissected in a graph below, giving light on the prevailing current market conditions.
BTC and ETH Prices - Recent price increases look dull when zoom out.
30-day Correlation BTC-NQ, ETH-NQ, Gold-BTC, BTC-ETH
The 30-day rolling correlation chart unveils the shifting relationships among BTC, ETH, Gold, and NQ. We again went for a zoomed in chart here, focusing on April 2023 to now.
We highlighted a notable decrease in BTC-ETH correlation a few weeks ago in a previous newsletter. This correlation has continued to decrease. The Gold-BTC correlation is on an upward trend, possibly indicating a growing perception of both as “safe havens” amidst market uncertainty.
Lastly, the BTC-NQ correlation is decreasing, hinting at a distinct reaction between traditional equity and cryptocurrency markets to prevailing economic or global events. With all the global conflict going on right now, it seems Gold and BTC at least for now has found its bid for being a “flight to safety” and/or “digital gold”.
BTC-ETH correlation decreasing
Gold-BTC correlation increasing
BTC-NQ correlation decreasing
Over the last two weeks, December call buying emerged as a prevalent trend. Notably, the largest traders on the Greeks.live Block Marketplace have shown a preference for outright December call options.
This trend shows the bullish positioning of larger players as the year comes to a close, fueled by the anticipation surrounding Spot ETF launching, and the Bitcoin halving event. That Alabama Gamma coming back.
This sentiment was mirrored in the market with Bitcoin rallying significantly, with a rise of over 10% in the last few days. Lastly, the Ethereum Call Overwriter found themselves forced to Buy-To-Close some positions as prices rallied, incurring a loss in the process.
Note: A call overwriter means someone who is selling calls.
BTC Gamma Exposure by Strike
ETH Gamma Exposure by Strike
The market sentiment has shifted, with a renewed focus on calls to the upside for both BTC and ETH.
Accompanied by rising prices and increased IV, traders are exhibiting a preference for outright calls, as previously noted. A significant Gamma exposure is observed around the BTC price range of $30,000 to $32,000, indicating a potential heightened sensitivity to price changes within this area. These charts illuminate the prevailing optimism (hopium?) as market participants position themselves to capitalize on upward price movements.
Areas of Interest:
BTC 30,000 - 32,000
BTC IV vs HV
ETH IV vs HV
IV rising, prices rising. IV finally on the up and up. It has been a while pimps, we have been vocal about not selling vol both here in the newsletter and on twitter. It seems for now, that the vol regime has shifted.
There was no way to time it, but if price keeps increasing with the new narrative of the Bitcoin ETF and halving event, we will only see vols increasing into these events from here.
We are still sceptical of post events and what happens. As much as we want to be a moonboy, we have a portfolio to manage and will be watching for any sort of vol crush post events.
From the 30 handle we have risen up 20 handles into the 50 handle on BTC. It is worth noting that ETH DVOL is currently 7 handles lower than BTC. All attention is on BTC for now. The KING IS BACK. Bitcoin that is.
Thoughts by Marty
Two weeks ago we had the beginning of the Israel and Hamas conflicts. We wrote about how this could impact global markets, and how conflicts usually affect global markets. We have seen the NQ and SPX in a free-fall since, with BTC and Gold catching a bid. We asked the question last week if Bitcoin would be viewed as another risk asset or if it would be viewed as digital gold. It seems that Bitcoin is being viewed as a flight to safety as Fink said live on the news last week.
Moving forward it feels as if Bitcoin is building up into the Spot ETF approval, just to disappoint and have a vol crush after its release. There is only 2 scenarios we might see. Either the Spot ETF catches a bid or it does not. If there is a bid then options on the Spot ETF will follow and price either sustains or goes up. The other edge of the sword is that there is no bid just like the previous Futures ETF, and no one will seem to care.
We will continue to watch and update our readers on the developments of the ETF and market positioning, but it is always needed to keep level headed when the hopium and/or froth comes back on your Twitter timeline or the news.
Areas of Interest:
BTC: 30,000 - 32,000
Larger plays favoring outright calls again
Prices and IV rising.
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