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Good Morning! It's Friday, June 9th 2023

A rather quiet overnight session has vols continuing lower as BTC failed to move meaningfully away from the 26.5k level it's been holding since Wednesday. 1m BTC vol is down -2.4 to 36.3 (1st percentile of 52w range), while 1m ETH is down -0.7 back to its lows at 35.6. The dip in the front-end brought 1w BTC IV below its realized over the past week, which could signal a favorable buying opportunity ahead of CPI and the FOMC next week. Next Friday's (June 16) BTC vols are offered at 36v compared to 1w realized at ~37.5.

In traditional markets yesterday, equities shrugged off a handful of negative data surprises which included US jobless claims jumping to their highest since October 2021. The +28k increase over last month was the largest monthly jump since July of 2021. In Europe, data revisions to Euro-area GDP showed the economy did in fact enter a technical recession last quarter. Implied odds of a June Fed hike dropped from an intraday high of 40% to below 30% by the close, which helped equities recover as investors increasingly priced in a pause next week.

In block trade flows, vol expressions were more dominant which included several short vol expressions in BTC and also the flow of large calendar spreads in ETH continuing. In BTC, there were a handful of clips of 16 Jun 25,500 x 27,500 strangles sold amounting to over 1,000 BTC notional total. This traded overnight chasing the drop in vols lower. On the directional side, there was a variety of call buying activity in June and July expiries with the largest sum being 550 BTC notional of July 32k Calls bought. In ETH, there was further activity in July calls with another 4,800 of July 2,100 calls bought overnight. The two large calendar spreads traded sold the 30 June expiry in favor of buying July and August, which perhaps benefits from the flatness of the ETH curve currently.

Vol Run
ATM Vol (24hr chg) | %tle | Straddle b/e %
BTC
7d: 35.2 (-4.7) | 4 | 3.9%
30d: 36.3 (-2.4) | 1 | 8.3%
60d: 37.2 (-1.7) | 1 | 12.0%
90d: 37.8 (-1.5) | 0 | 15.0%
180d: 41.5 (-0.6) | 0 | 23.2%

ETH
7d: 34.2 (-2.2) | 1 | 3.8%
30d: 35.6 (-0.7) | 0 | 8.1%
60d: 37.0 (0.0) | 1 | 12.0%
90d: 37.8 (-0.1) | 1 | 15.0%
180d: 40.7 (-0.6) | 1 | 22.7%

Top Block Trades
BTC
16 Jun 25,500 x 27,500 Strangle: -1,080
28 Jul 32,000 Call: 550
28 Jul 30,000 Call: 355
16 Jun 28,500 Call: 295

ETH
30 Jun x 28 Jul 2,000 Calendar Spread: 9,000
30 Jun x 25 Aug 2,000 Calendar Spread: 8,570
28 July 2,100 Call: 4,800

The views and opinions expressed herein are those of the author(s) and do not necessarily reflect the views of FalconX or any of its affiliates and summarizes information and articles with respect to cryptocurrencies or related topics. This material is for informational purposes only and is only intended for sophisticated investors, and is not (i) an offer, or solicitation of an offer, to invest in, or to buy or sell, any interests or shares, or to participate in any investment or trading strategy, (ii) intended to provide accounting, legal, or tax advice, or investment recommendations, or (iii) an official statement of FalconX or any of its affiliates.

Griffin Sears
Trader

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