FalconX

Stay ahead with exclusive updates and insights by subscribing to FalconX Announcements - our newly launched Telegram channel dedicated to providing you with in depth research materials, exclusive market insights, and our latest product updates and demos in a consolidated manner. Subscribe here!

Good Morning! It's Wednesday, July 12th 2023

FalconX Options Desk Commentary

Vols are mixed this morning following a positive CPI surprise, with a relatively calm reaction in BTC compared to traditional assets allowing vols to continue lower initially. On a 24-hour basis, 1m BTC vol is up +1.5 to 41.8, while 1m ETH vol is up a smaller +0.6 and still holds below 40 at 39.1 currently. The positive CPI surprise saw BTC spot reach above 30,900 briefly before reversing lower within an hour to its pre-release level of around the 30,700 level. With the event risk being priced out of vols, both curves steepened as front-end vols led the post CPI move lower.

Traditional risk assets are cheering June's CPI report which confirmed a slowdown from previous months, dropping quicker than expected in both the core and headline measures. June's 0.2% increase in core (0.3% expected) is the smallest since August 2021. Looking at the finer details, shelter was the largest contributor to monthly inflation, which is positive given the Fed's focus on the "supercore" measure which excludes the housing component. The ex-housing measure decelerated to a 4% YoY increase which is also its smallest since 2021. The reaction is risk was equities gapping higher while the USD dropped to its lows of the year. In terms of Fed expectations, it's unlikely that the single soft report will keep the Fed from hiking in two weeks but it certainly does raise doubts on subsequent hikes this year.

Deribit flows showed an increase in the longer-dated call buying activity, with several large clips of December and March call spreads trading this morning ahead of CPI. The largest individual tickets were 250 BTC notional of a Dec 45k Call, and separately a 250 BTC 37k x 50k Call spread for the March 2024 expiry. In ETH, flows were lighter compared to the previous day of outsized activity but similarly showed a bias for longer-dated topside via Sep and Dec topside calls.

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.

Eric Lochner
Trader

For derivatives specific commentary, our options desk publishes a separate daily options commentary. To subscribe please click here.

If you like our market commentary, please add our email address to your Email Contact List and feel free to invite a friend.

Level 5 Quantum House, 75 Abate Rigord Street, Ta'Xbiex XBX 1120, Malta

Unsubscribe

FalconX

FalconX Daily Market Color