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Good Morning! It's Tuesday, July 25th 2023

From the FalconX Desk:

Crypto prices remained stable over the last day, with BTC continuing to hover around $29,150. Equities and crypto continue to hold steady to start the week as traders and investors await the Fed tomorrow. While markets overwhelmingly expect a 25 basis point hike, the question will be whether this will be the last hike of the cycle or not. Jerome Powell is expected to leave the door open for future hikes depending on new data. Microsoft and Alphabet will report earnings after the bell today. Both have benefited greatly from the AI rally this year. A surprise in earnings from either of these mega cap names has the potential to significantly shift market sentiment in either direction, which could likely spill over into crypto. Going into these important releases, BTC and ETH are both off just under 2% over the last 24 hours.

DOGE has surged over 10% since Elon announced the rebranding of Twitter to X. Traders are betting that X will soon accept DOGE for payments as Elon hopes to build an “everything app”. Worldcoin ended up settling around $2.20 after its first day of trading. The UK’s data watchdog, the Information Commissions Office (ICO) said they are inquiring into the project further to make sure they are handling personal data lawfully.

FalconX Desk Ratios (last 24 hours):
Overall: 0.6:1
BTC: 0.4:1
ETH: 1.2:1
SOL: 10.1:1
Majors: 0.8:1
Alts: 0.4:1
BTC 0.7x ETH volume
Majors 1.7x Alt volume

FalconX Options Desk Commentary:

Another contained day of spot prices has front-end vols pushing to new lows amid a lack of realized volatility. 1m vols in both BTC and ETH reached YTD lows below 35, with ETH 1m vol notably reaching as low as 32.7 this morning. Yesterday's global PMI data saw misses across both Europe and the US, but for the most part risk assets shrugged off the weakness and US equities advanced along with Treasury yields. Perhaps holding up the risk sentiment, headlines from China's latest communist party meeting hinted at policy adjustments aimed to stimulate a slowing economy.

Deribit flows continued to run light ahead of the Fed tomorrow afternoon. Directional expressions were mixed between BTC and ETH, with the largest BTC trades being Put buyers for August expiries. On the other hand, in ETH the largest expression was a calendar spread rolling from the 11 Aug weekly expiry out to a higher strike call in September. Separate from this, there were several clips of a 25 Aug 30 x 33k call spread which provides nearly a 5x max payout.

Vol Run
ATM Vol (24hr chg) | %tle | Straddle b/e %
BTC
7d: 33.2 (-1.1) | 4 | 3.7%
30d: 34.4 (-0.8) | 0 | 7.9%
60d: 38.0 (-0.6) | 2 | 12.3%
90d: 40.4 (-0.6) | 3 | 16.0%
180d: 45.8 (-0.6) | 6 | 25.6%
ETH
7d: 31.9 (-2.2) | 1 | 3.5%
30d: 32.7 (-0.7) | 0 | 7.5%
60d: 35.5 (-1.5) | 0 | 11.5%
90d: 37.9 (-1.8) | 1 | 15.0%
180d: 44.0 (-1.7) | 4 | 24.6%

Top Block Trades
BTC
25 Aug 27k Put: 650
25 Aug 30k x 33k Call Spread: 300
4 Aug 23k: 200
25 Aug 29k: -150
ETH
11 Aug 1,900 x 29 Sep 2,100 Calendar Spread: -4,000 x 8,000
29 Sep 1,600 x 2,200 Risk Reversal: -2,500
11 Aug 1,850 Call: -2,000

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, Griffin Sears
Traders

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