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Good Morning! It's Thursday, July 27, 2023

From the FalconX Desk:
Vols took another dive lower after a rather uneventful Fed meeting yesterday yielded only a slight rally in spot prices. The front-end of the curves broke to new lows, with ETH weekly ATMs at one point offered below 30 for the next three Friday expiries (28 Jul - 11 Aug). Most of the vol selloff was contained in short-dated expiries and ETH's longer-dated vol actually ticked higher a touch, consistent with a wave of buyers in longer-dated ETH calls.

In Deribit flows, activity was somewhat quiet following Powell's pressor yesterday apart from one seller of 28 Jul straddles which came as the event failed to realize significant vol. This morning there was a range of buyers between both BTC and ETH across a variety of tenors. In BTC, there was a buyer of 900 notional total of the wingy 25 Aug 22k x 40k straddle. There were also a handful of risk reversals bought in both the Aug and Sep expiries. In ETH, flows were dominated by December call buying activity with a huge single clip of 20.5k notional of the 29 Dec 2,300 call bought. Separate from this, there was similarly outsized buying activity of December 2,400 and 2,500 calls as well which amounted to over 26,000 notional between the two strikes.

Vol Run
ATM Vol (24hr chg) | %tle | Straddle b/e %

BTC
7d: 29.3 (-4.8) | 0 | 3.2%
30d: 34.0 (-0.8) | 0 | 7.8%
60d: 37.7 (-0.2) | 2 | 12.2%
90d: 39.6 (-0.6) | 3 | 15.7%
180d: 45.8 (0.0) | 6 | 25.6%

ETH
7d: 29.7 (-3.1) | 0 | 3.3%
30d: 32.5 (-0.7) | 0 | 7.4%
60d: 36.2 (0.0) | 1 | 11.7%
90d: 39.1 (+0.5) | 3 | 15.5%
180d: 45.5 (+1.0) | 6 | 25.4%

Top Block Trades
BTC
29 Sep 35k Call: 1,100
25 Aug 22k x 40k Strangle: 900

ETH
29 Dec 2,300 Call: 20,500
29 Dec 2,500 Call: 16,00
29 Dec 2,400 Call: 10,000
25 Aug 2,400 Call: 8,000
29 Dec 2,600 x 29 Mar 3,500 Calendar Spread: 5,000 x -5,000

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 summarize 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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