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Good Morning! It's Monday, Aug 7, 2023

From the FalconX Desk:
Another quiet weekend for crypto majors has longer-end vols continuing lower after the uninspiring price action over the weekend. The backend of the vol curves dropped 1 to 2 vols for BTC and ETH respectively, while the short dates for this Friday's expiry rose about 1v perhaps in anticipation for a more eventful week given the important US inflation data releases. In both coins, the front end of skews trended more towards flat as the seemingly directionless spot markets as of late continue to erode premiums paid for one direction versus the other in spot. 1m vols were rather stead in BTC rising +0.3, while ETH's 1m measure dropped -1.0 to reach below 30.0 once again.

This week is an important one for inflation, highlighted by July's CPI reading due this Wednesday. It will be followed by PPI on Friday alongside the UoM consumer survey which includes inflation expectations. One potential complication to watch for in inflation data will be the rising oil prices, with WTI crude up over +15% in the past. Another important measure will be the "super core" reading given it posted its second-lowest monthly print in the last 1.5 years, investors will watch to see if this decline will be sustained.

Deribit flows were mixed in directional views, with an increase in Put activity in BTC leading to a net delta of -$9mm traded in BTC options in the past day while ETH options on the other hand, had a few large call buyers amounting to a net delta of +$10mm. BTC's largest trades were October Put buyers with 600 total of the Oct 27k Put bought in a handful of smaller-sized clips. There were also buyers of the 18 Aug 28.5k and the 25 Aug 28k Puts in over 300 BTC each. In ETH, calendar spread activity was focused on selling Sep calls in favor of buying Dec higher strike calls. Separately, there was also a 3,000 notional risk reversal bought in December.

Vol Run
ATM Vol (24hr chg) | %tle | Straddle b/e %
BTC
7d: 27.9 (+1.5) | 1 | 3.1%
30d: 31.2 (+0.3) | 1 | 7.1%
60d: 33.3 (-0.6) | 1 | 10.8%
90d: 35.0 (-1.4) | 1 | 13.8%
180d: 41.2 (-1.3) | 0 | 23.0%

ETH
7d: 27.6 (+1.0) | 1 | 3.0%
30d: 29.3 (-1.0) | 0 | 6.7%
60d: 31.0 (-1.8) | 0 | 10.0%
90d: 32.0 (-2.5) | 0 | 12.7%
180d: 37.3 (-2.5) | 0 | 20.8%

Top Block Trades
BTC
27 Oct 28.5k Put: 340
25 Aug 28k Put: 400
18 Aug 340k Put: 340
29 Dec 35k Call: -200

ETH
29 Sep 2,100 Call x 29 Dec 2,500 Calendar Spread: -12,000
29 Dec 1,500 x 2,400 Risk Reversal: 3,000

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.

Griffin Sears
Trader

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