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Good morning! It's Wednesday, September 20th, 2023

From the FalconX Desk:
BTC and ETH held stable leading up to today’s fed rate decision, trading at $27.1k and $1,625 respectively. Volatility in crypto markets remains low, consistent with US stock and bond markets. Today, the fed will announce its rate decision at 2pm EST, along with new projections of long-term interest rates. Fed Chair Powell will then have a press conference 30 minutes later. Volumes on Binance have reduced this month by 57% since the beginning of the month, as compared to flat readings at other exchanges. In relation, Coinbase has seen volumes rise by 9%. The decline may be caused by Binance’s legal and regulatory issues around the world, including lawsuits, license rejections, and voluntary withdrawals. In US markets, both the S&P 500 and Nasdaq are up ~0.35% this morning.

In BTC and ETH, vols are slightly down in near-term expiries and slightly up in longer-term expiries. In BTC 7d vol is down ~0.7v, with 30d/60d/90d/180d up between ~0.3-0.5v. In ETH, 7d vol is down ~1.1v, 30d vol is down ~0.4v, and 60d/90d/180d is flat to up ~0.4v. BTC vol across all tenors remains consistently higher than ETH. In BTC, largest block trades was the sale of Sep 26k/28k risk reversals in 500 size, the sale of Sep 26k puts in 300 size, and the purchase of Sep 28k puts in 200 size. In ETH, largest block trades were the purchase of Jun 1.4k puts in 5000 size, purchase of 22 Sep 1.7k calls in 3764 size, and purchase of Nov 1.8k calls in 2000 size.

Vol Run
ATM Vol (24hr chg) | %tle | Straddle b/e %
BTC
7d: 34.8 (-0.7) | 17 | 3.8%
30d: 37.5 (+0.3) | 17 | 8.6%
60d: 41.3 (+0.5) | 22 | 13.3%
90d: 43.5 (+0.4) | 24 | 17.2%
180d: 48.6 (+0.3) | 28 | 27.1%
ETH
7d: 29.9 (-1.1) | 7 | 3.3%
30d: 30.6 (-0.4) | 7 | 7.0%
60d: 34.2 (+0.1) | 11 | 11.1%
90d: 36.8 (+0.3) | 13 | 14.6%
180d: 42.8 (+0.4) | 16 | 23.9%

Top Block Trades
BTC
29 Sep 26k/28k Risk Reversal: -500
29 Sep 26k Puts: -300
29 Sep 28k Puts: 200
28 Jun 100k Calls: -150
ETH
28 Jun 1.4k Puts: 5000
22 Sep 1.7k Calls: 3764
24 Nov 1.8k Calls: 2000
29 Dec 2.1k Calls: 1000

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.

Rama Somayajula
Trader

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