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FalconX Options Desk Commentary
Not Investment Advice
October 12, 2023

BTC is down ~0.3% trading at $26.6k and ETH is down ~1.9% trading at $1,525 respectively. This morning CPI for September was released, showing that prices rose 0.4% month-over-month versus expectations of 0.3%. On a year-over-year basis, CPI rose 3.7% versus forecasts of 3.6% and August’s 3.7%. On a core basis that strips out volatile costs of food and gas, prices in September climbed 4.1% over last year, a slowdown from 4.3% in August. In US markets, the S&P 500 is down ~0.7% and the Nasdaq is down ~0.6%.

BTC and ETH vols are up over the day after the CPI report, with ETH increasing more relative to BTC. In BTC, 7d expiry is flat, 30d is up ~0.4v, and 60d/90d/180d are up ~0.6-1v. In ETH, across all expiries (7d/30d/60d/90d/180d) vols are up ~1.7-2.2v. In BTC, largest block trades was the purchase of Oct/Dec 28k/29k calendar call spread in ~1500 size, purchase of Dec 32k/37k call spread in 1000 size, and purchase of 14 Oct 26.75k put in 150 size. In ETH, largest block trades were the sale of Dec 1.7k calls in 20000 size, the purchase of Oct/Nov 1.65k calendar call spread in 20000 size, and sale of Nov 1.7k calls in 8000 size.

Vol Run

ATM Vol (24hr chg) | %tle | Straddle b/e %
BTC
7d: 30.6 (-0.3) | 10 | 3.4%
30d: 31.7 (+0.4) | 4 | 7.2%
60d: 34.7 (+0.9) | 4 | 11.2%
90d: 37.7 (+0.9) | 5 | 14.9%
180d: 45.4 (+0.6) | 18 | 25.3%

ETH
7d: 35.2 (+2.2) | 21 | 3.9%
30d: 32.6 (+2.1) | 18 | 7.5%
60d: 33.5 (+1.9) | 14 | 10.8%
90d: 36.0 (+1.7) | 15 | 14.2%
180d: 43.2 (+2.2) | 21 | 24.1%

Top Block Trades

BTC
27 Oct / 29 Dec 28k/29k Calendar Call Spread: 1462.3
29 Dec 32k/37k Call Spread: 1000
14 Oct 26.75k Puts: 150
14 Oct 27.25k Calls: 150

ETH
29 Dec 1.7k Calls: -20000
27 Oct/ 24 Nov 1.65k Calendar Call Spread: 20000
24 Nov 1.7k Calls: -8000
24 Nov 1.4k/1.7k Risk Reversal: 5000

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

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