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FalconX Options Desk Commentary
Not Investment Advice
October 13, 2023

BTC and ETH are up slightly ~0.5%, trading at $26.85k and $1,550. BTC lost about ~3% in the past week, ETH lost 5%, and other alt coins like XRP and SOL dumped 8% this week. According to Coinbase Institutional, BTC outperformance over other tokens amid macroeconomic uncertainty can be partially attributed to traders pricing a potential approval of a spot-based ETF. Yesterday, Caroline Ellison wrapped up testimony after three days of questioning in SBF’s trial. This morning, the total amount of capital locked on DeFi protocols dropped to its lowest point since February 2021 as traders pull liquidity to secure higher yields. In US markets, the S&P 500 is up ~0.2% and Nasdaq is down ~0.2%. Third quarter earning season kicked off with a strong showing from both JPMorgan and Wells Fargo. Microsoft also finalized its $69 billion purchase of Activision on Friday, the largest-ever merger for the gaming market.

BTC and ETH vols are down day-over-day, with ETH vols dropping more relative to BTC. In BTC, 7d/30d/60d/90d expiries are down ~0.4-0.7v, and 180d expiry is flat. In ETH, 7d expiry is down ~2v, 30d/60d expiry is down ~1.4v, 90d is down ~1.8v, and 180dv is down ~1.1v. In BTC, largest block trades was the sale of Dec 36k calls in 1000 size, purchase of Dec 32k/37k call spread in 1000 size, and purchase of Oct 23k puts in 600 size. In ETH, largest block trades was the sale of Dec 1.7k calls in 20000 size, sale of Nov 1.2k puts in 9000 size, and sale of Oct 2.2k calls in 5000 size.

Trade Idea
Buy Oct 14 BTC Calls 27K to take advantage of the implicit Grayscale approval deadline at midnight tonight. The SEC has not yet filed it's appeal to Grayscale. If it does not happen by midnight tonight, that is effectively an approval. Have seen some social media chatter around it, but not yet gaining sufficient traction to be fully priced in from our view. Risk/reward seems very favorable given generally good equities open, and lack of resistance once we break 27k until high 27s.

Can offer 50 BTC at $150|Spot ref 26850

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

BTC
7d: 30.4 (-0.4) | 10 | 3.4%
30d: 31.2 (-0.5) | 4 | 7.1%
60d: 33.8 (-0.7) | 3 | 10.9%
90d: 36.8 (-0.7) | 3 | 14.6%
180d: 45.1 (-0.1) | 17 | 25.2%

ETH
7d: 30.4 (-1.9) | 12 | 3.4%
30d: 29.9 (-1.4) | 9 | 6.8%
60d: 31.3 (-1.4) | 6 | 10.1%
90d: 34.0 (-1.8) | 7 | 13.5%
180d: 41.7 (-1.1) | 15 | 23.3%

Top Block Trades

BTC
29 Dec 36k Calls: -1000
29 Dec 32k/37k Call Spread: 1000
27 Oct 23k Puts: 600
24 Nov 27k Calls: 500

ETH
29 Dec 1.7k Calls: -20000
24 Nov 1.2k Puts: -9000
27 Oct 2.2k Calls: -5000
29 Dec 1.4k/1.6k Put Spread: -2000

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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