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FalconX Options Desk Commentary
Not Investment Advice
October 16, 2023

BTC is up ~4.6% over the weekend trading at $28.1k, and ETH is up ~2% trading at $1,585. Late Friday, it was announced that the SEC would not appeal its loss in the Grayscale case, boosting the odds that GBTC could become an ETF. This morning, BTC surged ~$2.1k to $30k following a false report of a spot ETF approval with nearly $100 million in both short/long liquidations as a result. Additionally, the GBTC discount (between the closed-end trust and spot) narrowed to its lowest point in 22 months at ~15.87% signaling optimism about an ETF conversion. In US markets, the S&P 500 and Nasdaq are up ~1.1-1.2%. to kick off a big earnings week. Earnings this week include banks GS and BAC on Tuesday and big tech in TSLA and NFLX on Wednesday.

Vols are up in BTC and ETH, most prominently in short-term expiries in BTC because of the false spot ETF rally. In BTC, 7d expiry is up ~8.2v, 30d is up ~5.1v, 60d/90d is up ~3v, and 180d is up ~0.6v. In ETH, 7d is up ~1.2v, and 30d/60d/90d/180d are about flat. Largest block trades in BTC was the purchase of Oct/Dec 28k 1x2 ratio calendar call spread in 500 size, purchase of Nov 34k calls in 300 size, and sale of Mar 15k puts in 200 size. In ETH, largest block trades was the sale of Dec 2.3k calls in ~4400 size, sale of Dec 1.9k calls in ~1000 size, and sale of Dec 2k calls in 1000 size.

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

BTC
7d: 37.7 (+8.2) | 31 | 4.2%
30d: 35.8 (+5.1) | 19 | 8.2%
60d: 37.1 (+3.4) | 13 | 12.0%
90d: 39.3 (+2.6) | 13 | 15.5%
180d: 45.4 (+0.6) | 18 | 25.3%

ETH
7d: 32.0 (+1.2) | 17 | 3.5%
30d: 30.2 (+0.1) | 10 | 6.9%
60d: 32.2 (+0.6) | 9 | 10.4%
90d: 34.9 (+0.6) | 12 | 13.8%
180d: 41.7 (-0.2) | 16 | 23.3%

Top Block Trades

BTC
27 Oct / 29 Dec 28k 1x2 Ratio Calendar Call Spread: 1000
24 Nov 24k Calls: 300
29 Mar 15k Puts: -200
20 Oct 30kCalls: 800

ETH
29 Dec 2.3k Calls: -4434
29 Dec 1.9k Calls: -1006
29 Dec 2k Calls: -1000
20 Oct 1.55k/1.65k Strangle: -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

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