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FalconX Options Desk Commentary
Not Investment Advice
October 25, 2023

BTC is up ~1% trading at $34.6k and ETH is down ~1% trading at $1,795 respectively. BlackRock’s spot bitcoin ETF ticker (IBTC) was removed from the DTCC’s website, causing a resulting small drop in the price of BTC. Galaxy Digital noted that spot BTC ETFs could attract ~$14.4 billion of inflows in the first year of issuance. In US markets, the S&P 500 fell ~0.8% and Nasdaq fell ~1.5% after Microsoft and Alphabet announced earnings yesterday afternoon. Both companies beat on earnings/revenue, but Google cloud revenue fell short of expectations. As a result, Alphabet stock is trading down ~8%, and Micrsofot stock is trading up ~3%. Bond yields are rising today with the 10-year climbing above 4.9%, and the 30-year climbing above 5%.

Vols are down across both BTC and ETH especially in front-end expiries, with ETH decreasing more relative to BTC. In BTC, 7d expiry is down ~3.9v, 30d expiry is down ~1.4v, and 60d/90d/180d expiries are about flat. In ETH, 7d expiry is down ~8.6v, 30d is down ~3.4v, and 60d/90d/180d is down ~1.5v. In BTC, largest block trades was the sale of Nov 33k/37k calls spread in 500 size, sale of Dec 33k/40k call spread in 900 size, and sale of Oct 32k Calls in 250 size. In ETH, largest block trades was the purchase of Nov 1.65k/1.9k risk reversal in 10000 size, sale of Nov 1.75k Straddle in 2500 size, and sale of Nov 1.6k Puts in 2500 size.

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

BTC
7d: 55.3 (-3.9) | 81 | 6.1%
30d: 53.0 (-1.4) | 75 | 12.1%
60d: 54.0 (-0.4) | 69 | 17.4%
90d: 54.6 (+0.1) | 67 | 21.6%
180d: 55.7 (+0.5) | 64 | 31.0%

ETH
7d: 48.1 (-8.6) | 50 | 5.3%
30d: 45.8 (-3.4) | 44 | 10.5%
60d: 47.8 (-1.6) | 44 | 15.4%
90d: 48.8 (-1.4) | 44 | 19.3%
180d: 50.8 (-1.5) | 44 | 28.3%

Top Block Trades

BTC
24 Nov 33k/37k Call Spread: -500
29 Dec 33k/40k Call Spread: -900
27 Oct 32k Calls: -250
29 Dec 28k/34k Risk Reversal: 250

ETH
24 Nov 1.65k/1.9k Risk Reversal: 10000
24 Nov 1.75k Straddle: -2500
24 Nov 1.6k Puts: -2500
24 Nov/29 Mar 1.9k Calendar Call 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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