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FalconX Options Desk Commentary
Not Investment Advice
October 30, 2023

TC is up 1.4% trading at $34.8k, and ETH is up 2% trading at $1,825. Other alt coins, including SOL are up 8% trading at ~$35, and LINK, up 4.2% at $11.5. This past week, CME became the 2nd largest BTC futures exchange after Binance, with open interest of $3.54 billion vs. Binance’s $3.83 billion. Total value on DeFi protocols surged to a 3-month high of $42 billion after its lowest point since February 2021 just two weeks ago. In US markets, the S&P 500 and Nadsaq are up ~0.6%, as traders look towards the Federal Reserve’s latest policy decision and Apple’s earnings report this week. On Friday, the S&P 500 fell into correction territory, having fell more than 10% from its peak in July.

Vols are up across expiries in both BTC and ETH over the weekend. In BTC, 7d vol is up ~10v, 30d is up ~5.5v, 60d is up ~3.9v, 90d is up ~2.4v, and 180d is up ~1.4v. In ETH, 7d is up ~5.4v, 30d is up ~4.8v, 60d is up ~3.2v, and 90d/180d expiry is up ~1-1.5v. Largest block trades in BTC was the purchase of Dec/Mar 28k/32k calendar call spread in ~450 size, purchase of Nov 36k calls in 300 size, and purchase of Dec/Jan 38k/46k calendar call spread in 250 size. In ETH, largest block trades was the purchase of Nov 1.65k calls in ~77k size, purchase of Nov 1.7k calls in 30k size, and purchase of Nov 1.55k Puts in 3k size.

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

BTC
7d: 54.9 (+10.0) | 80 | 6.1%
30d: 53.8 (+5.5) | 78 | 12.3%
60d: 55.8 (+3.9) | 77 | 18.0%
90d: 56.6 (+2.4) | 75 | 22.4%
180d: 57.6 (+1.4) | 72 | 32.1%

ETH
7d: 48.3 (+5.4) | 52 | 5.3%
30d: 48.1 (+4.8) | 47 | 11.0%
60d: 49.8 (+3.2) | 48 | 16.1%
90d: 50.9 (+1.4) | 49 | 20.1%
180d: 52.6 (+1.1) | 50 | 29.3%

Top Block Trades

BTC
29 Dec / 29 Mar 28k/32k Calendar Call Spread: 452
24 Nov 36k Calls: 300
29 Dec / 26 Jan 38k/46k Calendar Call Spread: 250
29 Mar 30k/50k Risk Reversal: 200

ETH
24 Nov 1.65k Calls: 76842
24 Nov 1.7k Calls: 30000
24 Nov 1.55k Puts: 3000
24 Nov 1.7k Straddle: 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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