FalconX

Stay ahead with exclusive updates and insights by subscribing to FalconX Announcements - our newly launched Telegram channel dedicated to providing you with in depth research materials, exclusive market insights, and our latest product updates and demos in a consolidated manner. Subscribe here!

FalconX Options Desk Commentary
Not Investment Advice
October 31, 2023

BTC is trading down ~0.9% at $34.4k and ETH is trading down ~1.1% at $1.8k respectively. Relative to BTC and ETH, October’s top outperformer was SOL with a 50% gain, up 250% year-to-date. The Solana community is currently hosting its annual conference Breakpoint in Amsterdam. Total value locked in layer 2 scaling solutions hit a record high of $12 billion, surpassing its previous peak of $11.8 billion this morning, accounting for 2/3rds of transactions on ETH in the 3rd quarter. In US markets, the S&P 500 and Nasdaq are about flat in countdown for the Fed. Policymakers have hinted that recent surge in treasury yields could factor into their decision making, given its tightening effect. Consumer Confidence Index this morning declined to 102.5 in October from 104.3 in September, but above Wall Street’s expectations.

Vols are down in both BTC and ETH across expiries, but most prominently in short-term expiries. In BTC, 7d is down ~6v, 30d is down ~3v, 60d is down ~2v, and 90d/180d are about flat. In ETH, 7d expiry is down ~3.3v, 30d/60d are down ~1.2-1.5v, and 90d/180d are down ~1v. In BTC, largest block trades was the purchase of Dec/Mar 45k/50k calendar call spread in 1000 size, purchase of 3 Nov 29k Puts in 400 size, and purchase of Dec 36k calls in 250 size. In ETH, largest block trades was the sale of Dec 2.2k/2.8k calendar call spread in 10000 size, purchase of Nov 1.65k puts in 7500 size, and sale of Nov 1.55k puts in 3000 size.

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

7d: 48.6 (-6.1) | 65 | 5.4%
30d: 50.5 (-3.2) | 65 | 11.5%
60d: 53.5 (-2.0) | 68 | 17.3%
90d: 55.9 (-0.6) | 73 | 22.1%
180d: 57.2 (-0.3) | 72 | 31.8%

ETH
7d: 44.5 (-3.3) | 44 | 4.9%
30d: 46.5 (-1.2) | 45 | 10.6%
60d: 48.0 (-1.5) | 45 | 15.5%
90d: 50.0 (-0.8) | 47 | 19.8%
180d: 51.7 (-0.9) | 45 | 28.8%

Top Block Trades

BTC
29 Dec / 29 Mar 45k/50k Calendar Call Spread: 1000
3 Nov 29k Puts: 400
29 Dec 36k Calls: 250
29 Dec / 24 Mar 35k/38k Calendar Call Spread: 200

ETH
28 Dec 2.2k/2.8k Call Spread: -10000
24 Nov 1.65k Puts: 7500
24 Nov 1.55k Puts: -3000
24 Nov 1.8k Straddle: -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

For derivatives specific commentary, our options desk publishes a separate daily options commentary. To subscribe please click here.

If you like our market commentary, please add our email address to your Email Contact List and feel free to invite a friend.

Level 5 Quantum House, 75 Abate Rigord Street, Ta'Xbiex XBX 1120, Malta

Unsubscribe

FalconX

FalconX Daily Market Color