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FalconX Options Desk Commentary
Not Investment Advice
November 7, 2023

BTC is down ~0.8% trading at $34.7k and ETH is down ~1.3% trading at $1,870 respectively. Open interest in CME’s BTC futures has increased 35% to 19,603 in four weeks. Historically, spikes in open interest marked trend changes in the spot markets. Yesterday, it was announced Silicon Valley firm Proof Group, part of the consortium that bid for bankrupt lender Celsius, is in the running to relaunch FTX. In US markets, the S&P 500 and Nasdaq are set to open about flat as confidence fades the Federal Reserve won’t hike interest rates again this year. Investors will look to the heads of the Kansas City and Dallas feds speak on Tuesday, and then Chair Jerome Powell speaking later this week.

Vols are down across both BTC and ETH, most prominently in front-end expiries. In BTC, 7d/30d expiries are down ~6v, 60d is down ~5v, 90d is down ~3v, and 180d is down ~1.5v. In ETH, 7d expiry is down ~8.5v, 30d is down ~6v, 60d is down ~4v, and 90d/180d are down ~2v. Largest block trades in BTC was the purchase of Nov 28k puts in 200 size, purchase of 17 Nov 29k puts in 200 size, and sale of Dec 36k straddle in 150 size. In ETH, largest block trades was the sale of Nov 1.75k/2.1k risk reversal in 5000 size, sale of Nov 1.9k straddle in 5000 size, and purchase of Nov 1.8k puts in 2000 size.

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

TC
7d: 43.2 (-5.9) | 48 | 4.8%
30d: 47.8 (-6.2) | 55 | 10.9%
60d: 53.9 (-4.6) | 68 | 17.4%
90d: 58.3 (-2.9) | 81 | 23.0%
180d: 60.5 (-1.4) | 83 | 33.6%

ETH
7d: 46.3 (-8.5) | 48 | 5.1%
30d: 49.9 (-5.7) | 50 | 11.4%
60d: 53.5 (-4.1) | 52 | 17.3%
90d: 56.9 (-2.6) | 56 | 22.5%
180d: 60.0 (-1.6) | 62 | 33.4%

Top Block Trades

BTC
24 Nov 28k Puts: 200
17 Nov 29k Puts: 200
29 Dec 36k Straddle: -150
29 Dec 35k Puts: -150

ETH
24 Nov 1.75k/2.1k Risk Reversal: -5000
24 Nov 1.9k Straddle: -5000
24 Nov 1.8k Puts: 2000
29 Mar 1.8k Puts: -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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