QCP London and New York Colour – 13 Jun 24
- Last night's CPI numbers ignited a breakout in risk assets. US equities hit new all-time highs, while BTC surged to 70k before settling back to 67.3k this morning.
- Market is pricing 2 rate cuts in 2024. Interest-rate futures now indicate a 56% chance of a rate cut in September, with the second cut to happen in December.
Our view:
- The Fed's dot plot remains ambiguous, making it challenging to predict whether officials prefer one or two rate cuts this year. However, we anticipate a rate cut in September, with the Fed likely adopting a wait-and-see approach for subsequent meetings in November and December.
- We maintain a structurally bullish outlook for the remainder of the year, driven by the anticipated ETH ETF S-1 approval and potential rate cuts in September and at the year end.
Trade Ideas:
- Given the current steepness of the vol curve, we like building a coin position using a longer-tenor accumulator, capitalizing on the higher vols further out.
ETH Early Delivery Accumulator
Buy ETH at 3100 (11.4% discount to spot) IMMEDIATELY for 25% of the total deployment.
From the 9th week onwards, buy at 3100 every Friday as long as the spot price remains below 4750.
Expiry: 17JAN25
Strike: 3,100 (-11.4%)
Barrier: 4,750 (+35.7%)
Early Delivery: First 8 weeks are settled immediately
Observation Frequency: Weekly starting from 9-AUG
(ETH Spot Ref: 3,500)
- Last night's CPI numbers ignited a breakout in risk assets. US equities hit new all-time highs, while BTC surged to 70k before settling back to 67.3k this morning.
- Market is pricing 2 rate cuts in 2024. Interest-rate futures now indicate a 56% chance of a rate cut in September, with the second cut to happen in December.
Our view:
- The Fed's dot plot remains ambiguous, making it challenging to predict whether officials prefer one or two rate cuts this year. However, we anticipate a rate cut in September, with the Fed likely adopting a wait-and-see approach for subsequent meetings in November and December.
- We maintain a structurally bullish outlook for the remainder of the year, driven by the anticipated ETH ETF S-1 approval and potential rate cuts in September and at the year end.
Trade Ideas:
- Given the current steepness of the vol curve, we like building a coin position using a longer-tenor accumulator, capitalizing on the higher vols further out.
ETH Early Delivery Accumulator
Buy ETH at 3100 (11.4% discount to spot) IMMEDIATELY for 25% of the total deployment.
From the 9th week onwards, buy at 3100 every Friday as long as the spot price remains below 4750.
Expiry: 17JAN25
Strike: 3,100 (-11.4%)
Barrier: 4,750 (+35.7%)
Early Delivery: First 8 weeks are settled immediately
Observation Frequency: Weekly starting from 9-AUG
(ETH Spot Ref: 3,500)
❤17
QCP Asia Colour - 14 Jun 24
- BTC is struggling to recover post-FOMC despite the strong momentum in equities.
- Why the divergence? We think this is because BTC miners are undergoing the post-halving capitulation, directly capping the price.
- Flowbank, one of the banks that Binance has a triparty agreement with, is also currently facing bankruptcy proceedings.
What's next?
- We are in for a quiet summer, with a lower vol environment and no catalyst to drive the market either way.
- We think there will be no immediate fireworks for ETH, with Gensler expecting the spot ETH ETF approval to happen late summer.
Trade Idea:
This is the ideal time to put on trades for accumulation ahead of the long quiet summer, particularly for ETH. Currently ETH vols are trading at a 10 vol premium to BTC, and we expect the spread to narrow with ETH overwriters returning as we wait in anticipation of an S-1 Form approval late summer.
Spot Ref: 3500
ETH Accumulator
Buy ETH spot at 14.29% discount (3000) every week as long as spot is under 4070
Maturity: 1NOV24 (20 Weeks)
Strike: 3000 (-14.29%)
Upper Barrier: 4070 (+16.29%)
Observation Frequency: Weekly
- BTC is struggling to recover post-FOMC despite the strong momentum in equities.
- Why the divergence? We think this is because BTC miners are undergoing the post-halving capitulation, directly capping the price.
- Flowbank, one of the banks that Binance has a triparty agreement with, is also currently facing bankruptcy proceedings.
What's next?
- We are in for a quiet summer, with a lower vol environment and no catalyst to drive the market either way.
- We think there will be no immediate fireworks for ETH, with Gensler expecting the spot ETH ETF approval to happen late summer.
Trade Idea:
This is the ideal time to put on trades for accumulation ahead of the long quiet summer, particularly for ETH. Currently ETH vols are trading at a 10 vol premium to BTC, and we expect the spread to narrow with ETH overwriters returning as we wait in anticipation of an S-1 Form approval late summer.
Spot Ref: 3500
ETH Accumulator
Buy ETH spot at 14.29% discount (3000) every week as long as spot is under 4070
Maturity: 1NOV24 (20 Weeks)
Strike: 3000 (-14.29%)
Upper Barrier: 4070 (+16.29%)
Observation Frequency: Weekly
👍15❤8
QCP London and New York Colour - 18 Jun 24
- BTC continues to sell off post-FOMC and tested 65k today.
- While BTC seems to have sneezed, alts seemed to have caught a cold as they dropped 20-30% over the weekend.
- We attribute this weakness in majors to a lack of news flow. Boring markets usually shake out weak hands, and nobody likes to pay 11% ann. to hold a long position in perps.
What do we do in boring markets?
- Ranging markets are difficult to trade, but why not earn yield while waiting for this range to resolve itself?
Trade Idea:
- With BTC at 65k and in the middle of the 60k - 72k range, its the best time to put on range accruals. Rather than getting chopped up within this range, earn yield instead!
Principal Protected Range Accrual (USD Principal)
Receive weekly 30% p.a. coupon if BTC is trading between 60k and 71k during observation
Maturity: 13-Sep (12 weeks)
Coupon Frequency: Weekly from 28JUN24
Coupon Rate: 30% p.a. in USD if BTC/USD fixes at-or-within Coupon Range, 0% pa otherwise
Coupon Range: 62,000 to 69,000
- BTC continues to sell off post-FOMC and tested 65k today.
- While BTC seems to have sneezed, alts seemed to have caught a cold as they dropped 20-30% over the weekend.
- We attribute this weakness in majors to a lack of news flow. Boring markets usually shake out weak hands, and nobody likes to pay 11% ann. to hold a long position in perps.
What do we do in boring markets?
- Ranging markets are difficult to trade, but why not earn yield while waiting for this range to resolve itself?
Trade Idea:
- With BTC at 65k and in the middle of the 60k - 72k range, its the best time to put on range accruals. Rather than getting chopped up within this range, earn yield instead!
Principal Protected Range Accrual (USD Principal)
Receive weekly 30% p.a. coupon if BTC is trading between 60k and 71k during observation
Maturity: 13-Sep (12 weeks)
Coupon Frequency: Weekly from 28JUN24
Coupon Rate: 30% p.a. in USD if BTC/USD fixes at-or-within Coupon Range, 0% pa otherwise
Coupon Range: 62,000 to 69,000
❤13
QCP London and US Colour - 19 Jun 24
- ETH spot prices sharply rebounded from a morning low of 3,400, with implied volatility notably rising to 65% in the front end.
- This strong bullish sentiment is supported by two developments:
1. The SEC is closing its investigation into Ethereum 2.0, ruling out any charges alleging that sales of ETH are securities transactions
2. Prospective issuers of Ethereum ETFs are reportedly responding to SEC comments and aim to hand them back this week
- The options market has also reflected this optimism, with the desk observing heavy buying activity of top-side calls across various tenors
- Despite uncertainty around the reception of the ETH ETF, capturing 10-20% of Bitcoin ETF flows could propel ETH above 4,000, nearing its peak of 4,800.
Trade Idea
Given the market's reactivity to the ETH ETF progress, digital options are appealing as a potential breakout strategy to capture profits on a move higher in ETH.
ETH 26-Jul 4,500 Digital
6.3x Payout if ETH spot price is above 4.5k at expiry
ETH 30-Aug 5,000 Digital
6.7x Payout if ETH spot price is above 5k at expiry
(Spot ref: 3,550)
- ETH spot prices sharply rebounded from a morning low of 3,400, with implied volatility notably rising to 65% in the front end.
- This strong bullish sentiment is supported by two developments:
1. The SEC is closing its investigation into Ethereum 2.0, ruling out any charges alleging that sales of ETH are securities transactions
2. Prospective issuers of Ethereum ETFs are reportedly responding to SEC comments and aim to hand them back this week
- The options market has also reflected this optimism, with the desk observing heavy buying activity of top-side calls across various tenors
- Despite uncertainty around the reception of the ETH ETF, capturing 10-20% of Bitcoin ETF flows could propel ETH above 4,000, nearing its peak of 4,800.
Trade Idea
Given the market's reactivity to the ETH ETF progress, digital options are appealing as a potential breakout strategy to capture profits on a move higher in ETH.
ETH 26-Jul 4,500 Digital
6.3x Payout if ETH spot price is above 4.5k at expiry
ETH 30-Aug 5,000 Digital
6.7x Payout if ETH spot price is above 5k at expiry
(Spot ref: 3,550)
❤9👍2
QCP Asia and London Colour - 20 Jun 24
In spot action, BTC continues to defend the 65k level well despite the following developments:
1. A wallet identified by Arkham as belonging to the German Police transferred 500 BTC to Bitstamp and Kraken, suggesting an imminent sale. This wallet currently holds approximately 43k BTC worth $2.83 billion.
2. BTC ETFs also saw $714 million in net outflows last week.
In the options market, we observed abnormally large buying flow of Dec and Mar 90-100k calls in the last 24 hours. We believe this suggests the market is calling the bottom and positioning itself for a sustained rally, possibly lasting into 2025.
Trade Idea
Take advantage of this consolidation period to accumulate BTC at a discount before the next leg up.
BTC Accumulator
Buy BTC spot at 10% discount (59,000) every week as long as spot is under 77,000
Maturity: 1NOV24 (20 Weeks)
Strike: 59000 (-14.29%)
Upper Barrier: 77000 (+16.29%)
Observation Frequency: Weekly
In spot action, BTC continues to defend the 65k level well despite the following developments:
1. A wallet identified by Arkham as belonging to the German Police transferred 500 BTC to Bitstamp and Kraken, suggesting an imminent sale. This wallet currently holds approximately 43k BTC worth $2.83 billion.
2. BTC ETFs also saw $714 million in net outflows last week.
In the options market, we observed abnormally large buying flow of Dec and Mar 90-100k calls in the last 24 hours. We believe this suggests the market is calling the bottom and positioning itself for a sustained rally, possibly lasting into 2025.
Trade Idea
Take advantage of this consolidation period to accumulate BTC at a discount before the next leg up.
BTC Accumulator
Buy BTC spot at 10% discount (59,000) every week as long as spot is under 77,000
Maturity: 1NOV24 (20 Weeks)
Strike: 59000 (-14.29%)
Upper Barrier: 77000 (+16.29%)
Observation Frequency: Weekly
👍10❤5🔥2
QCP US Colour - 22 Jun 24
- We've been given good reasons to be bullish this week: Microstrategy buying 11,931 BTC (about $786M), Arthur Hayes' bullish macro narrative, Michael Dell tweeting about BTC.
- Yet price action continues to be weak with BTC trading to 63.3k lows.
Why so weak?
- Miners have been under tremendous pressure to sell given higher breakeven prices post-halving. Miner BTC holdings have dropped to the lowest level we've seen in the past 14 years, with total reserves lower by 50,000 from the start of the year.
- The market has also been spooked by the emergence of a new large pool of supply. The German government allegedly sold around 3k BTC in the last few days with 47k more to go.
What is the Vol market whispering?
- Price is likely to be capped in the near-term but explosively bullish into year-end.
- Our desk has seen large selling of calls for expiries under 1-month and aggressive buying of calls for September into December.
- Vols are pricing a summer consolidation and fireworks into the US elections.
- ETH bullishness persists with ETH vols trading at an 18% premium to BTC in expectation of an imminent ETH spot ETF launch.
Trade Idea:
Monetize the premium in ETH vol to earn a high yield as ETH grinds higher over the summer.
ETH CFCC
Coupon payment: 55% pa every Friday as long as spot price is above 3,500
Expiry: 13-Sep, 3 months
Strike: 3,000
Protection: 2,500
At expiry, only if spot price is below 2,500, the USD deployed is converted to ETH at 3,000 price.
(spot ref: 3520)
- We've been given good reasons to be bullish this week: Microstrategy buying 11,931 BTC (about $786M), Arthur Hayes' bullish macro narrative, Michael Dell tweeting about BTC.
- Yet price action continues to be weak with BTC trading to 63.3k lows.
Why so weak?
- Miners have been under tremendous pressure to sell given higher breakeven prices post-halving. Miner BTC holdings have dropped to the lowest level we've seen in the past 14 years, with total reserves lower by 50,000 from the start of the year.
- The market has also been spooked by the emergence of a new large pool of supply. The German government allegedly sold around 3k BTC in the last few days with 47k more to go.
What is the Vol market whispering?
- Price is likely to be capped in the near-term but explosively bullish into year-end.
- Our desk has seen large selling of calls for expiries under 1-month and aggressive buying of calls for September into December.
- Vols are pricing a summer consolidation and fireworks into the US elections.
- ETH bullishness persists with ETH vols trading at an 18% premium to BTC in expectation of an imminent ETH spot ETF launch.
Trade Idea:
Monetize the premium in ETH vol to earn a high yield as ETH grinds higher over the summer.
ETH CFCC
Coupon payment: 55% pa every Friday as long as spot price is above 3,500
Expiry: 13-Sep, 3 months
Strike: 3,000
Protection: 2,500
At expiry, only if spot price is below 2,500, the USD deployed is converted to ETH at 3,000 price.
(spot ref: 3520)
👍13❤7👌3🤯2
QCP Asia Colour - 24 Jun 24
- BTC fell off a cliff and printed lows of 60.5k after Mt. Gox Trustee announced it will start distribution by early July.
- Despite repeatedly extending its deadline over multiple years, the Exchange Trustee transferred over 140,000 BTC (valued at 9bn) earlier this year in preparation for repayment.
Options Market
- We see little activity in the July options market, suggesting the market is not anticipating volatility around the distribution itself.
Trade Idea
With spot stabilizing above the 60k support level and little activity expected in July, we favor deploying accumulators.
BTC Accumulator
Buy BTC spot at 12% discount (54,000) every week as long as spot is under 69,000
Maturity: 8NOV24 (20 Weeks)
Strike: 54,000 (-12.05%)
Upper Barrier: 69,000 (+12.38%)
Observation Frequency: Weekly
Spot Ref: 61,400 BTCUSD
- BTC fell off a cliff and printed lows of 60.5k after Mt. Gox Trustee announced it will start distribution by early July.
- Despite repeatedly extending its deadline over multiple years, the Exchange Trustee transferred over 140,000 BTC (valued at 9bn) earlier this year in preparation for repayment.
Options Market
- We see little activity in the July options market, suggesting the market is not anticipating volatility around the distribution itself.
Trade Idea
With spot stabilizing above the 60k support level and little activity expected in July, we favor deploying accumulators.
BTC Accumulator
Buy BTC spot at 12% discount (54,000) every week as long as spot is under 69,000
Maturity: 8NOV24 (20 Weeks)
Strike: 54,000 (-12.05%)
Upper Barrier: 69,000 (+12.38%)
Observation Frequency: Weekly
Spot Ref: 61,400 BTCUSD
❤12👍3
QCP London and New York Colour - 25 Jun 24
- BTC traded to 58.5k which is where we see the 200D EMA and also the bottom of the range. We have since bounced to 61.5k.
- We think there will continue to be selling pressure in the market as markets try to digest what 140,000 BTC means for markets and prices that in. Existing Mt Gox creditors are probably unhedged given how expensive it is to hold perp positions and option positions for long periods of time.
Trade Idea
Spot has tested the 200D EMA and the bottom of the range. We expect some short term relief, and dips should be bought given the potential of a ETH ETF in July. We still favor deploying accumulators.
BTC Accumulator
Buy BTC spot at 12% discount (54,000) every week
Maturity: 8NOV24 (20 Weeks)
Strike: 54,000 (-11.91%)
Upper Barrier: 68,500 (+11.75%)
Observation Frequency: Weekly
Spot Ref: 61,300 BTCUSD
- BTC traded to 58.5k which is where we see the 200D EMA and also the bottom of the range. We have since bounced to 61.5k.
- We think there will continue to be selling pressure in the market as markets try to digest what 140,000 BTC means for markets and prices that in. Existing Mt Gox creditors are probably unhedged given how expensive it is to hold perp positions and option positions for long periods of time.
Trade Idea
Spot has tested the 200D EMA and the bottom of the range. We expect some short term relief, and dips should be bought given the potential of a ETH ETF in July. We still favor deploying accumulators.
BTC Accumulator
Buy BTC spot at 12% discount (54,000) every week
Maturity: 8NOV24 (20 Weeks)
Strike: 54,000 (-11.91%)
Upper Barrier: 68,500 (+11.75%)
Observation Frequency: Weekly
Spot Ref: 61,300 BTCUSD
❤10👍3
QCP Asia Colour - 26 Jun 24
- As we approach the quarter-end options expiry this Friday, the options market has been notably quiet, with the typical quarter end vol sell off taking effect.
- Some chatter appeared today suggesting the imminent trading of ETH ETFs:
1. VanEck has filed their 8-A form, worth highlighting the same form for Bitcoin ETF was filed exactly 7 days before the launch.
2. VanEck subsequently announced zero fees for the initial phase of their ETH ETF.
- The ETH options market for July expiries in particular, has not shown much excitement thus far. If there is a substantial breakthrough in the approval process, it could catch the market by surprise.
Trade Idea
ETH has shown robust support levels at 3,200 and 2,800, with the latter not touched for over four months. This forms a strong basis for creatively expressing one's bullish view by deploying into a Conditional Fixed Coupon Convertibles (CFCC), yielding up to 66% p.a.
ETH Conditional Fixed Coupon Convertible
Coupon Payment: 66% p.a. every Friday as long as spot price is above 3,200
Expiry: 13-Dec, 6 months
Strike: 3,200 (-5.8%)
Protection: 2,800 (-17.6%)
At expiry, only if spot is below 2,800, the USD deployed is used to buy ETH at strike of 3,200
(Spot Ref: 3,400)
- As we approach the quarter-end options expiry this Friday, the options market has been notably quiet, with the typical quarter end vol sell off taking effect.
- Some chatter appeared today suggesting the imminent trading of ETH ETFs:
1. VanEck has filed their 8-A form, worth highlighting the same form for Bitcoin ETF was filed exactly 7 days before the launch.
2. VanEck subsequently announced zero fees for the initial phase of their ETH ETF.
- The ETH options market for July expiries in particular, has not shown much excitement thus far. If there is a substantial breakthrough in the approval process, it could catch the market by surprise.
Trade Idea
ETH has shown robust support levels at 3,200 and 2,800, with the latter not touched for over four months. This forms a strong basis for creatively expressing one's bullish view by deploying into a Conditional Fixed Coupon Convertibles (CFCC), yielding up to 66% p.a.
ETH Conditional Fixed Coupon Convertible
Coupon Payment: 66% p.a. every Friday as long as spot price is above 3,200
Expiry: 13-Dec, 6 months
Strike: 3,200 (-5.8%)
Protection: 2,800 (-17.6%)
At expiry, only if spot is below 2,800, the USD deployed is used to buy ETH at strike of 3,200
(Spot Ref: 3,400)
❤15🔥1
QCP Asia Colour – 27 Jun 24
- BTC continues to defend the 60k support level despite the US government transferring 3,940 BTC to Coinbase Prime after receiving approval to liquidate.
We think the 60k support will be defended because:
1. The German Government is slowing down the pace of sending BTC to exchanges, with only 250 BTC being sent yesterday. This could be a possible indication that we are approaching the tail end of their current selling regime.
2. The BTC Spot ETF finally reported net inflows of $52.4 million over the past two days after 7 consecutive days of outflows.
Trade Idea
With selling regimes appearing to start easing up and ETF inflows finally turning positive. One may argue Mt Gox release may have been largely priced in and its time to slowly start accumulating BTC.
BTC Accumulator
Buy BTC spot at 11.11% discount (54,000) every week
Expiry: 8NOV24 (20 weeks)
Strike: 54,000
Barrier: 66,000
Observation Frequency: Weekly
Spot Ref: 60,750 BTCUSD
- BTC continues to defend the 60k support level despite the US government transferring 3,940 BTC to Coinbase Prime after receiving approval to liquidate.
We think the 60k support will be defended because:
1. The German Government is slowing down the pace of sending BTC to exchanges, with only 250 BTC being sent yesterday. This could be a possible indication that we are approaching the tail end of their current selling regime.
2. The BTC Spot ETF finally reported net inflows of $52.4 million over the past two days after 7 consecutive days of outflows.
Trade Idea
With selling regimes appearing to start easing up and ETF inflows finally turning positive. One may argue Mt Gox release may have been largely priced in and its time to slowly start accumulating BTC.
BTC Accumulator
Buy BTC spot at 11.11% discount (54,000) every week
Expiry: 8NOV24 (20 weeks)
Strike: 54,000
Barrier: 66,000
Observation Frequency: Weekly
Spot Ref: 60,750 BTCUSD
❤18👍3🔥1
QCP Weekend Brief - 28 Jun 24
An onslaught of bearish headlines throughout the week has taken BTC back down to the 60k support region.
Can this level hold?
- 58-60k in BTC has been a hardy support level in Q2.
- However, this time, the market has to deal with overwhelming supply from the Mt. Gox unlocks as well as selling by government bodies.
Our view
- We think the scary supply numbers are probably overstated and that the market will grind sideways in a range.
- We could test lower towards 50k levels but the market will find strong support there, as interest from TradFi continues to permeate given the general regulatory easing across the world.
- The ETH spot ETF remains a bullish catalyst and it is likely to start trading in early July.
- Additionally, spot ETFs for other majors like SOL will also trigger some excitement.
Trade ideas
For BTC, prioritise yield generation in a sideways market for Q3 and use the returns generated to make some Q4 directional bets.
For ETH, it might be worth taking a short-term bullish punt into the ETF launch.
(Spot ref 60k BTCUSD, 3365 ETHUSD)
BTC CFCC (27-Sep 3 months)
Earn 55% pa every Friday as long as spot price is above 60k, the current spot level.
Threshold: 60k BTCUSD
Strike: 55k BTCUSD
Protection: 50k BTCUSD
At expiry, only if spot price is below 50k, the USD deployed is converted to BTC at 55k price.
ETH Zero-Cost ERKO Seagull
Max Return: 901.2% p.a. or $2,000 per ETH if spot price is just below 6k level at expiry.
Sell 3k Put to buy 4k Call with 6k knock-out
Cost: ZERO
Expiry: 26-Jul
An onslaught of bearish headlines throughout the week has taken BTC back down to the 60k support region.
Can this level hold?
- 58-60k in BTC has been a hardy support level in Q2.
- However, this time, the market has to deal with overwhelming supply from the Mt. Gox unlocks as well as selling by government bodies.
Our view
- We think the scary supply numbers are probably overstated and that the market will grind sideways in a range.
- We could test lower towards 50k levels but the market will find strong support there, as interest from TradFi continues to permeate given the general regulatory easing across the world.
- The ETH spot ETF remains a bullish catalyst and it is likely to start trading in early July.
- Additionally, spot ETFs for other majors like SOL will also trigger some excitement.
Trade ideas
For BTC, prioritise yield generation in a sideways market for Q3 and use the returns generated to make some Q4 directional bets.
For ETH, it might be worth taking a short-term bullish punt into the ETF launch.
(Spot ref 60k BTCUSD, 3365 ETHUSD)
BTC CFCC (27-Sep 3 months)
Earn 55% pa every Friday as long as spot price is above 60k, the current spot level.
Threshold: 60k BTCUSD
Strike: 55k BTCUSD
Protection: 50k BTCUSD
At expiry, only if spot price is below 50k, the USD deployed is converted to BTC at 55k price.
ETH Zero-Cost ERKO Seagull
Max Return: 901.2% p.a. or $2,000 per ETH if spot price is just below 6k level at expiry.
Sell 3k Put to buy 4k Call with 6k knock-out
Cost: ZERO
Expiry: 26-Jul
❤12👍4
QCP Asia Colour – 1 July 24
- BTC kicked off H2 by surging from the 60k region to 63.7k after last week's false break below the 60k support level.
- BTC spot ETF inflows also continue to recover with $73m of net inflows last Fri, which is the highest daily inflow in 2 weeks.
- Looking at seasonality, BTC has a median return of 9.6% in July and tends to bounce back strongly especially after a negative June (-9.85%).
- Our options desk also saw flows positioning for an upside move last Friday into the month-end, possibly in anticipation of the ETH spot ETF launch. Many signs point to a bullish July.
Trade Idea
With the false break of 60k and bullish momentum heading into a typically bullish month you can still buy BTC below 60k even if it rallies to 71k.
BTC Accumulator
Expiry: 20SEP24 (12 weeks)
Strike: 59,000
Barrier: 71,000
Observation Frequency: Weekly
Spot Ref: 63,000 BTCUSD
- BTC kicked off H2 by surging from the 60k region to 63.7k after last week's false break below the 60k support level.
- BTC spot ETF inflows also continue to recover with $73m of net inflows last Fri, which is the highest daily inflow in 2 weeks.
- Looking at seasonality, BTC has a median return of 9.6% in July and tends to bounce back strongly especially after a negative June (-9.85%).
- Our options desk also saw flows positioning for an upside move last Friday into the month-end, possibly in anticipation of the ETH spot ETF launch. Many signs point to a bullish July.
Trade Idea
With the false break of 60k and bullish momentum heading into a typically bullish month you can still buy BTC below 60k even if it rallies to 71k.
BTC Accumulator
Expiry: 20SEP24 (12 weeks)
Strike: 59,000
Barrier: 71,000
Observation Frequency: Weekly
Spot Ref: 63,000 BTCUSD
❤11👍8🤯3
QCP London and New York Colour – 2 July 24
- Market attention is currently focused on the potential approval of a spot ETH ETF. While the earliest rumored approval date is July 2nd, we believe the likelihood of approval this week is low.
- The Mt Gox release is also slated to happen this week. This overhang of up to 140,000 BTC should continue to weigh on markets, especially since the exact release schedule is unknown right now.
- BTC continues to be supported above 60k, and ETH above 3300. However, vols remain low with BTC 1-month ATM trading at the 40 vol handle. We expected the spot-forward basis to compress with the bearish price action but it has surprisingly continued to stay within the 9 - 11% range.
Trade Idea
While the core view remains that crypto continues to trade in a range, the lower vol environment along with relatively higher basis yields provides some interesting high convexity (think higher upside) plays.
The Enhanced Sharkfin is a good option to participate in a potential crypto breakout to new highs.
BTC ENHANCED SHARKFIN
Maturity: 27SEP24
Max Payout: 54% p.a.
Coupon Rate: 2% p.a. in USD
Strike: 73,000 BTC/USD
Barrier: 85,000 BTC/USD
For a deeper dive into these strategies and insights from our Chief Investment Officer, please refer to our latest quarterly commentary. To initiate a conversation, feel free to contact our sales team at sales@qcp.capital.
- Market attention is currently focused on the potential approval of a spot ETH ETF. While the earliest rumored approval date is July 2nd, we believe the likelihood of approval this week is low.
- The Mt Gox release is also slated to happen this week. This overhang of up to 140,000 BTC should continue to weigh on markets, especially since the exact release schedule is unknown right now.
- BTC continues to be supported above 60k, and ETH above 3300. However, vols remain low with BTC 1-month ATM trading at the 40 vol handle. We expected the spot-forward basis to compress with the bearish price action but it has surprisingly continued to stay within the 9 - 11% range.
Trade Idea
While the core view remains that crypto continues to trade in a range, the lower vol environment along with relatively higher basis yields provides some interesting high convexity (think higher upside) plays.
The Enhanced Sharkfin is a good option to participate in a potential crypto breakout to new highs.
BTC ENHANCED SHARKFIN
Maturity: 27SEP24
Max Payout: 54% p.a.
Coupon Rate: 2% p.a. in USD
Strike: 73,000 BTC/USD
Barrier: 85,000 BTC/USD
For a deeper dive into these strategies and insights from our Chief Investment Officer, please refer to our latest quarterly commentary. To initiate a conversation, feel free to contact our sales team at sales@qcp.capital.
❤11👍3
QCP Asia Colour - 3 July 24
- The US equity market surged to new highs following Powell's statement that the US economy is progressing along its disinflationary path.
- However, this bullish momentum has not translated to BTC and ETH, with prices hovering just above 60k & 3300 respectively.
- Despite the sell-off, the options market is still heavily skewed in favor of the topside, suggesting that the market is still anticipating a year-end rally. This aligns with the desk's observation of significant buying interest in the longer-term options at the 100/120k strike.
- Looking ahead, we anticipate a subdued Q3 for BTC as the market remains uncertain around the supply from the Mt. Gox release.
Trade idea
Generate 15% p.a. yield on your BTC while waiting for the looming Mt. Gox supply to clear up and reveal clear blue skies.
CFCC (Coin underlying)
Maturity: 27SEP24
Weekly Coupon Rate: 15% p.a. if BTC/USD fixes above 58,000
Strike: 70,000
Protection Level: 80,000
Only if spot price is above 80k at expiry, BTC will be converted to USD at 70k strike.
- The US equity market surged to new highs following Powell's statement that the US economy is progressing along its disinflationary path.
- However, this bullish momentum has not translated to BTC and ETH, with prices hovering just above 60k & 3300 respectively.
- Despite the sell-off, the options market is still heavily skewed in favor of the topside, suggesting that the market is still anticipating a year-end rally. This aligns with the desk's observation of significant buying interest in the longer-term options at the 100/120k strike.
- Looking ahead, we anticipate a subdued Q3 for BTC as the market remains uncertain around the supply from the Mt. Gox release.
Trade idea
Generate 15% p.a. yield on your BTC while waiting for the looming Mt. Gox supply to clear up and reveal clear blue skies.
CFCC (Coin underlying)
Maturity: 27SEP24
Weekly Coupon Rate: 15% p.a. if BTC/USD fixes above 58,000
Strike: 70,000
Protection Level: 80,000
Only if spot price is above 80k at expiry, BTC will be converted to USD at 70k strike.
❤18
QCP Asia Colour - 4 July 24
- Yet another day of heavy selling pressure, causing BTC to fall below the 60k support level and reaching lows of 57,875.
- BTC miners are showing signs of capitulation. Historically this has been associated with a bottom in prices with the last comparable hash rate drawdown occurring in 2022 when BTC traded to 17,000.
- Despite the sell-off in crypto, the options market is still optimistic as we continue to see interest heavily skewed towards ETH Calls for Sep and Dec expiries.
What could cause prices to break this downtrend?
1- Liquidation clusters on BTC and ETH are heavily skewed to the topside, opening up potential short squeezes.
2- With S-1 Form approvals round the corner, an approval may result in a hard bounce in ETH.
Trade Idea:
Given the recent sell pressure originating from BTC and driven by factors like Mt. Gox, miners, and government regulations, we believe ETH has the potential for a stronger rebound due to upcoming S-1 filings. An ETH KIKO helps you position for this rebound while providing downside protection.
ETH KIKOs (Knock-In, Knock-Out)
Expiry: 27SEP24
Sell 3k Put (Knock-in: 2.5k)
Buy 3.6k Call (Knock-out: 5.5k)
Cost: ZERO
Max payout: 271.96% pa or $1,900 USD per ETH if spot expires just below 5,500
Downside: At expiry, if spot is below 2,500, you buy ETH at 3,000
(Spot ref: 3,210)
- Yet another day of heavy selling pressure, causing BTC to fall below the 60k support level and reaching lows of 57,875.
- BTC miners are showing signs of capitulation. Historically this has been associated with a bottom in prices with the last comparable hash rate drawdown occurring in 2022 when BTC traded to 17,000.
- Despite the sell-off in crypto, the options market is still optimistic as we continue to see interest heavily skewed towards ETH Calls for Sep and Dec expiries.
What could cause prices to break this downtrend?
1- Liquidation clusters on BTC and ETH are heavily skewed to the topside, opening up potential short squeezes.
2- With S-1 Form approvals round the corner, an approval may result in a hard bounce in ETH.
Trade Idea:
Given the recent sell pressure originating from BTC and driven by factors like Mt. Gox, miners, and government regulations, we believe ETH has the potential for a stronger rebound due to upcoming S-1 filings. An ETH KIKO helps you position for this rebound while providing downside protection.
ETH KIKOs (Knock-In, Knock-Out)
Expiry: 27SEP24
Sell 3k Put (Knock-in: 2.5k)
Buy 3.6k Call (Knock-out: 5.5k)
Cost: ZERO
Max payout: 271.96% pa or $1,900 USD per ETH if spot expires just below 5,500
Downside: At expiry, if spot is below 2,500, you buy ETH at 3,000
(Spot ref: 3,210)
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QCP New York Colour - 5 July 24
- Crypto prices corrected violently in Asia today with BTC and ETH trading below $54,000 and $2,900 respectively, before recovering to $55,000 and $2,950 ahead of the US open.
- Front-end vols spiked as market makers scrambled to buy gamma.
Reasons for the dip
- The market reacted to news of imminent BTC supply which included transfers by Mt. Gox and the German Government. Speculators likely oversold heavily in anticipation, triggering liquidations around $58,000 in thin markets over the US holiday.
Our view
- Spot prices have stabilised suggesting decent support around 54k. Panic has also died down with front-end vols easing significantly from 65 to below 50 for BTC and from 80 to 62 for ETH.
- Today’s US jobs data showed downward revisions for both the April and May numbers. This confirms Powell's disinflationary path and potentially earlier rate cuts with both September and December starting to price a higher probability.
Trade Idea
The desk has seen a rush from clients to deploy Accumulators today. The vol spike plus dip in spot price allows one to collect ETH below 2700 (a 9.6% discount!)
ETH Accumulator
Buy ETH spot at 9.6% discount (2,680) every week
Maturity: 27SEP24 (12 Weeks)
Strike: 2,680 (-9.62%)
Upper Barrier: 3,550 (+19.73%)
Observation Frequency: Weekly
Spot Ref: 2,960 ETHUSD
- Crypto prices corrected violently in Asia today with BTC and ETH trading below $54,000 and $2,900 respectively, before recovering to $55,000 and $2,950 ahead of the US open.
- Front-end vols spiked as market makers scrambled to buy gamma.
Reasons for the dip
- The market reacted to news of imminent BTC supply which included transfers by Mt. Gox and the German Government. Speculators likely oversold heavily in anticipation, triggering liquidations around $58,000 in thin markets over the US holiday.
Our view
- Spot prices have stabilised suggesting decent support around 54k. Panic has also died down with front-end vols easing significantly from 65 to below 50 for BTC and from 80 to 62 for ETH.
- Today’s US jobs data showed downward revisions for both the April and May numbers. This confirms Powell's disinflationary path and potentially earlier rate cuts with both September and December starting to price a higher probability.
Trade Idea
The desk has seen a rush from clients to deploy Accumulators today. The vol spike plus dip in spot price allows one to collect ETH below 2700 (a 9.6% discount!)
ETH Accumulator
Buy ETH spot at 9.6% discount (2,680) every week
Maturity: 27SEP24 (12 Weeks)
Strike: 2,680 (-9.62%)
Upper Barrier: 3,550 (+19.73%)
Observation Frequency: Weekly
Spot Ref: 2,960 ETHUSD
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QCP London & New York Colour - 8 July 24
- Equities and Gold have been bouncing higher from the start of last week but crypto prices have gone the other way. What is going on?!
- We did see actual heavy spot selling early last week, particularly around 3 - 4pm New York time. Perhaps this is the large supply mentioned in the headlines (the German government and Mt Gox distributions) actually hitting the market.
- However, the gap lower in prices occurred into the 4th of July US holiday and prices only found support the next day when the US came back in to buy (more than $143m net inflow for BTC spot ETFs on Friday).
- Into the weekend, prices continued to chop violently on very thin liquidity with BTC trading in an unusually large 53.5k-58.5k range.
- Is this a new norm where crypto prices gap in larger ranges due to poor liquidity outside of US hours? Or is this just a summer phenomenon with the market missing strong narratives, getting spooked by headlines and getting shoved around by large flows?
Trade Idea (New Strategy Alert!)
If you are not sure which way the market is going , make a return both ways with Twin-Win, a zero-downside and zero-cost strategy that profits from a move in either direction.
BTC Twin-Win (27-Dec)
Max Payout: $10,000 per BTC if spot is just below 67,500 or just above 47,500 at expiry.
(Profit is earned as long as at expiry, BTC is above or below 57.5k, and remains below 67.5k or above 47.5k)
Zero-downside: USD deployed is returned in FULL at expiry.
Cost: Zero
- Equities and Gold have been bouncing higher from the start of last week but crypto prices have gone the other way. What is going on?!
- We did see actual heavy spot selling early last week, particularly around 3 - 4pm New York time. Perhaps this is the large supply mentioned in the headlines (the German government and Mt Gox distributions) actually hitting the market.
- However, the gap lower in prices occurred into the 4th of July US holiday and prices only found support the next day when the US came back in to buy (more than $143m net inflow for BTC spot ETFs on Friday).
- Into the weekend, prices continued to chop violently on very thin liquidity with BTC trading in an unusually large 53.5k-58.5k range.
- Is this a new norm where crypto prices gap in larger ranges due to poor liquidity outside of US hours? Or is this just a summer phenomenon with the market missing strong narratives, getting spooked by headlines and getting shoved around by large flows?
Trade Idea (New Strategy Alert!)
If you are not sure which way the market is going , make a return both ways with Twin-Win, a zero-downside and zero-cost strategy that profits from a move in either direction.
BTC Twin-Win (27-Dec)
Max Payout: $10,000 per BTC if spot is just below 67,500 or just above 47,500 at expiry.
(Profit is earned as long as at expiry, BTC is above or below 57.5k, and remains below 67.5k or above 47.5k)
Zero-downside: USD deployed is returned in FULL at expiry.
Cost: Zero
❤10👍3🔥1🫡1
QCP Asia Colour - 9 July 24
- BTC prices dropped to $55.2K during early US trading on Monday after the German Police moved $900 million worth of BTC to exchanges. The market was initially spooked but quickly rebounded.
- We are seeing glimmers of bullishness due to:
1. $200 million worth of BTC was later returned to the German Police from the exchanges, indicating these assets didn’t hit the market.
2. Strong demand shown by quick dip-buying, supported by $295 million ETF inflows on July 8, the highest in 21 days.
3. Despite thin liquidity, BTC and ETH have made higher lows this week, with dips bought up aggressively.
- The market is highly reactive to supply movements, suggesting speculative selling pressure rather than real spot demand. This may indicate a market over-positioning for the downside.
- A catalyst is needed. The ETH spot ETF is set to start trading around July 15. Positive reception could boost liquidity and potentially surprise the market with an upward move.
Trade Idea
Recommend deploying into OTM ERKOs, anticipating a breakout with minimal cash outlay and zero downside risk.
BTC Call ERKO (60/70K 27-SEP)
Max Payout: $10,000 per BTC (6.1x) if BTC spot price is just below 70k at expiry
Cost: $1,650 per BTC
(Spot Ref: 57,600)
ETH Call ERKO (4/5K 27-SEP)
Max Payout: $1,000 per ETH (12.5x) if ETH spot price is just below 5k at expiry
Cost: $80 per ETH
(Spot Ref: 3,090)
- BTC prices dropped to $55.2K during early US trading on Monday after the German Police moved $900 million worth of BTC to exchanges. The market was initially spooked but quickly rebounded.
- We are seeing glimmers of bullishness due to:
1. $200 million worth of BTC was later returned to the German Police from the exchanges, indicating these assets didn’t hit the market.
2. Strong demand shown by quick dip-buying, supported by $295 million ETF inflows on July 8, the highest in 21 days.
3. Despite thin liquidity, BTC and ETH have made higher lows this week, with dips bought up aggressively.
- The market is highly reactive to supply movements, suggesting speculative selling pressure rather than real spot demand. This may indicate a market over-positioning for the downside.
- A catalyst is needed. The ETH spot ETF is set to start trading around July 15. Positive reception could boost liquidity and potentially surprise the market with an upward move.
Trade Idea
Recommend deploying into OTM ERKOs, anticipating a breakout with minimal cash outlay and zero downside risk.
BTC Call ERKO (60/70K 27-SEP)
Max Payout: $10,000 per BTC (6.1x) if BTC spot price is just below 70k at expiry
Cost: $1,650 per BTC
(Spot Ref: 57,600)
ETH Call ERKO (4/5K 27-SEP)
Max Payout: $1,000 per ETH (12.5x) if ETH spot price is just below 5k at expiry
Cost: $80 per ETH
(Spot Ref: 3,090)
❤10👍8
QCP London Colour - 10 July 24
The macro backdrop has turned rosier over the past week, and we think crypto has bottomed as we were unable to break lower despite the huge selling pressure.
We maintain our bullishness due to the following tailwinds:
1. Labour numbers have come in softer the past week, and even Powell's testimony to the Senate reaffirmed that market conditions were heading towards their end goal.
2. Despite over 6000 BTC being sold by the German Police, and the Sword of Damocles being the Mt Gox release hanging over us, BTC has formed a double bottom and failed to break below 54k.
3. Softer CPI numbers tomorrow could finally cement the Fed's decision to cut in Sep and Dec.
4. The flurry of S-1 revisions for ETH spot ETFs could also signal that trading is slated to happen soon. We believe it will happen this month, especially if applicants announce fee schedules.
Trade Idea
We continue to prefer strategies that provide convex payoffs. ETH Sharkfins and OTM ERKOs continue to be attractive, especially with ETH ETFs looking to be around the corner.
Bullish BTC Sharkfin
Maturity: 27DEC24
Strike: 61,000
Knockout: 80,000
Max Payout: 66.88% p.a.
Get paid up to 66.88% p.a if BTC expires just below 80,000 at expiry.
The macro backdrop has turned rosier over the past week, and we think crypto has bottomed as we were unable to break lower despite the huge selling pressure.
We maintain our bullishness due to the following tailwinds:
1. Labour numbers have come in softer the past week, and even Powell's testimony to the Senate reaffirmed that market conditions were heading towards their end goal.
2. Despite over 6000 BTC being sold by the German Police, and the Sword of Damocles being the Mt Gox release hanging over us, BTC has formed a double bottom and failed to break below 54k.
3. Softer CPI numbers tomorrow could finally cement the Fed's decision to cut in Sep and Dec.
4. The flurry of S-1 revisions for ETH spot ETFs could also signal that trading is slated to happen soon. We believe it will happen this month, especially if applicants announce fee schedules.
Trade Idea
We continue to prefer strategies that provide convex payoffs. ETH Sharkfins and OTM ERKOs continue to be attractive, especially with ETH ETFs looking to be around the corner.
Bullish BTC Sharkfin
Maturity: 27DEC24
Strike: 61,000
Knockout: 80,000
Max Payout: 66.88% p.a.
Get paid up to 66.88% p.a if BTC expires just below 80,000 at expiry.
👍10❤2
QCP Asia Market Color - 11 Jul 24
- Tonight’s CPI release has captured everyone’s attention. The market anticipates a 70% chance of a rate cut in September. This optimism has been reflected in the continued rally in equities but has yet to be priced into the crypto market.
- BTC front-end volatility increased by 5 points this morning, with risk reversals favoring the topside, signaling the market's anticipation of potential topside volatility.
- Yesterday, the German government transferred 10k BTC to exchanges and market makers. The wallet now holds only 15k BTC out of the 50k it originally held in mid-June, suggesting a possible easing of supply pressure.
Trade Idea
With the perceived reduction in supply, a softer CPI print could serve as the catalyst to break out of this range, especially bolstered by the upcoming launch of ETH spot ETF trading next week. We identify a compelling risk-reward opportunity on the upside through Digitals.
ETH 26-Jul Call DIGI
Strike: 4k
Payout: 10x (of prems spent if spot fixes at-or-above strike at expiry)
- Tonight’s CPI release has captured everyone’s attention. The market anticipates a 70% chance of a rate cut in September. This optimism has been reflected in the continued rally in equities but has yet to be priced into the crypto market.
- BTC front-end volatility increased by 5 points this morning, with risk reversals favoring the topside, signaling the market's anticipation of potential topside volatility.
- Yesterday, the German government transferred 10k BTC to exchanges and market makers. The wallet now holds only 15k BTC out of the 50k it originally held in mid-June, suggesting a possible easing of supply pressure.
Trade Idea
With the perceived reduction in supply, a softer CPI print could serve as the catalyst to break out of this range, especially bolstered by the upcoming launch of ETH spot ETF trading next week. We identify a compelling risk-reward opportunity on the upside through Digitals.
ETH 26-Jul Call DIGI
Strike: 4k
Payout: 10x (of prems spent if spot fixes at-or-above strike at expiry)
❤10👍2
QCP Weekend Brief – 12 Jul 24
Some stability returned to the market this week with BTC and ETH making a decisive recovery to 58k and 3100.
What caused this relief rally?
1. Positive macro sentiment with inflation slowing down. The market is now pricing 95% chance for a rate cut in September.
2. The German Govt has completed their 50k BTC sale and spot price has held up well.
3. Strong demand from the spot ETFs with around $1B of net inflow this week.
What is the vol market telling us?
While crypto twitter and retail sentiment has been screaming panic, large hedge funds have been confidently and aggressively buying BTC topside, particularly December and March calls targeting 100-120k price level.
What is the best play here?
BTC accumulators are more compelling than ever with spot stabilising at these levels and steepness of the vol curve.
BTC Accumulator
Buy BTC spot at 13.5% discount (50k)
every week as long as spot is below 65k
Maturity: 27DEC24 (24 weeks)
Strike: 50,000 (-13.5%)
Upper Barrier: 65,000 (+12.5%)
Observation Frequency: Weekly
Spot ref: 57,800 BTCUSD
Some stability returned to the market this week with BTC and ETH making a decisive recovery to 58k and 3100.
What caused this relief rally?
1. Positive macro sentiment with inflation slowing down. The market is now pricing 95% chance for a rate cut in September.
2. The German Govt has completed their 50k BTC sale and spot price has held up well.
3. Strong demand from the spot ETFs with around $1B of net inflow this week.
What is the vol market telling us?
While crypto twitter and retail sentiment has been screaming panic, large hedge funds have been confidently and aggressively buying BTC topside, particularly December and March calls targeting 100-120k price level.
What is the best play here?
BTC accumulators are more compelling than ever with spot stabilising at these levels and steepness of the vol curve.
BTC Accumulator
Buy BTC spot at 13.5% discount (50k)
every week as long as spot is below 65k
Maturity: 27DEC24 (24 weeks)
Strike: 50,000 (-13.5%)
Upper Barrier: 65,000 (+12.5%)
Observation Frequency: Weekly
Spot ref: 57,800 BTCUSD
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