QCP Macro Colour - 17 July 24

The past 2 weeks saw market participants panicking as BTC traded lower to 54k and alts got flushed 30%. As blood flowed on the streets, we continued to hold on to our medium term bullish view.

We weren't wearing rose-tinted glasses when we said the macro picture was turning rosier. Powell, in his recent communications and interviews, mentioned that a lot of progress has been made in curbing inflation. Markets are now pricing in a 100% chance of a rate cut in Sep!

The flows from the German police have concluded, and despite the impending distribution of BTC from Mt Gox, markets found a strong bid to bring BTC over 65k.

The ETH spot ETF looks like a done deal with the SEC asking for final revisions to S-1 filings and fee schedules. Analysts predict trading will begin on 23rd Jul.

Lastly, Trump picking J.D. Vance as his Vice President provides another positive catalyst. Vance holds BTC, and we expect him to lobby for crypto friendly regulations if Trump gets elected.

Trade Idea
We continue to like trades with topside convexity as mentioned in our previous broadcasts. With the forward basis also moving higher (10-12% ann.yield), the payoffs are much more attractive.

ETH ENHANCED SHARKFIN
Spot Ref: 3,500 ETHUSD
Maturity: 27DEC24
Base Coupon: 2% p.a.
Max Payout: 76.64%
Strike: 3,750 ETH/USD
Barrier: 5,000 ETH/USD

Get paid up to 76.64% p.a. if ETH expires just below 5,000 at expiry. Even if ETH expires below 3,750 or above 5,000, you still get paid a 2% p.a. coupon.

Trade Idea
ETH 26-Jul Win Range
Receive 5x payout if ETH expires within the range on 26-Jul

1) Bullish
Range: 3800 to 4100

2) Bearish
Range 3150 to 2900

Payout: 5x

(Spot Ref: 3480 ETHUSD)

QCP Asia Market Color - 19 Jul 24

- Price action this week has been rather resilient especially against the backdrop of continued Mt. Gox supply and tanking equities. Could this be a sign that the market has shaken off most of its worries?

- Perp funding is back to flat, vols are drifting lower and BTC is back in the familiar range of 61k to 71k where it traded within for the entire of Q2 this year.

- While spot could range here in the near term, especially with dealers very long the 26-Jul 67k Strike, the market is definitely betting big on a breakout heading into the US elections.

- Even with lower spot overnight, we continued to see sizeable institutional interest in Dec 100k Calls. This signals an even stronger conviction of a year-end rally as the odds of a Trump victory increases.

Trade Idea:

With BTC comfortably in the middle of the 61k - 71k range, similar to Q2, a short-term Principal Protected Range Accrual could be an optimal strategy before the potential big breakout later in the year.

Principal Protected Range Accrual (USD Principal)
Receive weekly 27% p.a. coupon if BTC is trading between 61k and 71k during observation

Maturity: 11-Oct (12 weeks)
Coupon Rate: 27% p.a. in USD if BTC/USD fixes at-or-within Coupon Range, 0% pa otherwise
Coupon Range: 61k to 71k
Coupon Frequency: Weekly from 26-Jul
(BTC spot ref: 63,500)

QCP Asia Market Color - 22 Jul 24

US election continues to drive volatility in risk assets, starting with Trump’s assassination attempt and his remarks that Taiwan should pay the US for its protection, which spooked semiconductor equities.

A major development last night saw Biden step down from the race and endorse Kamala Harris. This caused erratic crypto movements, with BTC gapping down over 1000 points before grinding back up to $68K today.

Election headlines will keep driving market volatility, especially for crypto, with all eyes on Trump’s upcoming appearance at the Nashville Bitcoin conference this weekend.

What is the options market whispering?

Options market volatility has surged due to these uncertainties. Prices for out-of-the-money options have increased significantly in the past 24 hours, indicating expectations for more extreme market movements.

Trade Idea:
With a clearer picture of the US election and a higher likelihood of a second rate cut by year-end, we continue to favor trades with topside convexity.

BTC Win-Range
Get paid 5x returns if BTC fixes within the range.

Maturity: 27-Dec
Range: 90000 to 110000
Payout: 5x

Additional Trade Idea:

If you are bullish BTC into Trump's speech this weekend at Nashville.
BTC Win-Range (2 August expiry) pays 4x if BTC price is between 72k and 77k at expiry.
(spot ref: 67k)

SEC officially approves spot ETH ETF for trading tomorrow (23-July)

The lack of positive reaction is a negative reaction. Market seems to be seeing who folds first to ‘sell the news’

Trade Idea
When life gives you lemons, make 4x returns with our Win Range

Expiry: 26-July
Range: 3250 to 3100
Payout: 4x (of premiums spent if ETH fixes within the range on friday)

QCP London Market Color - 23 Jul 24

The market's reaction to the ETH Spot ETF launch has been muted, with investors waiting to see if it follows the "buy the hype, sell the news" pattern. For comparison, BTC dropped to $38k after its ETF launch highs but broke all-time highs two months later.

US Government and Mt Gox.
- U.S. Government transferred 58.742 BTC to Coinbase this morning, and currently holds a total of 213.239k BTC (~14.2b USD)
- Mt Gox also moved a total of ~47.6k BTC to other wallets, including Bitstamp.

Options Market
- While spot prices remain muted, the options market is painting a different picture. 26 Jul vols made an impressive 8-vol rally with RR dipping by 3 vols signalling caution to the downside.
- The options market seems to be expecting more downside movement in the near term, exacerbated by the US Government and Mt Gox news.

Trade Idea
With the ETH Spot ETF potentially not impacting prices on the outset, coupled with potential selling pressure from the US Government and Mt Gox, prices may remain subdued until momentum builds up leading to the elections.

BTC Principal Protected Range Accrual (USD Principal)

Receive weekly 25% p.a. coupon if BTC is trading between 60k and 74k during observation.

Maturity: 18-Oct (12 weeks)
Coupon Rate: 25% p.a. in USD if BTC/USD fixes at-or-within Coupon Range, 0% p.a. otherwise
Coupon Range: 60k to 74k
Coupon Frequency: Weekly from 2-Aug

BTC Spot Reference: 67,000

QCP Asia Market Color - 24 Jul 24

- The highly anticipated ETH spot ETF commenced trading last evening, yet the expected market fireworks failed to materialize.

- ETH volatility sold off across the term structures, and the premium of ETH to BTC vols on the frontend has finally reversed, with BTC 1-week and 2-week options trading at 1-3 points higher than ETH now.

- Net inflows were $107 million on the first day of trading, as compared to $655 million for BTC, largely due to a $484 million outflow from ETHE.

- We maintain a positive ETH outlook. BTC's achievement of an all-time high two months post-ETF launch provides a compelling precedent. Anticipating sustained institutional interest, ETH's price trajectory may gradually converge with its previous ATH.

Trade Idea

As the dust settles, we anticipate a decline in ETH volatility heading into the weekend. Since it is still at a decent level, we believe implementing an Accumulator strategy might be the best way to capitalize on this slow upward movement.

ETH Accumulator
Buy ETH spot at 10.1% discount (3,100) every week as long as spot is below 3,900.

Maturity: 6DEC24 (20 weeks)
Strike: 3,100 (-10.1%)
Upper Barrier: 3,900 (+13.0%)
Observation Frequency: Weekly

Spot ref: 3,450 ETHUSD

QCP Weekend Brief – 27 Jul 24

Spot ETH ETF
The first week of spot ETH ETF trading looked like BTC spot ETF launch déjà vu all over again, with ETH retracing from 3563 highs to 3086 lows.

Why the repeat?
1. The hefty 2.5% fee by Grayscale once again continues to drive the outflow. To date, we have had 178m USD net outflows from the 8 ETFs with Grayscale accounting for 1.16b worth in just 4 days.

2. Despite Grayscale introducing a Mini ETF (ETH) with the most competitive fee of 0.15%, net outflows continue to dominate with only 10% of the initial ETHE being converted to ETH.

3. ⁠Crypto market pulling the classic ‘buy the hype sell the news’. Over positioning into an event and rushing out when there’s a lack of positive reaction.

What's preventing a post-ETF rally?
1. Unlike BTC’s digital gold tagline, ETH can be quite an abstract concept to the TradFi world and requires time for further uptake.

2. ⁠Investors are less incentivized to buy spot ETH ETFs without the staking feature.

Options Market
Ironically, BTC stole the limelight in the options market this week instead of ETH with all eyes on Trump’s speech Bitcoin 2024 this Sunday.

After experiencing the “Trump Effect” last weekend, the options market is expecting huge fireworks with implied vols for 28-Jul being priced at 85 vols, almost double the realized vols.

The options desk saw huge topside positioning by big funds for 2-Aug expiry throughout the week, in anticipation of a breakout move by Trump as well as dovish FOMC next Tuesday.

Trade Ideas
a) Bullish - The Trump Card
Make 701.9% p.a. returns if BTC expires at 72k next Friday (2-Aug).

Expiry: 2 Aug 24
Sell 1x BTC 65k Put
Buy 3.75x BTC 70/72/74k Call Fly
Cost: Zero
Max Return: 701.9% p.a. or $7,500 USD per BTC if spot expires AT 72k
Downside: At expiry, if spot is below 65,000, you buy BTC at 65,000

b) Bearish - Sell The News
Make 3x returns if BTC expires between 65k and 63k

Expiry: 2 Aug 24
Range: 65k to 63k
Payout: 3x (of premiums spent, if BTC expires within the range)

(Spot Ref: 68,000)

QCP Asia Colour – July 29, 2024

Key Highlights from Trump’s Bitcoin Conference Speech

If elected:
* The U.S. government will retain 100% of Bitcoin acquired from seized assets.
* Gary Gensler will be removed from office on day one.
* Energy costs will be reduced to promote domestic mining.
* The right to self-custody of cryptocurrencies will be upheld.
* Creation of Central Bank Digital Currencies (CBDCs) will be banned.
* A framework for stablecoins will be introduced.
* Operation Chokepoint 2.0 will be terminated.
* Ross Ulbricht’s sentence will be commuted.
* The U.S. will aim to become the global crypto capital.

Despite Bitcoin's volatility during Trump's Bitcoin Conference speech, the market did not experience the dramatic movement anticipated by options traders. Bitcoin remains within the $67,000-$70,000 range, and volatility has sharply declined.

Trump’s speech echoed industry expectations, but the market may require a more significant catalyst for a major breakout. This catalyst could materialize closer to the U.S. elections when promises and policies are more clearly defined.

Trade Idea:
With Bitcoin failing to breach its ATH despite Trump's optimistic remarks, it is plausible that Bitcoin will continue trading in a range.

Principal Protected Range Accrual (USD Principal)
Receive weekly 30% p.a. coupon if BTC is trading between 65k and 75k during observation.

Maturity: 25-Oct (12 weeks)
Coupon Rate: 30% p.a. in USD if BTC/USD fixes at-or-within Coupon Range, 0% pa otherwise
Coupon Range: 65k to 75k
Coupon Frequency: Weekly from 9-Aug

(BTC spot ref: 69,500)

QCP Asia Colour – July 30, 2024

- On the back of euphoria from Trump’s speech over the weekend, BTC tested $70K before US equities opened, only to fall over 3,000 points to below $67K hours later.

- Optimism was short-lived as the US government transferred 30K BTC worth around $2 billion, while still holding another 39K BTC confiscated from the Silk Road founders.

- Meanwhile, ETH spot has performed relatively well compared to BTC following Trump's speech, with ETHBTC gaining 5% since, despite its fourth consecutive day of spot ETF outflows.

- The volatility premium of ETH to BTC has also widened to about 8% for the longer tenor expiries from 4% last week.

- Why the strength in ETH? The market might be becoming immune to headline outflow figures due to the rotation from more expensive ETHE to the cheaper ETFs. This raises the question: once we see steady daily inflows, could ETH break significantly higher?

What's Ahead This Week?

Election headlines will remain a major focus, but several key macroeconomic events are also on the horizon. Key events starting with the FOMC meeting on Wednesday, megacap tech earnings (Apple, Amazon, Meta) throughout the week, and unemployment data on Friday.

Trade Idea

While we maintain a range-trading outlook for BTC as re-iterated yesterday, we favor accumulating ETH at its current discount, as volatility has picked up slightly.

ETH Accumulator
Buy ETH spot at 9.0% discount (3,040) every week as long as spot is below 3,600

Maturity: 4OCT24 (10 weeks)
Strike: 3,040 (-9.0%)
Upper Barrier: 3,600 (+7.8%)
Observation Frequency: Weekly

Spot ref: 3,340 ETHUSD

QCP Macro Colour – July 31, 2024

Macro volatility has intensified. The NASDAQ has declined by 10% from its peak as the Magnificent 7 pulls back. FX carry trades like long USDJPY and short USDMXN are being unwound as volatility increases. The VIX topped at 19.50 after trading in a range of 12-14 for the past 2 months.

Several factors are contributing to this heightened market uncertainty:

1. Value at Risk (VaR) Shocks. Risk managers are forcing traders to trim positions. Increased selling causes prices to fall, which then causes volatility to increase in a feedback loop.

2. Elevated Equity Valuations and Lofty Earning Targets. When companies fail to hit targets, participants start to second guess their projections for the future. This is exemplified by Microsoft's recent AI cloud revenue miss causing shares to decrease by 8% after hours.

3. Global risk-off sentiment. AUDUSD and NZDUSD have collapsed despite the recent USD weakness. Commodities such as Oil and Copper have declined by 10-15% for the month, due to increased fears of a global slowdown.

We anticipate increased volatility ahead of tonight's FOMC. We do not expect a cut and place higher importance on the statement and Powell's presser after. Our base case is for 1 cut in September and December each. We remain wary of a deviation from current expectations, which would trigger risk-off moves across all assets, including crypto. Such a scenario would indicate the Federal Reserve's perception of heightened economic challenges.

In the crypto space, we finally saw net inflows of USD33.7mil in ETH spot ETFs. This gave a much needed boost to ETH prices which have been lagging behind BTC for the past month. Nonetheless, we foresee continued outflows from ETHE in the next 2 weeks.

The recent movement of 30k worth of Silk Road BTC by the US government has introduced uncertainty into the cryptocurrency market.

Trade Idea
BTC has failed to break above the 70k for the 6th time. We maintain our view that BTC will continue to trade within a range. ETH longs are preferred as ETHE outflows subside over the next 2 weeks and ETH catches up to BTC. We target a break of 4000 which is the 2024 high.

ETH Win-Range
Get paid 5.5x returns if ETH fixes within the range.

Maturity: 30AUG24
Range: 4k to 4.5k
Payout: 5.5x

QCP Asia Colour – 01 Aug 2024

- Key takeaway from yesterday’s FOMC is that the Fed is clearly leaning dovish: a September cut has been fully priced in.

- Unfortunately, the rally in equities was not felt in crypto. Crypto experienced a broad sell-off overnight and into this morning. The market remains on edge as traders pay close attention to daily ETH ETF outflows and further supply pressures from Mt Gox and US government.

- Longer-term, discussions among U.S. Presidential candidates and Senators regarding a sovereign Bitcoin reserve, and the potential for other nations to follow suit, could fundamentally alter the cryptocurrency landscape. The establishment of a U.S. or sovereign "put" on BTC prices may have significant implications, potentially making accumulation on dips a strategic investment approach.

Trade Idea
With markets potentially range-bound until the next catalyst, deploying Accumulators allow you to systematically buy ETH below 3,000 level!

ETH ACCUMULATOR
Expiry: 13DEC24
Settlement Frequency: Weekly from 2AUG24
Strike: 2,800
Barrier: 3,700
(spot ref: 3,180)

QCP Weekend Brief – 2 Aug 24

This week saw the market rudely reversing the Trump crypto boost with BTC price retracing from the post-speech high of 70k to almost 60k this morning.

Reasons for the correction

1. The market was hit by significant BTC supply right after the weekend. Coincidence? US Government (~28,000 BTC), Mt. Gox distribution (33,960 BTC), Genesis creditor distribution ($1.5b USD worth of BTC & ETH).

2. Mining difficulty reached an all-time high after a 10.5% jump in mining difficulty which would naturally put pressure on miners to sell.

3. Bearish macro sentiment from the high unemployment print (4.3% actual vs 4.1% expected) had spillover effects on crypto with increased anticipation of recession down the road. VIX crossed above 28 today, the highest print since the regional banking crisis in Mar23.

What are we seeing in the options market?

While BTC risk reversals saw a bearish flip from +7% to -9% in the front-end as the market scrambled to buy downside gamma, BTC and ETH vols hardly moved. Front-end BTC ticked up from 45% to 48% while the back-end did not move. This is surprising given the action in VIX.

We see this as the crypto vol market indicating expectations for price volatility to settle down into the summer in spite of the jumpy price action we've seen in the last few days.

Perhaps the trade then is to be defensive and ride out the rest of Q3 with a zero-downside strategy and high coupon yield.

BTC RANGE ACCRUAL
Coupon Rate: 16% pa in USD if BTC/USD fixes at-or-within Coupon Range (57,500 to 66,500), 0% otherwise
Maturity: 1NOV24
Coupon Frequency: Weekly from 16AUG24
Full redemption 100% of USDC at maturity

QCP Asia Colour – 5 Aug 2024

It feels like we have been hit by a perfect storm. The panic selling and liquidations over Asia morning have seen BTC and ETH trade to 49k and 2116 lows respectively.

The immediate trigger in crypto seems to have been aggressive ETH selling from Jump Trading and Paradigm VC. This move was likely exacerbated by market makers scrambling to cut short gamma as front-end ETH vols spiked more than 30% to 120%.

Macro sentiment has also worsened following poor US unemployment data last Friday. In addition to that, huge unwinds across all assets has caused volatility to spike sharply. The VIX touched 50 (a level only surpassed during the Covid panic and the 2008 financial crisis), and USDJPY 1M at-the-money vols spiked to 16%! This is likely to cause further unwinds.

A global risk-off mood has also set in with Israel killing the Hamas leader over the weekend. Iran has vowed to take action, and the US has actually started deploying troops into the Middle East.

Trade Idea:

Surprisingly, forward basis and funding rates have been holding up well despite the mayhem in markets. Zero-downside strategies take advantage of the yields to express trading views.

For example, if you anticipate a sharp bounce post-selloff, a bullish BTC Sharkfin offers a potential return of over 70% with no downside:

BTC SHARKFIN
Max Payout: 71.8% p.a.
Maturity: 27DEC24
Strike: 60,000 BTC/USD
Barrier: 77,000 BTC/USD

(spot ref: 51,400)

Other zero-downside strategies can be found in our Q3 deck:
https://docsend.com/view/xf7d77q339cssiec

QCP Asia Colour – 06 Aug 2024

US came to the rescue again overnight, providing much needed support and liquidity to a panicking market. This was especially felt in crypto with strong spot buying on Coinbase orderbooks. By the end of the US session, BTC recovered to $56,000 and ETH to $2,500.

Macro markets rebounded hard today with Japan's stock market up 9% today after a 12% drop yesterday. US futures also signal a potential rebound following US ISM data showing service sector expansion in July.

Has normalcy returned?

It is definitely too soon to say. While the VIX has fallen from its peak of over 65 yesterday, it remains above 30. Asset prices are likely to stay volatile and markets remain choppy until clarity on Fed and BoJ policy is provided, with key updates expected from BoJ Deputy Governor Uchida on Wednesday and the Fed's Jackson Hole conference from August 22-24.

Chatters of an emergency rate cut...

We believe it is unlikely, as it would seriously undermine the Fed's credibility and reinforce market panic, feeding into the belief of an impending recession.

Trade Idea

Yesterday's risk-off rout flushed out a decent chunk of leverage. With prices having fallen off a cliff, it is possibly time to start thinking about accumulating BTC and ETH spot.

BTC Accumulator
Buy BTC spot at 9.8% discount (49,800) every week as long as spot is below 60,000.

Maturity: 11OCT24 (10 weeks)
Strike: 49,800 (-9.8%)
Upper Barrier: 60,000 (+8.7%)
Observation Frequency: Weekly

Spot Ref: 55,200 BTCUSD

ETH Accumulator
Buy ETH spot at 10.5% discount (2,200) every week as long as spot is below 2,850.

Maturity: 11OCT24 (10 weeks)
Strike: 2,200 (-10.5%)
Upper Barrier: 2,850 (+15.9%)
Observation Frequency: Weekly

Spot Ref: 2,460 ETHUSD

QCP London Colour – 07 Aug 2024

Monday's market turmoil may feel like a fever dream for many as assets have largely recovered from the massive sell off. TradFi finally had a taste of a regular day in crypto as the VIX traded above 65%!

While the initial shock may have passed, we foresee continued selling pressure in the coming days as systematic funds continue to pare exposure in light of the heightened volatility.

We recommend keeping a close eye on Nasdaq, Nikkei, and USDJPY as cross-asset correlations remain high in the near term.

We believe the Fed will refrain from an emergency cut in Sep, or an intermeeting cut in Oct, as that will exacerbate panic.

Trade Idea
With the acute phase of market volatility over, we favour establishing longer term bullish positions in anticipation of a cutting cycle. We prefer trades with a 3-6mth time horizon to prevent getting chopped given higher volatilities.

BTC Win Range
Get paid 5x if BTC fixes within the range.
Payout: 5x
Maturity: 27DEC24
Range: 75k to 90k

QCP Asia Colour – 08 Aug 2024

- The BOJ deputy governor downplayed the chances of another near-term rate hike.

- Crypto markets seized the opportunity to recover but ETH continues to underperform.

- There is a potential cap on the topside in the near term with Jump Trading continuing its ETH liquidations (21,394 $wstETH ~$63.6M left) and Plus Token Ponzi 2 ETH wallets moving a total of 25,757 ETH ($63.1M) in the last 30 hours.

- We remain bullish on BTC as we see significant call buying in the Dec and March expiries. Major funds also continue to roll their Sep long call positions.

Trade Idea
Receive a weekly 23% p.a. coupon while BTC continues to recover through the summer months. Downside protection - buy BTC at 21% lower from current spot (45k) only if spot price is below 40k at expiry.

FIXED COUPON CONVERTIBLE (FCC)
Weekly Coupon Rate: 23% p.a. as long as BTC/USD fixes above Coupon Level
Coupon Level: Above 45,000
Maturity: 1NOV24
Strike: 45,000
Protection Level: 40,000

(BTC Spot Ref: 57,200)

QCP Weekend Brief – 10 Aug 24

BTC price is almost exactly where we started a week ago, hovering above 60k. Truly an unbelievable and swift recovery, after getting hammered to 49k lows on Monday which was the worst single-day drawdown we've seen in years.

Heading into a surprisingly tranquil weekend, we have two observations/thoughts to share:

1. There has been a fundamental shift in the liquidity profile of ETH relative to BTC. While BTC is becoming increasingly integrated into the mainstream macro capital markets, ETH is becoming increasingly sidelined. This development likely stems from the distinct lack of interest in the ETH spot ETFs relative to the BTC spot ETF.

BTC as digital gold is a compelling narrative to investors while ETH is lacking one. This liquidity shift was made painfully obvious on Monday when ETH plummeted 22% compared to BTC's 16%.

However, this is not necessarily negative for ETH price. As a more speculative and more volatile asset, the propensity for exponential price gains comes along with the potential for larger drawdowns.

Before the ETH spot ETF, the difference in implied volatility between BTC and ETH was closer to 5%. Right now, it has expanded towards 20% and could be even higher. Perhaps the strategy here is to sell BTC volatility and buy ETH volatility.

2. Bullishness in BTC is significant and structural. Throughout the week (and in spite of the crazy volatility), there was consistent demand for BTC calls expiring in 2025 with strikes closer to 100k. This is evidence of the digital gold narrative capturing the imagination of institutional investors.

Trade Idea:
After the leverage wash-out this week we are back on track towards a bullish year-end.

BTC Zero-Cost ERKO Seagull
Sell 50k Put to buy 75k Call with 120k Knock-out
Max Return: 236.3% p.a. or $45,000 per BTC if spot price is just below 120k level at expiry.
Expiry: 27Dec24
Spot ref 60,600 BTCUSD

QCP Asia Colour – 12 Aug 2024

- It's been a week since the sharp drawdown across markets. While the price recovery has been strong, BTC continues fighting to stay above 60k.

- While the BTC put skew has normalized significantly from -25% during the panic to pre-washout levels at -5%, the market remains cautious in the near term with a BTC put skew out till September.

- In the previous two sharp drawdowns this year (Apr and Jun), BTC recovered back above 70k in less than a month. With BlackRock consistently reporting positive inflows through the week, we expect continued liquidity and support from US investors.

- Macro factors continue to be critical for the crypto markets. While Asian equity markets have been supported today, some potential volatility events to look out for are Elon Musk's interview with Trump at 8pm ET and US CPI on Wednesday.

Trade Idea:
BTC CFCC (1-Nov)
Earn 20% pa weekly as long as spot price is above 47k.
Strike: 47k
Protection: 43k
At expiry, only if spot price is below 43k, the USD deployed is converted to BTC at 47k.
(BTC Spot Ref: 59,700)