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)

QCP Asia Colour - 13 August 24

- Japanese stock prices surged today back to pre-crash levels.

- However, investors remain cautious ahead of US CPI this week. They will closely watch inflation numbers for guidance on whether the Fed will cut rates by 50 or 25 bps in September. The odds are now evenly split.

- ETH spot ETFs saw cumulative inflows surpass $901 million after yesterday's net inflow. Notably, Grayscale reported zero outflows for the first time. This has provided strong support for ETH price and could be a catalyst for more pronounced recovery in ETH.

Trade Idea

ETH Accumulator
Buy ETH spot at 12.4% discount (2,320) every week as long as spot is below 2,900.

Maturity: 18OCT24 (10 weeks)
Strike: 2,320 (-12.4%)
Upper Barrier: 2,900 (+9.4%)
Observation Frequency: Weekly

Spot ref: 2,650 ETHUSD

QCP Asia Market Color - 14 August 2024

- BTC reclaimed $60K overnight and is stabilizing at these levels, fully reversing last Monday’s sell-off. BTC even ticked higher when Bitgo moved $2B of Mt. Gox BTC last night. This could signal that the market is beginning to disregard this supply factor.

- ETH spot ETFs continue to attract inflows, marking a 2-day winning streak and drawing $24.3 million in net inflows on Tuesday.

- Last night’s softer US PPI print shifted market expectations towards a 50bps rate cut in September by the Fed, with the probability now at 52.5% for 50bps versus 47.5% for 25bps.

- All eyes are on tonight’s US CPI print. A soft CPI could support a recovery in risk assets like equities and crypto on the back of anticipated Fed rate cuts.

Trade Idea
With consistent ETF inflows and BlackRock buying the dip last week, crypto seems relatively well supported. However with no major catalysts on the horizon, we anticipate limited major breakouts until Q4.

PRINCIPAL PROTECTED BTC RANGE ACCRUAL
Coupon Rate: 19% pa in USD if BTC/USD fixes at-or-within the range 56k to 66k, 0% otherwise
Maturity: 8NOV24
Coupon Frequency: Weekly from 23AUG24
Full redemption 100% in USDC at maturity

Spot ref: 61,000

QCP Asia Market Color - August 15, 2024

- The highly anticipated US CPI print came in line with expectations. The market is now pricing in 62.5% for 25bps cut compared to 47.5% before CPI announcement.

- The softer CPI numbers resulted in an immediate knee jerk reaction in equities and crypto.

- The crypto rally was short lived with the market selling off on the back of U.S. transferring 10K BTC to Coinbase Prime and Jump offloading 17,000 ETH.

- As anticipated, BTC and ETH front-end vols sold off post-CPI, dropping around 10 vols. Risk reversals also dipped further to -8 and -6 vols for ETH and BTC respectively. This indicates that the options market is now anticipating more downside due to the fresh supply.

Trade Idea
In this thin and highly leveraged environment, any price movement will be amplified. A Digital Win-Range strategy offers an attractive risk-reward trade.

BTC Win-Range (Top Side)
Get paid 4x if BTC fixes within the range.
Payout: 4x
Maturity: 27 SEP 24
Range: 65k to 70k

BTC Win-Range (Down Side)
Get paid 5x if BTC fixes within the range.
Payout: 5x
Maturity: 27 SEP 24
Range: 50k to 45k

Spot Ref: 58,700 BTCUSD

QCP Weekend Summary – 17 Aug 24
+ Introduction of our latest VMI (Volatility Momentum Indicator)

1. Improving macro sentiment
Slowing U.S. inflation boosted market confidence, sending equities back towards all-time-highs. Continued rate cuts by major central banks like RBNZ reinforce the wave of global monetary easing.

2. Fears of a selling regime by the U.S. Government
The U.S. government transferred 10,000 BTC (around $591 million) linked to the Silk Road to a Coinbase wallet. Although there is no confirmation of selling, the market is still wary of the remaining 203.239K BTC and other crypto assets that remain in the wallet.

3. Trump crypto catalyst?
The market was disappointed by the stark absence of a crypto discussion in the 2-hour long interview of Donald Trump by Elon Musk.

Our view:
We remain constructive and bullish into year-end. One particularly encouraging factor is the market's resilience to various 'supply-shock' headlines this week for both BTC and ETH. The market even rallied on the back of Jump's un-staking and selling of ETH this round.

Introducing QCP's Volatility Momentum Indicator (VMI)

Navigate market uncertainty and capture upside potential with our Volatility Momentum Indicator (VMI). Designed to help investors transform market fluctuations into profitable opportunities.

What is the VMI?
The VMI is an in-house signal used to predict heightened volatility regimes where sustained positive volatility shocks are expected over a period of time. These shocks are typically correlated with fast trending moves in the underlying spot asset.

Applying the VMI signal on our principal-protected UPS strategy this year has yielded an exceptional return of 33% p.a. with zero downside.

Stay tuned for our upcoming Q4 Quarterly, where we will delve deeper into the VMI, showcasing its effectiveness through sample portfolio returns and analysis.

Onboarded QCP clients can inquire about the VMI or sign up for alerts through their dedicated trading channel.

QCP Europe Market Color - August 19, 2024

- The market is unusually optimistic with US equities at all-time highs and Asian equities largely in the green today in anticipation of an imminent rate cut and a soft landing.

- However, there are still signs of nervousness as the options market is pricing in a 1% swing on the S&P 500 for Powell’s Jackson Hole speech this Friday.

- ⁠In contrast to equities, crypto sentiment is strikingly bearish. BTC perpetual funding rates dropped to -13% over the weekend, the lowest since 2022.

- The market may have overlooked the potential for further unwind in the USD/JPY carry trade. With Bloomberg reporting that funds such as Vanguard are increasing their bets on further BOJ hikes. Could this be the catalyst for another leg down across the markets?

Trade Idea
We remain constructive and bullish on the market, but if you're looking for short-term downside protection, a downside Sharkfin could be an effective zero cost hedge.

Principal Protected BTC Downside Sharkfin
Maturity: 27SEP24
Strike: 58,000 BTCUSD
Barrier: 52,000 BTCUSD
Cost: Zero
Max Potential Payout: 96.82% p.a. if spot expires just above 52,000 BTCUSD

Spot Ref: 58,450 BTCUSD

QCP Asia Colour – 20 Aug 2024

What's fueling the equities rally?

1. Momentum traders and trend-followers are reportedly re-leveraging, amplified by August's lower liquidity.

2. Corporate share buybacks have surged to $1.15 trillion this year. Goldman Sachs' trading unit has seen record client demand for dips.

Potential Implications:

- Risk-on sentiment could extend to crypto and gold, pushing BTC higher given the strong demand for topside calls.

- U.S. elections remains a key focus, with BTC skew favoring puts pre-election, and a steep 6-point vol spread between pre- and post-election expiries. The Democrats' platform lacks cryptocurrency support, while the Republicans pledge to end the "unlawful and un-American crypto crackdown."

Trade Idea

Given the potential for market volatility and election-related risks, we suggest a defensive, high yield-generating and limited downside strategy for Q3.

Amplified Range Accrual (10 Weeks)

Receive weekly 120.6% p.a. coupons every Friday if BTC fixes between 55,000 & 65,000 or lose 1% of your principal if it fixes outside the range (capped at 10% max loss over 10 weeks)

Max Potential Payout: 120.6% p.a. in weekly coupon if BTC/USD fixes within the coupon range for every week

Expiry: 25-Oct (10 weeks)
Coupon Range: USD 55,000 to 65,000

Spot Ref: 61,000 BTCUSD

QCP Asia Colour – 21 Aug 2024

Wall street is abuzz with rumours of a downward revision to payroll growth by at least 600k. This would indicate that the US job market was not as robust as the market expected in the past year.

The question now is whether the Fed has been behind the curve. The Fed has delayed rate cuts due to a stronger-than-expected job market and robust economy.

We expect Powell to address this issue during the annual Jackson Hole event. However, we believe Powell will not commit to a decision given there is another month until the Fed's Sep meeting.

A large downward revision, or an especially dovish Powell, could potentially reverse the 2-week equity rally and push BTC and ETH below support levels.

Regardless of the revision, the Fed seems poised to cut in September. The market is currently pricing in 3.7 cuts in 2024, and 4.5 cuts in 2025.

Trade Idea
Banks have already started to adjust their Fixed Deposit rates lower based on expectations of a rate cut cycle.

12-mth USD Fixed Deposits are paying 3.5 - 4.0% p.a. For the same tenor, you can lock in 9.5% p.a. in crypto cash and carry. This seems particularly attractive, especially if the Fed decides to embark on a much more aggressive cutting cycle.

 
| index   |   Basis |   AnnRate(%) |   Tenor |   
|:--------|--------:|-------------:|--------:|   
| 28MAR25 | 3333.18 |         9.39 |     219 |   
| 27JUN25 | 4776.89 |         9.51 |     310 |

QCP Asia Colour – 22 Aug 2024

Overnight, the downward revision of U.S. non-farm payrolls highlighted a weaker labor market, sparking concerns that the Fed might delay rate cuts, triggering a selloff.

These worries eased after the July FOMC minutes revealed some policymakers were open to rate cuts, signaling a more dovish stance balancing inflation and employment goals.

The dovish tone lifted risk assets, pushing BTC above $61,800, fueled by strong buying on Coinbase until 4 a.m. SGT. Aggressive bids on Coinbase (indicating U.S. onshore demand) have been a good signal for short-term trends.

Attention now turns to Fed Chair Powell’s Jackson Hole speech tomorrow for more rate-cut signals.

Trade Idea
With markets betting heavily on rate cuts, unexpected economic data can have a significant impact. We favor principal-protected products capturing topside gains.

Principal Protected BTC Topside Sharkfin
Maturity: 27DEC24
Strike: 70,000 BTCUSD
Barrier: 88,000 BTCUSD
Cost: Zero
Max Potential Payout: 73.90% p.a.

Spot Ref: 61,350 BTCUSD

🎆 Introducing Our Tri-Party Collateral Management Solution

We are pleased to announce the launch of our innovative tri-party collateral management solution. Designed to mitigate counterparty risk and optimize investment strategies, our solution leverages Fireblocks technology to provide:

- Enhanced Security: Protect your assets with industry-leading security measures.
- Streamlined Efficiency: Benefit from automated processes and reduced operational costs.
- Unparalleled Control: Maintain full oversight of your collateral.

Leading institutions Artichoke Capital and 5 North have already adopted our solution.

To learn more about how our tri-party collateral management solution can benefit you, please visit:
https://www.qcpgroup.com/insights/press-release-qcp-leverages-fireblocks-to-revolutionize-digital-asset-collateral-management-for-institutional-clients-2/?utm_source=telegram&utm_medium=social&utm_campaign=tripartycms&utm_content=read-more

QCP Weekend Brief – 24 Aug 24

- BTC finally got the recovery that we've been waiting for. It seems Powell's speech at Jackson Hole was the catalyst it needed to breakout of the 58k-62k range.

- Rate cuts are confirmed for Sep but there was no indication on how much, so August Payrolls will be critical. A 25bp cut is likely to be bullish, while a 50bp cut could indicate the Fed is taking acute action to prevent the economy from falling flat.

- Last night's rally was mostly spot driven as funding continues to remain flat. However, we should expect an increase in leverage long positions if the 62k support holds and as we approach the end of summer holidays.

- On the options desk, we saw increased topside positioning. Around 600x of Monday 62.5k-63k Calls, which are now in-the-money, were bought just before Powell's speech. Even on the backend, bulls continue to pile on to their long bets in Dec and Mar (80k to 85k strikes).

So where do we go from here?

- BTC is back comfortably in the familiar 61k to 70k range, selling supply is slowly depleting and spot ETF saw net inflows in 10 of the last 12 days. Similar to last night, it does seem crypto is looking for a narrative to breakout of this multi-month bullish flag.

- Despite the significance of next week's Nvidia earnings and even the September rate cut, we believe spot will continue to chop around this range until Q4. We maintain the view that the US elections accompanied with bullish seasonality could be the catalyst for all-time-highs.

Trade Ideas
BTC ACCUMULATOR
If you're like us and think BTC continues to trade around this 61k-70k range before the big breakout heading into the US elections (5 Nov), you can accumulate BTC spot at 9.1% discount (58,200) every week as long as spot is below 70,000.

Maturity: 1NOV24 (10 weeks)
Strike: 58,200 (-9.1%)
Upper Barrier: 70,000 (+9.4%)
Observation Frequency: Weekly
Spot Ref: 64,000

PRINCIPAL PROTECTED BTC RANGE ACCRUAL
With Basis still below 10% pa, generate 17% pa yield while BTC continues to trade around this 61k-70k range.

Coupon Rate: 17% pa in USD if BTC/USD fixes at-or-within the range 61k to 70k, 0% otherwise
Maturity: 8NOV24
Coupon Frequency: Weekly from 30AUG24
Full redemption 100% in USDC at maturity
Spot Ref: 64,000

QCP Asia Colour – 26 Aug 2024

- Post-Jackson Hole, the desk saw aggressive Call Spread buying, but also witnessed heavy selling of calls around the 100k strike out to Mar 2025. Does this mean that the market is bullish but not expecting a blow-out move so soon?

- Even with higher spot, BTC and ETH vols are currently more skewed for Puts than Calls till Oct. This is surprising given the overwhelmingly bullish sentiment. It possibly indicates that the market was well positioned for this move and was very quick to take profit by selling calls.

- While the move higher in price has been decisive, the vols are indicating hesitation in the market. As front-end vols drift lower, it is likely that BTC spot will continue to chop around the 62k-67k range in the near term.

- NVIDIA earnings (28 Aug) and US PCE (30 Aug) are due this week but we do not foresee any major surprises from these risk events.

Trade Idea:
The trend is your friend. Put on some bullish trades for Q4. Optimize upside with zero cost ERKO Seagulls.

BTC Dec ERKO Seagull
Buy 75k call with 100k knock-out
Sell 50k put
Cost: ZERO
Max payout: 148.4% pa or $25k per BTC if spot price is just below 100k level at expiry.
(Spot ref: 64,000)

QCP Asia Colour – 27 Aug 24

- Beyond the headline figures, the equal-weighted S&P 500 has reached an all-time high as bullish momentum broadens beyond just the Magnificent 7.

- Small-cap stocks have outperformed large-caps in 2 out of the last 3 rate cut regimes. Given the growing correlation between crypto and small-cap equities, could BTC outperform other risk assets?

What is the crypto market whispering?

- BTC spot ETFs have seen strong inflows for 12 consecutive days, while ETH spot ETFs have faced outflows for 8 days. BTC's dominance in the options market reflects the macro-driven nature of the current rate-cut regime.

- On the options desk, we're seeing modest call spread buying, while front-end vols have dropped. These signals suggest cautious optimism, and we don’t anticipate significant movement this week as markets await clarity on the extent of the September rate cut.

Trade Ideas
Ride out the rest of Q3 by accumulating BTC spot at 8.27% discount (57,600) every week as long as spot is below 67,000.

BTC ACCUMULATOR
Maturity: 1NOV24 (10 weeks)
Strike: 57,600 (-8.27%)
Upper Barrier: 67,000 (+6.7%)
Observation Frequency: Weekly

Spot ref: 62,780 BTCUSD

To learn more about what QCP can do for you, visit our website: https://www.qcpgroup.com/?utm_source=telegram&utm_medium=social&utm_campaign=marketinsights270824&utm_content=learnmore

QCP Asia Colour – 28 Aug 24

Powell was decidedly dovish during Jackson Hole, stating that the 'time has come' to lower interest rates to avoid the job from market cooling too much.

Last week's job revision of -800k added to this risk. We believe that the Fed's reaction function is now more skewed towards preventing a job market collapse, and the bar for a 50bps cut in Sep is much much lower.

The market is currently pricing in 4 cuts in 2024, despite only 3 meetings left.

US equity markets have been resilient, approaching ATHs. However, we remain cautious that US equities might peak again here, given declining trading volumes and NVDA earnings today. NVDA options are pricing up to a 10% move higher tonight.

We believe that any dip in equities (and crypto) will be short-lived. With Powell and the Fed ready to kickstart a rate-cutting cycle, increased liquidity will eventually push risk assets higher. We are finally on the cusp of a rate-cutting cycle.

Trade Idea
It's not about timing the market, but about time in the market. Given the crosswinds we face right now, timing the next rally is difficult. We prefer products that provide both yield and some upside convexity to capitalize on the move when it happens.

FIXED COUPON CONVERTIBLE (FCC)
Maturity: 8NOV24
Coupon Frequency: Weekly from 6SEP24
Coupon Rate: 30% p.a. if BTC/USD fixes above Coupon Level, 0% p.a. otherwise
Coupon Level: Above 55,000
Strike: 50,000
Protection Level: 46,000
Redemption: 100% in USD if BTC/USD fixes above Protection Level, 100% in BTC converted at the strike rate otherwise

To learn more about what QCP can do for you, visit our website: https://www.qcpgroup.com/?utm_source=telegram&utm_medium=social&utm_campaign=marketinsights280824&utm_content=learnmore

QCP Asia Colour – 29 Aug 24

Nvidia’s impressive earnings report last night triggered a classic “sell the news” reaction in the crypto markets today. Consequently, Bitcoin has slipped back to $59,000, and Ethereum is trading sluggishly around $2,500.

Front-end vols spiked overnight on the move lower in spot but has since sold off following the Nvidia earnings report, dropping around 10 vols from its peak. Risk reversals until Oct are still skewed towards Puts in both BTC and ETH, indicating that the market remains cautious about the downside.

In the lead-up to next week’s non-farm payroll report, we expect market volatility to continue its downtrend as the market positions itself for potential rate cuts by the Fed. Tonight’s US GDP report is likely to be a non-event for crypto, especially if it reinforces the ongoing narrative of a slowing US economy.

Trade Idea
Will we see more downside as we enter the 4th quarter of the year? With the absence of any catalysts in the near term, we anticipate prices to continue chopping within the range as we move into September.

Principal Protected BTC Range Accrual
Maturity: 22NOV24
Coupon Frequency: Weekly from 6SEP24
Coupon Range: 55,000 to 64,000
Coupon Rate: 15% p.a. in USD if BTC/USD fixes at-or-within Coupon Range, 0% pa otherwise

Spot Ref: 59,600

To learn more about QCP, visit: https://zpr.io/efV6UTCfHETk

QCP Weekend Brief – 31 Aug 24

This week, the crypto market saw Bitcoin rejecting $65k highs, reversing last week’s gains and sliding back into the 58k to 60k range.

BTC spot ETFs recorded four consecutive daily outflows, notably with BlackRock’s IBIT seeing its first outflows (-$13.5m) in nearly 4 months since May.

On the inflation front, US PCE numbers was softer than market expectations (2.5% YoY actual v 2.6% YoY expected), bolstering the case for a dovish Fed in Q4. Equities ended the month on a high, with the Dow posting a new record all time high.

What’s coming next?

A weaker than expected NFP print next week could potentially confirm a strong case for US rate cut in Q4 starting in Sep, with the probability now at 33.0% (25 bps) and 67% (50bps).

With the recent macro news proving to have little effect on the crypto market, we believe BTC is likely to remain range-bound within 58k-65k in the short term as the market awaits positive catalysts to break out of this range.

Trade Idea
BTC ACCUMULATOR
Continue accumulating more as the market trends sideways. Buy BTC spot at a 7.1% discount (55,000) every week if spot fixes below 68,000.

Maturity: 8NOV24 (10 weeks)
Strike: 55,000 (-7.1%)
Upper Barrier: 68,000 (+14.9%)
Observation Frequency: Weekly
Spot Ref: 59,200

QCP Asia Colour – 2 Sep 24

- BTC ended August down 8.6%. We started the month with the 'BOJ crash' and BTC was never able to recover above 65k. ETH performance in August is significantly poorer, down 22.2% in August on the back of alleged selling by Jump Trading.

- What should we expect in September? Historically, September seasonality is bearish with 6 of the last 7 Septembers in the red and with an average return of- 4.5% (which would take us to ~55k if we see the same this month).

- That doesn't seem too drastic especially after a turbulent August. We expect BTC to find strong support around 54k which is the level it bounced from in July before touching 70k.

- This week, we have Unemployment Claims on Thursday (5 Sep) and NFP on Friday (6 Sep). However, we are not expecting any fireworks especially with macro data having a decreasing impact on crypto prices over the past few weeks.

- We expect the vol curve to steepen further as frontend vols drift lower in a sideways market. At the same time, more long Calls are being rolled further out till March for both BTC and ETH. In fact another 200x BTC-28MAR25-120k-C was bought today, increasing its OI to 2.1k. In spite of the lull, there is still strong evidence of structural bullishness in the medium-term.

Trade Idea:
With interest rates heading downwards on impending rate cuts and basis yield on the lower end of the range, you can still generate a strong and stable yield with a CFCC (Conditional Fixed Coupon Convertible). Take advantage of lower spot to earn up to 23%pa.

BTC CFCC (8-Nov)
Earn 23% pa weekly as long as spot price is above 53k.
Strike: 50k
Protection: 40k
At expiry, only if spot price is below 40k, the USD deployed is converted to BTC at 50k.

QCP Asia Colour – 3 Sep 24

- September is typically a bearish month not just for crypto but across all asset classes (with bonds lower in 8 out of the last 10 Septembers and Gold lower every year since 2017).

- October, however, has the strongest bullish seasonality, with BTC showing positive returns and an average gain of 22.9% in 8 out of the last 9 Octobers.

- This seasonality play could explain the consistent call buying in the vol market (the desk observed another 150x 80k Dec calls lifted in Asia morning).

- If this pattern plays out again this year, it would be strategic to accumulate during the September dip and take profits in October or toward the year-end.

Trade Idea

September offers a compelling opportunity to accumulate BTC spot ahead of a potential rally in October and the upcoming U.S. election. Buy BTC spot at a 9.06% discount every week if it fixes below 63,000 with an Accumulator.

BTC Accumulator
Maturity: 8NOV24 (10 weeks)
Strike: 53.800 (-9.06%)
Upper Barrier: 63,000 (+6.49%)
Observation Frequency: Weekly
Spot Ref: 59,160