0/ What are crypto markets signalling right now?
To find out check out Option's insight weekly Tuesday crypto breakdown below 🧵👇
1/ Strong correlation to risk assets after rejecting key resistance levels and Russia tensions escalating. No "safe haven" bid as many had hoped for as the marginal crypto investor is trading this like a high beta risk asset. Tighter FED policy will cast a shadow this year.
2/ ETF flows have picked up suggesting some insto bid and also libertarians up in arms after Canadian authorities go all in against #freedomconvoy22. Nice piece from @Blockworks_ on #BTC role
3/ #ETH staying true to it's higher beta than Bitcoin and rolling over swiftly. It looks like 2400 is a key level to hold here, below that opens a path towards 1700 (eeek!)
4/ From @glassnode insights this week my takeaways were that pain looks to have been taken by short term holders especially on the weekend break below 40k. Low active entities and low leverage in futures suggest cleaner positioning. Spec longs in hiding! Downside exhaustion?
5/ Realised vol in crypto has remained stable whilst implied had a nice spike on Russian fears. This is the first time we have seen some significant volatility risk premium come back into the curve this year. Doubt it will last long as DOV flows keep growing.
6/ Standard term structure inversion on a macro led selloff provides opportunity to fade using long calendar spreads, particularly on upside strikes. Long dated vol reaction muted as vega shorts seem preferred by MMs against picking up cheap gamma every week.
7/ Put skew firms up on the geopolitical risk but remains below 2022 highs as realised moves have not been so violent so far. A break below Jan lows needed for skew to go ballistic!
8/ Flows were fairly uninteresting, highlight would be the large Jun22 7000/10000 call spreads. Drop in open interest suggests a 10k position being rolled down. check out @GenesisVol newsletter for more detail.
genesisvolatility.substack.com/p/crypto-optio…
9/ As always thanks to all the usual suspects for helping us stay on top of the crypto vol space @PelionCap @fb_gravitysucks @GenesisVol @DeribitInsights @QCPCapital
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