1/ sorry for the long thread: I’ve had many convos around the SEC approval of IBIT options. my smart colleagues in the industry (h/t @dgt10011) have written great commentary around it...

my own views are more nuanced and tempered, but as always expect the unexpected in crypto: 2/ first things first, we have to remember crypto already has a well-known and extremely liquid (by crypto standards) options venue called Deribit. it trades ~$40 bn notional monthly in BTC options. this compares to CME at ~$3bn

1/ the CME futures roll traded at dizzying, near-historic wides during last week’s Nov to Dec roll window, touching 23%+ annualized at times, making it briefly one of the most attractive risk-adjusted trades in crypto 2/ we know tradfi guys / macro tourists are already long crypto ahead of ETF news, they’ve built the position over the last few months and are now paying handsomely to roll it

commitment of traders data showing asset managers increased length by about $1bn since end of Sep

1/ today's massive BTC options print on CME demonstrates a larger trend happening in crypto options 2/ at 11:11 AM ET, customer bought 600x of the May 32k / 38k call spread, each contract has a 5 BTC multiplier, so the notional of this trade is $82mm. customer paid $1085 per unit = $3.26mm in premium for a max payout of $18mm at maturity

1/ this is how I think the mango attack played out, please let me know if I got anything wrong:

at 6:19 PM ET, attacker funded acct A (CQvKS...) with 5mm USDC collateral

trade.mango.markets/account?pubkey…

https://twitter.com/osec_io/status/1579969927020412929

2/ attacker then offered out 483mm units of MNGO perps on the order book

1/ quick thread on the GMX "exploit" last night

having sat on crypto dealing desks for many years, I know that offering liquidity to savvy traders is a painful but necessary part of the game

GLP holders learned that same lesson last night! 2/ last night, trader X successfully extracted profits from GMX's AVAX/USD market by opening large positions at 0 slippage, then moving AVAX/USD on other venues in their favor

this created a sinusoidal pattern for over an hour as X switched from long to short 5 times

1/ BTC has lagged the performance of other crypto assets through the last cycle

most traders intuitively feel that BTC trades “heavy” – why is this happening?

there’s two simple metrics we can look at to validate what we intuitively feel: 2/ first metric is the ETH/BTC ratio, ETH price divided by BTC price, which is 0.0733. this is still near multi-year highs of 0.0880 which we touched prior to the Fed-induced meltdown in risk assets in Dec 2021

1/ what's next for crypto mkts: contagion risk edition

today’s relief rally across risk assets saw equities regain the 4k level in S&P 500

VIX is showing a risk barometer reading of 29, down as much as 6 points from last wk, when SPX was 3% higher! 2/ we're seeing a somewhat orderly equity de-risking last 2 weeks and plenty of cash on sidelines waiting for liquidation to abate

crypto of course saw a lot more chaos with structural issues in the market and fear of contagion

1/ random thoughts on mkts here:

liquid crypto mkts have been more difficult to navigate since Dec. allocators are reluctant to aggressively deploy risk into crypto with FOMC and Russia/Ukraine headlines driving macro assets across the board. BTC is moving on a 2ish beta to SPX 2/ BTC vs equities correlation is realizing 60-70 to start 2022. this is up from 10-40 corr through most of 2021

1/ BTC and ETH long-dated implied vols are plumbing multi-year lows. what is causing this and where do we go from here? a thread: 2/ in previous years, our trading desk would see regular supply in 6-12 month vega from dealers hedging books. there's less systematic flow of this type hitting screens now -- this goes hand in hand w dealers having larger balance sheets and being more willing to warehouse risk