Paradigm Block Insights (15May - 21May) @genesisvol 🧵
Crypto majors roughly as vols move sharply lower across BTC and ETH curves.
ETH 1M vols trade <40v, under BTC, as curves move into steeper contango driven by the front-end drip lower.
BTC -1.5% / ETH -1% / NDX +3.5%

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🧵2/7

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Paradigm Asia / Europe Session Hours - 19-May-23

APAC session saw strong two-way action specifically in the Sep 28k straddles with takers both buying in selling in RFQ + OB. EU has seen continuation of selling in the May 27k straddles.

1/5 🧵 It appears participants are trying to pick a bottom despite the low RV with a willingness to swallow a week or two of decay whilst picking up some mid dated IV.

2/5 🧵

Paradigm EOD Recap 🇺🇸 - 03/14/2023 🟪

A very busy day as spot roundtrips post-CPI from 24k up to 26.4k and back to roughly 24.5k. Options volumes have exploded given recent moves with Deribit 24hr option volumes +$3b.

t.me/Paradigm_Marke…

1/6 🧵 Unsurprisingly, peaks in implieds coincide with peaks in spot as BTC finally breaks the psychological 25k level. The Mar 26k call has traded in a range of 58v-69v in the past 8 hours.

2/6 🧵

1/ Insane last couple of days. 🤯

Let's look at how the Options market reacted. 👇

The Spot/Vol correlation decoupled from the recent status quo in terms of (spot-up/vol-up) as Option buyers started to become cognizant of the potential for further downside. 2/ Term Structure has become heavily backwardated in both $BTC and $ETH with IV’s shifting up significantly across the board.

Term structure richness has continued to climb as short-dated volatility has exploded.

In addition to everything else going on, we’ve got two important data releases this week: CPI and PPI 🏦 🧵

👇👇👇 US CPI on Tuesday at 8:30am EST

Forecast: 6% YoY

investing.com/economic-calen…

Paradigm Block Insights (06Mar - 12Mar) @genesisvol 🧵

What a week… High options volumes amidst the turbulence in markets.

Heavy downside buying alongside spot selloff drove strong moves in skew.

BTC -6% / ETH unch. / NDX -4.3%

🧵1/9 🌊 Paradigm saw takers primarily bid for downside, kicked off by notable protection scooped early in the week, pre-selloff:

2000x Apr 16k/14k/12k Put Fly bought
1000x Mar 19k Put bought

🧵2/9

Paradigm Interdealer Flow in FTX Aftermath🧵

On last week’s “The Big Picture”, @jkruy26 discussed lower buyside taker interest since FTX, and the crypto option market feeling more “interdealer” than before.

What does this mean?

1/7 🧵 More buyside takers (hedge funds / family offices / HNW) sitting on the sidelines, and a higher proportion of Paradigm volumes occurring between market makers.

2/7🧵

Paradigm EOD Recap 🇺🇸 - 12/12/2022 🟪

BTC calendars and call spreads trading in good size, as well as some gamma buying ahead of CPI tomorrow / FOMC on Wednesday.

SPX 7D realized is <20v (roughly SPX)...ouch.

1/4 🧵 Top BTC Structures on Paradigm 💥

1. Bought 600x 31-Mar-23 36000 / 30-Jun-23 25000 Call Calendar
2. Bought 500x 31-Mar-23 25000/36000 Call Spread
3. Bought 345x 30-Dec-22 10000/12000 Put Spread
4. Bought 250x 30-Dec-22 16000 Put

2/4 🧵

Paradigm Block Commentary 🇪🇺 07/18/2022

🔥start to the week with Fed hawks Waller and Bullard pouring cold water on 100bps for July giving risk a boost Friday, supported by a softening of 5yr inflation expectations in the Uni Mich survey and the 🌊continues into Monday

1/5 🧵 Adding to the positive mood are expectations that 🇨🇳 will deliver policy easing on Wed. 💲 continues to soften from the post CPI highs. Equities ⬆️ commods ⬆️ bonds ⬇️ in a broad risk on move 🕺 

2/5 🧵

Paradigm Weekly DOV Recap

A weekly recap of the DOV Auctions in Defi run through @tradeparadigm including number of participants, clearing price, auction duration and sneak previews of next week's auctions🔥!

This week the focus was on the large ETH's 3-way split vault!🤔 Auction Analysis - @ribbonfinance:

1) WBTC 22 Jul 24,000 Call in ~415 BTC (~$8.6m)

Number of Makers: 5
Duration of Auction: 4'11"
Winning Price: 0.23% BTC
Comparable CeFi (Deribit) Price: 0.20% BTC
% Improve vs Screen: 15%

🟪 Paradigm Block Insights (11 July – 16 July) @GenesisVol 🧵

A nice week with ETH +12.5% and SOL +6.2%, vs. BTC lagging behind +3.1%. Today's ETH action the main driver of the WoW outperformance.

Due to the move, we want to share insights now instead of tomorrow!

🧵1/9 🌊ETH

Why ETH +10% today? Over 40k ETH 29Jul calls bot on Fri. afternoon set up spot for a gamma squeeze into an illiquid Sat. tape. 🚀

Given ETH merge news occurred on Fri., we don’t view this as the main driver.

29Jul 1400 call bot 17k
29Jul 1500 call bot 16k

🧵2/9

Paradigm Block Commentary 🇪🇺 07/15/2022

Better tone to risk to round out a difficult week 😅 Fed hawks Waller and Bullard leaning towards 75bps for July easing a little out of the front end. 2yr yields off circa 10bps from the highs with bonds broadly 📈

1/4 🧵 Bitcoin and the crypto complex trading 💪 with plenty of room to catch up to the move in ED futures as cuts get priced for 2023 👀 Paradigm flows seeing better demand for topside BTC ⚡️

2/4 🧵

Paradigm EOD Recap (US) - 07/14/2022 🟪

Top 5 BTC Structures on Paradigm💥
1. 325x Put 22 Jul 18000 bot
2. 225x Call 22 Jul 22000 bot
3. 125x CSpd 30 Jun 23 23000/40000 bot
4. 100x RRPut 30 Dec 10000/45000 sold
5. 100x Strd 16 Jul 20500 sold

🧵1/4 Top 5 ETH Structures on Paradigm💥
1. 5080x Call 29 Jul 22 1600 bot
2. 2250x Call 29 Jul 22 1300 bot
3. 2000x Call 26 Aug 22 1300 bot
4. 2000x Call 31 Mar 23 2000 bot
5. 1500x Put 26 Aug 22 850 sold

🧵2/4

Paradigm Block Commentary 🇪🇺 07/14/2022

Recession fears dominate post CPI as markets price 90bps for July with global Central Banks forced to tighten, despite the slowdown 😬

1/4 🧵 Stocks lower circa 1% across the board 🔪 Commodities heavy with WTI down 3% pushing new lows. US 2s10s some 25bps inverted screaming recession😱whilst 💲steamrolls on.

2/4 🧵

Paradigm Block Commentary (U.S.) 🇺🇸 - 07/13/2022 🟪

Good day. US Inflation reaches 9.1% in June sending risk assets south and vols surging higher for a fleeting moment this morning before spot rebounded higher. Pre CPI we saw a buyer of 412.5x 29Jul 20k BTC Straddles.

🧵1/5 🔥Post-print some were using the vol reset to buy BTC vol / downside.

On Paradigm, in GRFQ shortly after the print we saw a flurry of PSpd calendars bot, 850x 29Jul 18k / 26Aug 15k.

Followed shortly after by 258x 29Jul 17k/18k/19k PFlies being bot.

🧵2/5

Paradigm Block Commentary 🇪🇺 07/12/2022

Parity 🎉in EUR$ as the energy crisis continues to weigh heavy and global slowdown fears keeps momentum for 💲 higher. Yellen and 🇯🇵 Finmin agreeing to address ccy volatility perhaps a sign the dollar wrecking ball gone too far 🧐

1/5 🧵 Lockdowns in 🇨🇳 adding to global growth fears and ahead of CPI tomorrow, a continuation of risk off: Stocks lower, bonds bid, commodities 🔨 with🛢off 5% 👀

2/5 🧵

Paradigm Block Commentary (U.S.) 🇺🇸 - 07/11/2022 🟪

While overnight option flows concentrated in upside, we see the exact opposite in the US session with decent clips of BTC / ETH put spreads bot this AM.

1/5 🧵 Owning July vol makes sense with front month BTC trading back in the high 60s (10d RV = 70.3, 28d RV = 96.3). 🧠 @GenesisVol

We think crypto contagion risk takes a backseat for now, especially given lack of 3AC cooperation around liquidations.

2/5 🧵

🟪 Paradigm Block Insights (4 July – 10 July) @GenesisVol 🧵

Crypto majors moved higher this week given US tech outperformance (NDX +5.7% WoW), dissipating crypto contagion risk, and rates / oil prices still well off the highs.

BTC +7.6% / ETH +8.3% / SOL +9.6%

🧵1/10 @GenesisVol Term structure is back to upward sloping given the spot rally, with the belly of the BTC curve trading in the high 60s (30D realized: 67.5v).
Vol Risk-reward has improved, we like owning gamma into next week.
15Jul: 67.5
29Jul: 67.6
Aug: 68.7
Sep: 69.6
Dec: 71.2
Mar: 71

🧵2/10

Paradigm Weekly DOV Recap

A weekly recap of the DOV Auctions in Defi run through @tradeparadigm including number of bidders, clearing price, auction duration and previews of the following week's auctions!

And we look at the first EVER split vault auction and its results!🚀🚀 Auction Analysis - @ribbonfinance:

1) WBTC 15 Jul 25000 Call in ~200 BTC (~$4.3m)

Number of Makers: 4
Duration of Auction: 2'25"
Winning Price: 0.235% BTC
Comparable CeFi (Deribit) Price: 0.20% BTC

A quick auction for the 1st tranche and still beats screen by 18%!🔥🔥

Paradigm Insights just published a very interesting piece by @samchepal at @ledger_prime – How To Quantitatively Price @stablekwon ‘s Luna Binary Bet 👇
paradigm.co/blog/do-kwons-… 1. A few weeks ago we witnessed a duel between @stablekwon and @AlgodTrading in a public wager on LUNA's future price action. In this piece written with @tradeparadigm we analyze how this bet could be priced using options pricing theory + who got rugged on this trade...