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
- 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
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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.
+ 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.
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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
- 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
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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
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
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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.
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 |
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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
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
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🎆 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
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 Group
Press Release: QCP Leverages Fireblocks to Revolutionize Digital Asset Collateral Management for Institutional Clients - QCP August…
New tri-party solution reduces counterparty risk, enhances security, and empowers institutional investors to retain control over their collateral. Singapore, 22 August 2024 – QCP, a leading digital asset trading firm, today announced that it is launching…
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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
- 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
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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)
- 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)
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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
- 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 Group
QCP - Asia's leading digital asset partner
We offer a range of tailored derivatives and spot trading as well as structured solutions to institutional, professional and accredited investors.
👍8❤6❤🔥2
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
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 Group
QCP - Asia's leading digital asset partner
We offer a range of tailored derivatives and spot trading as well as structured solutions to institutional, professional and accredited investors.
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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
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 Group
Homepage - QCP
Large volume trading in volatile markets requires personalised solutions, round-the-clock support and unparalleled execution. We offer a range of tailored
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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
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
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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.
- 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.
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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
- 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
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Volatility Alert: VMI Detects Potential Shifts - 4 Sep 24
- QCP's Volatility Momentum Indicator (VMI) has been triggered this morning for both BTC and ETH, indicating that the market is entering a period of heightened volatility.
- This signal is directionally agnostic, meaning it does not indicate spot direction but suggests that larger price movements are likely in the near-term (chart below showing BTC implied volatility on historical VMI signals).
Trade Idea
Historically, switching from yield-generating to long convexity (buy option) strategies on the back of the signal has helped to optimize portfolio returns.
Given the direction-agnostic nature of the signal, we would suggest cheap directional structures to amplify returns on a big spot move.
Bullish Uptober
25-Oct ERKO call
Strike: 60,000
Knock-out: 75,000
Cost: 2100 USD per
Max payout: 7.14x
Bearish Hedge
27-Sep ERKO Put
Strike: 55,000
Knock-out: 45,000
Cost: 1770 USD per
Max payout: 5.65x
Spot ref: 56,400
Live VMI signals are available to QCP clients. To receive VMI signals, kindly subscribe via your designated trading channel. For onboarding, please contact sales@qcp.capital.
- QCP's Volatility Momentum Indicator (VMI) has been triggered this morning for both BTC and ETH, indicating that the market is entering a period of heightened volatility.
- This signal is directionally agnostic, meaning it does not indicate spot direction but suggests that larger price movements are likely in the near-term (chart below showing BTC implied volatility on historical VMI signals).
Trade Idea
Historically, switching from yield-generating to long convexity (buy option) strategies on the back of the signal has helped to optimize portfolio returns.
Given the direction-agnostic nature of the signal, we would suggest cheap directional structures to amplify returns on a big spot move.
Bullish Uptober
25-Oct ERKO call
Strike: 60,000
Knock-out: 75,000
Cost: 2100 USD per
Max payout: 7.14x
Bearish Hedge
27-Sep ERKO Put
Strike: 55,000
Knock-out: 45,000
Cost: 1770 USD per
Max payout: 5.65x
Spot ref: 56,400
Live VMI signals are available to QCP clients. To receive VMI signals, kindly subscribe via your designated trading channel. For onboarding, please contact sales@qcp.capital.
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QCP Asia Colour – 5 Sep 24
- US JOLTS job openings printed their lowest level since January 2021, while layoffs rose to its highest since March 2023. The market reacted by pricing in a 50% chance of a 50bps rate cut in Sep and a total of 4.5 cuts for 2024.
- BTC rallied above 58.5k, and ETH close to 2,500 during US hours. However, the Asia session saw prices pull back to 57k for BTC and 2400 for ETH. Overnight BTC spot ETF outflow were the lowest in the last 6 sessions (-$37.5m). Could we see some price support from ETF inflows in US hours today?
- Front-end vols remain elevated for the week, with BTC vols rising 6% from the lows this week. We expect volatility to remain elevated given yesterday's VMI signal.
Trade Idea
Lock in yield in light of impending rate cuts.
Yield Bundle
Coupon: 25.5% pa ($3,493 per $100k deployment)
Basis + sell 10.8x of 50k/49k PS & 10.8x of 67/68k CS (expiry: 25-Oct)
Downside: If spot is below 49k or above 68k at expiry, max loss is $6,460.
Spot ref: 57,100
- US JOLTS job openings printed their lowest level since January 2021, while layoffs rose to its highest since March 2023. The market reacted by pricing in a 50% chance of a 50bps rate cut in Sep and a total of 4.5 cuts for 2024.
- BTC rallied above 58.5k, and ETH close to 2,500 during US hours. However, the Asia session saw prices pull back to 57k for BTC and 2400 for ETH. Overnight BTC spot ETF outflow were the lowest in the last 6 sessions (-$37.5m). Could we see some price support from ETF inflows in US hours today?
- Front-end vols remain elevated for the week, with BTC vols rising 6% from the lows this week. We expect volatility to remain elevated given yesterday's VMI signal.
Trade Idea
Lock in yield in light of impending rate cuts.
Yield Bundle
Coupon: 25.5% pa ($3,493 per $100k deployment)
Basis + sell 10.8x of 50k/49k PS & 10.8x of 67/68k CS (expiry: 25-Oct)
Downside: If spot is below 49k or above 68k at expiry, max loss is $6,460.
Spot ref: 57,100
👍9❤5
QCP Weekend Summary – 7 September 24
- US non-farm payrolls report for August came in lower-than-expected last night at 142K (est. 165K). Unemployment matched estimates at 4.2%, slightly down from the previous month’s 4.3%.
- The market’s initial response was positive sending risk assets on a rally. However, the bullish sentiment reversed sharply as the market started to price out 50 bps cut in Sep. Post-NFP the market was pricing in a 55% chance of a 50 bps cut. As of this morning, the market is pricing in a 70% chance of a 25bps cut and a 30% chance of a 50bps cut.
- Nvidia (NVDA) continued to sell off, weighing down on broader US equities indices and crypto prices. BTC traded to a low of $52,500 and is now finding support at $54,000 while ETH plummeted to $2,150.
- BTC spot ETFs also extended an 8-day outflow streak.
- Despite the overnight drop in crypto prices, the options market remained relatively calm. The desk even saw large put selling through the session. We are observing front-end vols drifting lower as spot consolidates into the weekend.
How should we navigate this?
In this period of heightened volatility where basis yield remains on the lower end of the range, a Fixed Coupon Convertible is an attractive product as it generates a strong and stable yield of up to 33% p.a.
Trade Idea
Conditional fixed Coupon Convertible (8-Nov 2024)
Earn weekly 33% p.a. coupons as long as BTC price is above 50,000
Strike: 45,000
Protection: 40,000
At expiry, only if BTC is below 40k, the USD deployed will be converted to BTC at 45k.
- US non-farm payrolls report for August came in lower-than-expected last night at 142K (est. 165K). Unemployment matched estimates at 4.2%, slightly down from the previous month’s 4.3%.
- The market’s initial response was positive sending risk assets on a rally. However, the bullish sentiment reversed sharply as the market started to price out 50 bps cut in Sep. Post-NFP the market was pricing in a 55% chance of a 50 bps cut. As of this morning, the market is pricing in a 70% chance of a 25bps cut and a 30% chance of a 50bps cut.
- Nvidia (NVDA) continued to sell off, weighing down on broader US equities indices and crypto prices. BTC traded to a low of $52,500 and is now finding support at $54,000 while ETH plummeted to $2,150.
- BTC spot ETFs also extended an 8-day outflow streak.
- Despite the overnight drop in crypto prices, the options market remained relatively calm. The desk even saw large put selling through the session. We are observing front-end vols drifting lower as spot consolidates into the weekend.
How should we navigate this?
In this period of heightened volatility where basis yield remains on the lower end of the range, a Fixed Coupon Convertible is an attractive product as it generates a strong and stable yield of up to 33% p.a.
Trade Idea
Conditional fixed Coupon Convertible (8-Nov 2024)
Earn weekly 33% p.a. coupons as long as BTC price is above 50,000
Strike: 45,000
Protection: 40,000
At expiry, only if BTC is below 40k, the USD deployed will be converted to BTC at 45k.
❤13🫡5👍3
QCP Asia Colour – 9 Sep 24
- Crypto has stabilized after last week's movement, but implied vols remain elevated. It seems the market is still anticipating potential volatility heading into this week's events, specifically the Trump v Harris debate (10 Sep, 9pm ET) and CPI (11 Sep, 830am ET).
- Given the velocity of last week's dip, the market is still very cautious about downside risk. Risk Reversals until October are still skewed towards Puts in both BTC and ETH.
- Even with all the near term noise and volatile price action, we remain structurally bullish. And it certainly looks like the market is also taking advantage of this leg lower to pile on more longer term bullish trades. This session we saw big buyers of 28MAR25 Calls (85k, 100k, 120k strikes).
Trade Idea
The bounce from 52.5k is definitely encouraging. So have we seen the bottom? Although we can't be certain, some institutions seem to think so as they take this opportunity to add to their bullish bets in Dec and Mar. With a ZERO cost ERKO Seagull, you will also be able to express your bullish view efficiently.
BTC Dec ERKO Seagull
Buy 70k call with 100k knock-out
Sell 42k put
Cost: ZERO
Max payout: 239% pa or $30k per BTC if spot price is just below 100k level at expiry.
(Spot ref: 55,200)
- Crypto has stabilized after last week's movement, but implied vols remain elevated. It seems the market is still anticipating potential volatility heading into this week's events, specifically the Trump v Harris debate (10 Sep, 9pm ET) and CPI (11 Sep, 830am ET).
- Given the velocity of last week's dip, the market is still very cautious about downside risk. Risk Reversals until October are still skewed towards Puts in both BTC and ETH.
- Even with all the near term noise and volatile price action, we remain structurally bullish. And it certainly looks like the market is also taking advantage of this leg lower to pile on more longer term bullish trades. This session we saw big buyers of 28MAR25 Calls (85k, 100k, 120k strikes).
Trade Idea
The bounce from 52.5k is definitely encouraging. So have we seen the bottom? Although we can't be certain, some institutions seem to think so as they take this opportunity to add to their bullish bets in Dec and Mar. With a ZERO cost ERKO Seagull, you will also be able to express your bullish view efficiently.
BTC Dec ERKO Seagull
Buy 70k call with 100k knock-out
Sell 42k put
Cost: ZERO
Max payout: 239% pa or $30k per BTC if spot price is just below 100k level at expiry.
(Spot ref: 55,200)
🥰11❤8
QCP Asia Colour – 10 Sep 24
- Macro uncertainty dominates the crypto market ahead of the presidential debate, with the 30-day correlation to the MSCI World Equity Index reaching 0.6, near a 2-year high.
- The desk saw heavy buying in the 11 Sep options, with 400 contracts at the 57.5k strike. The options market is implying a movement of more than 3.3% from the current spot of 56.8k by tomorrow's expiry post debate.
Trump vs. Harris Debate Preview:
-The market will be watching closely for Kamala's policy cues in her debut debate, especially in contrast to Trump's clearer stance on lowering corporate taxes and raising tariffs, both of which are seen as inflationary.
- While BTC is generally seen as the "Trump trade" due to his vocal support for crypto, we believe the real surprise could come from Harris if she brings up crypto positively during her campaign.
Trade Idea
Boosted by BTC spot ETF flows turning positive after an 8-day losing streak, we reiterate our structurally bullish stance in Q4. We favor earning stable yield while gaining upside convexity exposure at current spot levels.
Weekly Range Accrual + Topside Convexity
- Receive weekly 6% p.a. coupon if fixes between 60k & 70k
- If spot breaks above range and fixes just below 80k at expiry, you get an additional payout up to 59.7% p.a.
Range Accrual Component
Maturity: 27DEC24
Coupon Frequency: Weekly from 20SEP24
Coupon Rate: 6% p.a. in USD if BTC/USD fixes at-or-within Coupon Range, 0% pa otherwise
Coupon Range: 60,000 to 70,000 BTC/USD
ERKO component
Maturity: 27DEC24
Strike: 70,000 BTC/USD
Barrier: 80,000 BTC/USD
Max Potential Payout: 59.7% p.a.
Spot Ref: 56,800
- Macro uncertainty dominates the crypto market ahead of the presidential debate, with the 30-day correlation to the MSCI World Equity Index reaching 0.6, near a 2-year high.
- The desk saw heavy buying in the 11 Sep options, with 400 contracts at the 57.5k strike. The options market is implying a movement of more than 3.3% from the current spot of 56.8k by tomorrow's expiry post debate.
Trump vs. Harris Debate Preview:
-The market will be watching closely for Kamala's policy cues in her debut debate, especially in contrast to Trump's clearer stance on lowering corporate taxes and raising tariffs, both of which are seen as inflationary.
- While BTC is generally seen as the "Trump trade" due to his vocal support for crypto, we believe the real surprise could come from Harris if she brings up crypto positively during her campaign.
Trade Idea
Boosted by BTC spot ETF flows turning positive after an 8-day losing streak, we reiterate our structurally bullish stance in Q4. We favor earning stable yield while gaining upside convexity exposure at current spot levels.
Weekly Range Accrual + Topside Convexity
- Receive weekly 6% p.a. coupon if fixes between 60k & 70k
- If spot breaks above range and fixes just below 80k at expiry, you get an additional payout up to 59.7% p.a.
Range Accrual Component
Maturity: 27DEC24
Coupon Frequency: Weekly from 20SEP24
Coupon Rate: 6% p.a. in USD if BTC/USD fixes at-or-within Coupon Range, 0% pa otherwise
Coupon Range: 60,000 to 70,000 BTC/USD
ERKO component
Maturity: 27DEC24
Strike: 70,000 BTC/USD
Barrier: 80,000 BTC/USD
Max Potential Payout: 59.7% p.a.
Spot Ref: 56,800
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