Crypto Options Analytics: July 21st, 2024
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Disclaimer: Nothing here is trading advice or solicitation. This is for educational purposes only.
Authors have holdings in BTC, ETH and Lyra and may change their holdings anytime.
Math-minded people here, pardon any typos.
Tuesday 9:45a: PMI
Thursday 8:30a: GDP
Friday 8:30a: PCE
MACRO
This upcoming week we have a rather small amount of economic data releases, for the exception of PCE.
The big macro moving pieces will be focused on developments for the US election.
We have Joe Biden who just announced today that he will be stepping down from the 2024 election race and endorsed Kamala Harris.
Should Harris also not be the nominee, then we will see a lot of things potentially move this week.
President Trump is also scheduled to speak on 7/27 in Nashville for the Bitcoin Conference, this is sure to be bullish. Trump is likely to talk up his crypto stance as much as possible, which in my opinion, could be a catalyst for BTC to break into new ATH’s past $73k.
Next week, FOMC and NFP will be the big market moving macro events.
BTC: $68,018 (+11.2% / 7-day)
ETH :$3,531 (+8.8% / 7-day)
SOL :$183.28 (+23.1% / 7-day)
Crypto
As mentioned earlier, this week we’re going to hear Trump speak at the Nashville Bitcoin conference. As long as Trump remains a front-runner, this is potential catalyst for "something to happen” this week.
The derivative markets seem to agree, we’re seeing pricing support the “something is about to happen” narrative!
As BTC rallies towards a new ATH and the BTC conference nears, the option market has seen an expansion in the VRP (implied volatility pricing in excess of realized volatility).
Today it stands at nearly +30pts.
This is not only a reflection of lower realized volatility, but also increasing implied volatility.
To further highlight this fact, you can see the large +10pts shift higher in IV week-over-week.
Something we don’t often talk about, but merits a shoutout this week, is the spike higher in ∆25 wings versus ATM volatility.
This type of activity in the option market reflects the anticipation for higher return distribution “Kurtosis” or “Fat-Tails”.
Although not as high as October 2023, this shift higher vs last week is real.
Not to mention October 2023 saw an exceptional move higher for BTC prices.
Looking at the dealer inventory of the options market, we see that the jump higher in implied volatility is driven by real buying demand from the street.
Dealers are short A LOT of optionality at the $70,000 strike as investors anticipate a explosion through $70k and into new ATHs.
Net gamma exposure across the board, is near the shortest levels ever seen for dealers.
Delta one products have also seen a buildup in open interest week-over-week. Today the total OI is near YTD highs.
Despite the high open interest in delta one products, the futures basis isn’t overly elevated and suggests that longs aren’t overpaying here. There’s more room to run higher in Basis, which I’d expect to happen should BTC break past $73k.
TL:DR - Something is going to happen this week! Could this potentially signal BTC is breaking higher to new ATHs?!
Paradigm's Week In Review
BTC +2.80% / ETH +0.37% / NDX -4.60%
Paradigm Top Trades This Week
Weekly BTC Cumulative Taker Flow
Weekly ETH Cumulative Taker Flow
BTC Cumulative OI
ETH Cumulative OI
BTC
ETH
The Squeethcosystem Report
Crypto markets remained active, ending the week positive. ETH ended the week +8.43% and oSQTH ended the week at +14.88%.
Volatility
oSQTH IV remains sub 60% vs. its ref vol. at 74.93%.
Crab Strategy
Crab saw gains ending the week +0.16%.
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AMBERDATA DISCLAIMER: The information provided in this research is for educational purposes only and is not investment or financial advice. Please do your own research before making any investment decisions. None of the information in this report constitutes, or should be relied on as a suggestion, offer, or other solicitation to engage in, or refrain from engaging, in any purchase, sale, or any other investment-related activity. Cryptocurrency investments are volatile and high risk in nature. Don't invest more than what you can afford to lose.