QCP London / New York Colour – 15 Mar 24

- Volatility hit the market even before the weekend with BTC dipping to 65,565 and ETH to 3,566 so far.
- Overnight BTC spot ETF inflows came in weak at $132.7m nett which is a very steep drop in demand.
- The negative risk reversals reported this morning has deepened and extended all the way out to May; the market is particularly nervous about BTC below 65k and ETH below 3k level.
- We've also seen some sizeable unwinding of calls by institutional players who were the ones buying calls aggressively on the way up.
- The whole BTC forward curve has also dropped by around 3-4% since this morning. This is possibly one of last chances to lock in some basis yield before the curve normalises to its usual 8-10% level (still around 18-25%).

Downside Hedge Idea: BTC or ETH Put Spreads

Example:
29Mar2024 60/50k Put Spread
Cost is $1190 per BTC
(spot ref: 67k)
The structure starts to pay out if BTC expires below 60k level and reaches max payout of $10k per BTC if price is 50k or lower at expiry.