QCP New York Colour - 5 July 24

- Crypto prices corrected violently in Asia today with BTC and ETH trading below $54,000 and $2,900 respectively, before recovering to $55,000 and $2,950 ahead of the US open.

- Front-end vols spiked as market makers scrambled to buy gamma.

Reasons for the dip

- The market reacted to news of imminent BTC supply which included transfers by Mt. Gox and the German Government. Speculators likely oversold heavily in anticipation, triggering liquidations around $58,000 in thin markets over the US holiday.

Our view

- Spot prices have stabilised suggesting decent support around 54k. Panic has also died down with front-end vols easing significantly from 65 to below 50 for BTC and from 80 to 62 for ETH.

- Today’s US jobs data showed downward revisions for both the April and May numbers. This confirms Powell's disinflationary path and potentially earlier rate cuts with both September and December starting to price a higher probability.

Trade Idea

The desk has seen a rush from clients to deploy Accumulators today. The vol spike plus dip in spot price allows one to collect ETH below 2700 (a 9.6% discount!)

ETH Accumulator
Buy ETH spot at 9.6% discount (2,680) every week

Maturity: 27SEP24 (12 Weeks)
Strike: 2,680 (-9.62%)
Upper Barrier: 3,550 (+19.73%)
Observation Frequency: Weekly

Spot Ref: 2,960 ETHUSD