BY GREG MAGADINI
June 24, 2024
Hey Crypto Traders!
Here is the latest Crypto update
Monday: Fed Governors Speak
Tuesday: Fed Governors Speak
Friday: Fed Governors Speak
Tuesday 9am: S&P Case Shiller Index
Thursday 8:30am: GDP (2nd Revision)
Friday 8:30am: PCE
MACRO
Strong economic data has forced yields higher and precious metals lower on Friday.
This continues to stand in the way of digital hard-assets like Crypto.
This week we have multiple Fed Governors speaking, GDP and most importantly PCE on Friday (the Fed’s favourite inflation indicator).
Outside of these items, most of the focus this week will be how crypto continues to perform given the down-trend in volatility and the inability for crypto to rally on good news.
BTC: $64,018 (-3.4% / 7-day)
ETH :$3,468 (-3.8% / 7-day)
SOL :$130.28 (-11.7% / 7-day)
ETH
Ethereum has had a string of positive fundamental news catalysts.
On June 19, 2024, the United States Securities and Exchange Commission (SEC) closed its investigation into whether Ether should be classified as a security. (more here)
ETF analyst Eric Balchunas thinks ETH ETF trading could start by July 2nd (more here)
But despite the positive fundamental news, spot prices just can’t seem to hold onto their recent gains.
Looking at the gamma positioning of dealers, we can see dealers are now back to neutral exposure after a wave of vol buying from the street.
Mid-May’s ETH ETF spike caused dealers to hit negative gamma exposure… but now things are back to neutral.
Breaking apart the strike profiles of dealer positioning we can see ATM and near money calls are owned by dealers.
However, at $4,000 things get really interesting.
Looking at the block flows this week, we see a ton of buying activity for the September $4,000 calls.
Massive OI buildup as traders buy the $4,000 calls, betting if ETH gets above $4k we likely test and breakout new all-time-highs.
However, until we get through $4k, I suspect vol heads lower and spot prices retrace their post ETF spike gains… potentially testing $3k and below once more.
BTC
Looking at Bitcoin realized volatility we’re seeing a continued grind lower as 30-day RV is below the 25% percentile.
We can see a consistent trend lower beginning in May of this year. Remember low-vol zones can stick around a long time.
I think this trend likely continues to lower volatility in the short-term and medium-term, now that a lot of the recent excitement has faded-away.
Month-over-month, the term structure has not only shifted lower but also steepened a lot in terms of Contango.
Given the current VRP being about 12pts and relatively stable, my bias is to sell optionality as opposed to owning it for the summer 2024 trade. Enjoy term-structure roll-down, stagnant markets and a decently high VRP.
Paradigm’s Week In Review
BTC -3.53% / ETH -2.65% / NDX +0.22%
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 down. ETH ended the week -5.74% and oSQTH ended the week at -13.22%.
Volatility
oSQTH IV was active this week trading in a lower range, in the 60s, and higher range of 90s just to end in the 70s.
Crab Strategy
Crab saw slight declines ending the week -0.29% in USDC terms.
Talk soon,
-Greg Magadini
Greg Magadini
Director of Derivatives, Amberdata
See what's hot at option pit
CAPITOL GAINS: SMR Aug16 7 call closed for a 150% gain
DELTA STRIKE: VLY Mar15 8 puts closed for a 88% gain
PFE May17 26 calls closed for a 66% win
OP MENTORING: SPY Mar22/19 510 put calendars and 520 calls for 6.4% gain
OPTION SHOPPER: ERX Mar28 65 calls closed for a 90% gain