• Majors fail to follow through after topside breakout
• Major test of support last Friday, probably due to month/quarter end selling
• DOT and LUNA outperformers over the week
• Implied vols remain heavy with spot/vol correlation strongly negative
BTC has failed to follow through to the topside so far, and actually threatened to break lower again last Friday, but held at $44,200. ETH has outperformed BTC to the tune of 7%, due possibly to an article claiming that ETH may be valued as a perpetual bond and could therefore be worth 100x more than current prices. SOL and LUNA have both outperformed, up between 20-25% on the week.
Our clients have been marginal sellers of BTC and ETH this week, and we have seen a strong bias towards buying in SOL, LUNA and DOT, while we saw selling in XTZ. By client type, our strongest buyers were OTC brokers, and strongest sellers were exchanges and retail brokers. By region, APAC clients were strong sellers.
After the recent move higher in futures basis, things have again stabilised, with 3-month basis remaining between 5-6% on major exchanges. OTC lend/borrow activity remains low.
Vols have continued to move lower, although they did spike briefly higher on Friday with the dip in spot, showing that all current supply of vols is coming from ATMs and calls. It is also worth noting that 3-month vols have dropped a little more than 2-week, meaning this is not necessarily a gamma/theta issue, more just oversupply of vega while spot is in the mid-$40ks. With June ATM vol down into the high 50s, anyone looking at a medium term view in BTC will likely consider using options. BTC 3-month ATM vol has had very little time below 60% since March 2019.
Macro data points during the week include the Fed minutes on Wednesday, but given that most of the members have spoken in public since the meeting, we don't expect too much volatility. Instead, we will be watching the tone coming out of Bitcoin 2022 in Miami later this week, and also technical support on BTC and ETH at $44,000 and $3,200 respectively.
All data sourced from our real time systems supporting global 24/7 crypto liquidity provision
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