Key Takeaways

• Despite an early week selloff price action has been muted since

• Short term vols spiked on selloff, and while they were crushed midweek have rebounded since.Long term vols remain quite stable

• Term futures basis drew down, then leveled off and has remained muted since

Looking back
Following BTC’s initial selloff down to around $39,200, it’s been a fairly quiet week for the world's largest cryptocurrency. The only action of note was a move sharply higher through $41k, which quickly reversed back to the prior doldrums. While at times it seemed as though BTC was capable of slowly grinding higher, as of yet, its unable to get back above that $41k level. Similar price action has been seen in ETH, as it also had a slow week, with a spike and reversal through and back from $3100 serving as the big move. On the other hand, SOL was notable for having experienced a much more volatile start to the week, whipsawing within the $99 to $107 range, before settling down into a similar pattern as the market at large.

Client flow in BTC and ETH has been fairly balanced, with a slight bias towards buying in BTC and nearly dead even in ETH. More notably, XLM has seen incredibly strong buy flows, as have MAT and ADA, but to a lesser extent. When breaking down flow by our client categories, we see decent buying from most clients, with crypto exchanges and family offices standing out in particular. The exception to that are retail and OTC brokers, which both had quite even flows. Finally, APAC and EMEA demonstrated a massive bias towards the buy side, with the Americas having a slight bias to sell.

In the futures space, moves in the basis have reflected recent spot price action quite closely. Following the spot selloff that started the week, the 3 month BTC futures basis moved from 3-4.25% across major exchanges down to 2-3.5%, with that range staying quite stable since. The ETH 3 month future basis presents a similar story, moving from 2.5-3.5% down to 1.5-2.5% and leveling off around there.

While the selloff at the beginning of the week prompted a spike in short term vols, with 1 week ATM BTC vol from 49% to 59%, that move did not hold with 1 month BTC vols stable around 55% and 1 week dropping as low as 45.5% before rebounding to the low 50s. Longer term vols have been more stable over the entire week, with 3 month BTC vol down only 2.4 vols, from about 65% to 62.6%. Skew for all tenors has slowly marched up for puts, as the market may be expecting the next move of note to be lower. The ETH vol surface has performed similarly, with long term vols quite stable, and put options continuing to get bid up over calls.

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Looking ahead
It’s been a slow and tedious week in the market and, despite BTC and ETH dropping back below $40k and $3000, there doesn’t seem to be much that will signal a change of pace. The options market seems to be working its way into a prime position for price breakdown, and following recent selloffs, the quiet of last week may very well be the calm before a move lower.

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