Crypto Carnage Continues


The correlation between SPX and BTC has risen to around 65% meaning BTC’s short term fate will likely be determined by what stock do post-FOMC this week.


Alts got killed, so if you have dry powder, this could be the chance to start snapping up some other L1s like Solana, AVAX, LUNA and FANTOM.


Looking at the on-chain stuff this week, we notice that has not hit 50% from the highs , which is not far off last summer’s crash. What we look for to get a sense that this might have put in a bottom, at least in the short term, is how many losses have been realised. I had flagged that as prices had fallen recently there hadn’t been enough of a flush out and pain taken by short term holders. Well, we finally got it with…


With markets crashing, realised vol jumped to levels far above implied, this normally shows that implieds don’t expect the volatility to persist,, however these days it may be more due to the expectation of further vol supply which keeps options trading “cheap” relative to realised, providing gamma traders an opportunity to own good value gamma.


Mixed flows in BTC this week, from short dated strangles in the front 2 weeks, calls and call calendars, focusing particularly on Mar22 40k calls, which had the largest volume. Also, put protection being traded up to march between 38k and 30k strikes.

Filmed on on Tuesday 25th February 2022.

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