QCP Capital Market Update– 27 Mar 24
– Early numbers are showing positive BTC spot ETF inflows with Fidelity posting strong numbers, giving BTC a nice lift over 70k level.
– The option market is structurally bullish BTC and fearful of ETH downside.
– We see consistent demand for BTC calls >100k out to Dec and large buyers of ETH puts around 2800 for Apr (up to about 20k ETH!).
– This has caused ETH risk reversals to go to -5% to the downside again which was the early signal for the previous dip.
Trade Ideas:
– Spot-Forward Basis remains the lowest hanging fruit given the directional uncertainty.
– It is especially attractive back at these elevated levels >20% for a zero-downside trade.
Indicative run:
| index | Basis | AnnRate(%) | Tenor | |:--------|--------:|-------------:|--------:| | 26APR24 | 1398.25 | 24.17 | 30 | | 28JUN24 | 3659.5 | 20.4 | 93 | | 27SEP24 | 6440.75 | 18.15 | 184 | | 27DEC24 | 8545.75 | 16.11 | 275 | Disclaimer: Includes third-party opinions. No financial advice. See Risk Warning.Address：https://www.j56.xyz/markets/5146.html
