QCP Capital Market Update – 27 Mar 24
– There were strong inflows for BTC spot ETFs overnight with more than $418m net.
– However, the immediate reaction was that BTC was priced lower, touching 69,269 lows in Asia session.
– What does this inverse reaction tell us? Has the speculative FOMO ended or are we just in a consolidation phase?
– If this lull continues, we will probably see both the forward and vol curves flatten significantly.
– Currently, forwards remain elevated at over 20% in the front-end.
– Vol curve also remains high and steep with BTC front-end under 65% and back-end over 80%, elevated by continued demand for 100k calls out to Dec.
Strategies for flattening curves
1. Sell the spot-forward basis
2. Sell longer end calls (or roll positions if you have existing short calls)
3. UFCC/CFCC
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