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  • Some calm is slowly returning to the market with BTC and ETH stabilising around 63k and 3050 levels respectively.

  • The options desk saw mostly sellers of front-end vols pushing vols down to 70% from highs of over 100%!

  • Funding has also normalised with perp rates flattish and the forward curve settling around 10%.

  • We were surprised by how calm the markets were given Powell’s hawkish comments which caused the market to price out more Fed cuts this year.

  • Perhaps we’ll see some consolidation from an exhausted market in the short-term.

Trade Idea:

If you are upset about missing the Spot-Forward Basis trade for 20- 30% yield, you can still get similar yields from UFCCs (Unconditional Fixed Coupon Convertible). Indicative example below:

BTC UFCC (USD deployment) (spot ref: 63,000) Earn a weekly coupon of 26%pa. At expiry, as long as BTC spot is above 45k, 100% of the principal is returned. If BTC spot is below 45k at expiry, you will buy BTC at 55k level.

Expiry: 12JUL24 (12 weeks) Strike: 55,000 Protection Level: 45,000 Coupon Rate: 26% p.a.

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