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QCP Extraordinary Market Update
QCP Capital
  • The Iranian attack on Israel has caused panic in the market. BTC traded to lows of 60.8k, ETH to 2850 and Alts were down another 20-30% on average.
  • It is likely that BTC was used as a weekend proxy macro hedge and therefore bore the full brunt of the immediate risk-off reaction.
  • BTC has since traded back above 64k and ETH above 3000.
  • ETH risk reversals dropped all the way down to -18% but is now back up to slightly positive in the front-end! (Chart below)
  • This has been our best leading indicator for the downside moves. Will it also be an accurate signal for bullish recovery? If so, there could be opportunities to buy the dip.
  • It is worth noting that historically, buying the dip on the outbreak of major geopolitical conflicts has been a profitable trade.

Trade Ideas:

If you would like to buy the dip defensively with some safety buffers, the following are two possible strategies.

Indicative (spot ref: 64,500)

  1. BTC Accumulator Every Friday, buy BTC at 54k level as long as BTC spot remains under 77,400 at the time of observation.

Maturity: 23AUG24 (20 weeks) Strike: 54,180 (-16%) Upper Barrier: 77,400 (+20%)

  1. BTC Bullish CFCC

Every Friday, you will get a yield of 92.5%pa as long as spot price is above 64.5k.

At expiry, if spot price is below 55k, USD will be converted to BTC at 60k strike.

If spot price is above 55k at expiry, 100% of the USD principal is returned.

**Coupon Rate:** 92.5% p.a.
**Maturity:** 27SEP24 (23 weeks)
**Coupon Trigger:** 64,500
**Strike:** 60,000
**Protection Level:** 55,000
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