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Crypto prices corrected violently in Asia today with BTC and ETH trading below $54,000 and $2,900 respectively, before recovering to $55,000 and $2,950 ahead of the US open.

Front-end vols spiked as market makers scrambled to buy gamma.

Reasons for the dip

The market reacted to news of imminent BTC supply which included transfers by Mt. Gox and the German Government. Speculators likely oversold heavily in anticipation, triggering liquidations around $58,000 in thin markets over the US holiday.

Our view

  • Spot prices have stabilized suggesting decent support around 54k. Panic has also died down with front-end vols easing significantly from 65 to below 50 for BTC and from 80 to 62 for ETH.
  • Today’s US jobs data showed downward revisions for both the April and May numbers. This confirms Powell's disinflationary path and potentially earlier rate cuts with both September and December starting to price a higher probability.

Trade Idea

The desk has seen a rush from clients to deploy Accumulators today. The vol spike plus dip in spot price allows one to collect ETH below 2700 (a 9.6% discount!)

ETH Accumulator Buy ETH spot at 9.6% discount (2,680) every week

Maturity: 27SEP24 (12 Weeks) Strike: 2,680 (-9.62%) Upper Barrier: 3,550 (+19.73%) Observation Frequency: Weekly

Spot Ref: 2,960 ETHUSD

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