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QCP Weekend Brief
QCP Capital
  • This week saw BTC vols drastically compress from 70% to 50%.
  • The downside skew in ETH risk reversals have also deepened to -13% in the front-end, possibly in anticipation of further delays in the SECs approval of ETH spot ETF.
  • Has the market lost faith or is this just a short pause in a longer-term bull run?
  • There is a potential positive catalyst next week as the HK BTC and ETH spot ETFs begin trading. Interest is growing in what could be a gateway for the inflow of Asian institutional capital.

Trade Idea:

If you are still a bullish believer, a consolidating market could be the best time to accumulate longs in both BTC and ETH. Deploying a longer tenor takes advantage of the higher vols further out, given the steepness of the vol curve (Dec trading at a 15% premium to May).

BTC Accumulator (27-Dec) Buy BTC weekly at 51,500 (20% discount to spot price) [spot ref: 63.7k. upper barrier: 73.5k]

ETH Accumulator (27-Dec) Buy ETH weekly at 2450 (22% discount to spot price) [spot ref: 3140, upper barrier: 3625]

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