(originally published on the Immersive Finance Market Insights on 29th May)
As we approach month-end I thought it worthwhile taking a look back at May.
BTC - Overview
Early May we saw a quick move down to the 57000 region with an associated spike in vols. The 1W ATMF gapping up around 16 vols. A couple of days later the market reversed that move and so did vol. Spot has moved higher from mid-month and vols have been very range bound. We saw today (May 29) that two of the Blackrock funds, BlackRock Strategic Income Opportunities Fund and BlackRock Strategic Global Bond Fund, have purchased IBIT. Can't help but feel BTC retains steady ETF tailwinds.
BTC – Risk Reversals
Front-end risk reversals remain very dynamic, and favouring the downside; longer dated very much staying positive.
BTC - Butterflies
Front-end flies remain very excitable under any spot move but as a whole the flies are grinding lower at the surface flattens.
BTC – Spot / Risk Reversal correlation
For those focused in Exotics, we continue to see a nice spot-risk reversal correlation, a core component of barrier pricing.
ETH - Overview
Quite a different story with Ethereum which burst to life with the ETF news. We've seen a low of around 2800 and a high just shy of 4000. Vols shocked from the 60% region to over 100%. Relative calm has come back to the market, will be interesting to see where it goes from here. Would have to expect that ETH-ETF is a bit niche compared to BTC-ETF, so will be interesting to see the relative flows.
ETH – Risk Reversals
Risk reversals here were fun-filled, flipping from +35% to -15% within a day or so. Similar story to BTC. Very dynamic at the front end but favouring the upside at the backend.
ETH - Butterflies
Here are the ETH 10FLYs. Very interesting dynamic on the gap higher.
ETH – Spot / Risk Reversal Correlation
Another view: ETH scatter plot of 1W 10RR vs spot.
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