QCP Broadcast

QCP NY Colour - 18 Apr 24 - Overnight, BTC broke below 60k and ETH traded to 2915 lows on the back of weakness in US equities but not much else. - BTC has since bounced back to 64k and ETH close to 3100. - Vols and funding/forwards have been largely unchanged. - The most surprising thing about the markets in the last 24hrs is probably how uninteresting it has been. - The BTC halving will occur this Saturday in Asia morning and the market seems to have forgotten about it. Trade Ideas: BTC halving moonshot? BTC 26-Apr 70k Call Digi Payout: 5x If BTC expires at-or-above 70k on 26 April, you will receive 5 times whatever premium was paid. BTC 26-Apr 75k Call Digi Payout: 10x If BTC expires at-or-above 75k on 26 April, you will receive 10 times whatever premium was paid.

QCP Asia / Europe Colour - 17 Apr 24 - 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 40k 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.

QCP Asia / Europe Update 16 Apr 24 - Crypto markets are getting Increasingly nervous with the downside skew in ETH risk reversals sinking even deeper (-20% now). - We expect this nervousness to persist as the Iran-Israeli conflict develops. The risk-off sentiment has been exacerbated by weakness in US equities too. - However, we continue to see consistent sizable demand for BTC and ETH calls for longer-term expiries (out to Mar 2025). - Perp funding for BTC is flattish with the back end of the curve holding steady at double digit yields. Alt perp funding is generally negative as well which shows that a lot of the long leverage has been wiped out. - Is it time now to start picking bottoms? Trade Idea: Given the prevailing nervousness, we suggest picking bottoms very defensively by buying BTC or ETH at a significant discount to spot price. For example a 12-week Accumulator to buy BTC at 55k (12% discount!): BTC Accumulator (Weekly) (spot ref: 62,500) Every Friday, you will buy BTC at 55k as long as spot price is below 72.5k level. Expiry: 5JUL24 (12 weeks) Strike: 55k Upper Barrier: 72.5k *Please check with the desk on your trading chat for further details or to customise a strategy

QCP NY Colour 15/16 Apr - Buying the weekend dip looked great in Asia morning with BTC climbing back to almost 67k on the back of Hong Kong approving BTC and ETH ETFs. - Throughout the day vols eased off significantly and the forward curve climbed back up into double digit yields as the market priced out de-escalation of the Israeli-Iranian conflict. - However, the US session saw another risk-off wave across the board. BTC has been dragged below 63k again. - There are two things worth noting: 1. ETH risk reversals have turned very negative in the front-end (-12%) indicating nervous sentiment 2. The market is short ETH gamma (near-dated options) which means that a sharp move in either direction would be amplified Trade Ideas: Given the nervousness and uncertainty, we would suggest zero-downside strategies with high convexity on ETH like Sharkfins. Indicative terms for Bullish and Bearish ETH Sharkfin (spot ref: 3100) 1. Bullish ETH Sharkfin Expiry: 28JUN24 Strike: 3500 Knockout: 3900 Max Payout: 57% p.a. Deployment is in USD ($3500 gets exposure to 1 ETH). At expiry, if ETH spot price is between 3500 and 3900, max payout is $400 per ETH or 57%pa (pro-rated in between). At expiry, if ETH spot price is below 3500 or above 3900, 100% of the principal is returned. 2. Bearish ETH Sharkfin Expiry: 28JUN24 Strike: 2800 Knockout: 2500 Max Payout: 54% p.a. Deployment is in USD ($2800 gets exposure to 1 ETH). At expiry, if ETH spot price is between 2800 and 2500, max payout is $300 per ETH or 54%pa (pro-rated in between). At expiry, if ETH spot price is above 2800 or below 2500, 100% of the principal is returned.

QCP Extraordinary Market Update - 14 Apr - 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, this could be an opportunity 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%) 2. 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

QCP Weekend Brief - 13 Apr - The downside skew in the ETH risk reversal that we highlighted on Friday has proven to be an accurate early downside indicator. - Likely because of its sensitivity to crypto market anxiety as speculators who are long Alts would buy ETH puts to hedge. - Overnight, the macro trigger was the threat of Iranian retaliation to Israel which caused a sell-off across all risk assets. - BTC traded to 65.1k lows, ETH to 3100 and Alts sold off around 20-30%. - The market was caught off guard by this move with perp funding driven to negative to (over -40%), the deepest it's been this year. - The negative perp funding has also crushed the forward curve with the front-end now below 10%. - With this move, BTC is right back in the middle of a tightening range between 64k and 73k. Trade Idea: Even though we are about a week out from BTC halving, BTC might struggle to break out of this defined range in the short-term. We recommend the CFCC (Conditional Fixed Coupon Convertible). Indicative pricing below (spot ref: 68k): 1. If you are long BTC, do a call-side CFCC Coupon Rate: 60% p.a. Maturity: 31MAY24 Coupon Level: 64,000 Strike: 73,000 Protection Level: 80,000 How does it work? Every Friday, as long as spot price is above 64k. you will get a yield of 60%pa. At expiry, only if spot price is above 80k, BTC will be converted to USD at 73k strike. If spot price is below 80k, 100% of the BTC principal is returned. 2. If you are deploying USD, do a put-side CFCC Coupon Rate: 66% p.a. Maturity: 31MAY24 Coupon Level: 73,000 Strike: 64,000 Protection Level: 60,000 How does it work? Every Friday, as long as spot price is below 73k. you will get a yield of 66%pa. At expiry, only if spot price is below 60k, USD will be converted to BTC at 64k strike. If spot price is above 60k, 100% of the USD principal is returned.

QCP NY Colour - 11/12 Apr - We had the smallest GBTC outflow to date yesterday at just -$17.5m and a decent total BTC spot ETF inflow of +$123.7m. - The market took this positively in, taking BTC up to 71.3k in Asia time. - However, there has been no follow through and BTC spot price remains stuck around 70k level. - In the absence of bullish momentum, the desk is starting to see some profit taking on long BTC call positions and a shift towards delta-neutral deployments like selling the Spot-Forward Basis (which has pushed the forward curve lower again). - ETH risk reversals are once again skewed to the downside at -5% in the front-end. - This has been an early signal for the previous few price dips. Will it prove to be an accurate leading indicator again? Trade Ideas: While we remain structurally bullish, deleveraging dips can go very deep especially given the extent of the bull run this year. So if you are looking to hedge short-term downside the following are indicative examples of two possible strategies: (spot ref: 70.2k) 1. Downside Sharkfin Deployed with USD and with zero downside, Maximum profit of +80% p.a. if BTC price is just above 58k at 31-May expiry. If BTC price is below 58k or above 65k, 100% of the principal amount is returned. (Pro-rated return in between) 2. Decumulator Sell BTC at 76k (+8.3% premium to spot price) weekly as long as BTC spot is above 66k. Please approach the desk directly for details. Strategies available for both BTC and ETH.

QCP Asia Morning Colour - 11 Apr A blessed Eid to all our Muslim friends! - US CPI came in higher than expected at 3.5% (and Core at 3.8%). - This caused a knee-jerk risk-off across all risk assets as the market priced out the probability of 3 rate cuts. - BTC traded to a low of 67,460 and ETH to 3,410. However, prices have since bounced back strongly with BTC even peeking above 70k! - This bounce is not surprising as the desk continues to see strong demand for long-dated BTC calls even on this dip. It is indicative of deep structural bullishness in BTC. - With that said. if the next few inflation prints continue to be high, it will certainly spook the markets and we could see crypto prices dip significantly. Trade Ideas: We continue to like long-dated Accumulators which allow investors to buy BTC or ETH at very deep discounts. However, for investors who are concerned about an inflation led risk-off and would like to take profit on some longs here, we do have a series of strategies that allow investors to sell BTC or ETH at a significant premium to spot price (Decumulator, Forward Outright, Stealth, etc). Please approach the trading desk directly for details.

QCP NY Colour - 9/10 Apr - BTC has dipped back below 69k and ETH below 3500 again on the back of a relatively large -$223.8m outflow for BTC spot ETFs on Monday. - The desk continues to see buyers of long-dated BTC calls, in particular, sizeable daily buying of Mar2025 200k Calls. - We are also starting to see the market position for ETH spot ETF (upcoming deadline of 23-May) and signs similar to what we saw ahead of BTC spot ETF approval: 1. Call buyers and elevated perp funding and forwards dragging spot higher and causing the Grayscale spread to increase to -24% (similar to the GBTC discount in October) 2. Increase in long positioning on CME ETH futures - However, the SEC is not clustering ETH spot ETF deadlines which is what it did ahead of BTC spot ETF approval. Does this mean the likelihood of ETH spot ETF approval is lower? - Either way, we expect some additional volatility in May. We've sold Apr vol vs. bought May vol at a 2% spread (it was a 10% spread for BTC between the pre-and-post spot ETF expiries) Trade Idea: BTC is still a buy the dip for us so we recommend Accumulators For a 20 week deployment, you are able to buy BTC at 56,850 (17% discount) for every week that BTC trades below 80,150. (spot ref: 68,500)