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QCP Easter Weekend Note - 29 Mar - The positive spot ETF reaction function is back with BTC rallying more than a thousand dollars yesterday in Asia on the back of a $243.5m inflow. - We should see positive numbers again in the next hour from the US session overnight. Do we break the all-time highs this long weekend? - For Q2, there are sufficient catalysts to form a very bullish view: 1. continued BTC spot ETF demand (and shrinking supply as GBTC runs out) 2. BTC halving 3. London Stock Exchange ETNs 4. ETH spot ETF approval? - At the same time, the price rally as been exponential in Q1 and there are signs of exhaustion: a. ETH risk reversals are skewed to the downside at -8% indicating some fear b. funding and forwards remain very elevated which means that speculators are still paying high prices to keep their leveraged longs - While we remain bullish, we are cautious about leverage and we are also prepared to scoop some value on big dips. Trade Ideas for a binary market: 1. Degen strategy BTC end-Apr 90k Digi pays a nice 6.25X return if BTC expires above 90k (zero return if it's under) 2. Safe strategy with hints of Degen BTC end-Jun 90k HYPP is a zero-downside strategy that pays 58% weekly as long as BTC is above 80k level. Full principal is returned at expiry. (This strategy takes advantage of the high yield from the Spot-Forward Basis to make a high-convexity bet)
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QCP Asia Morning Colour - 28 Mar - A promising rally on US open to 71.8k highs was rudely rejected. - BTC then traded below 68.4k and ETH to 3,458 making for an ugly eveningstar-like pattern over the last 3 days on both charts. - We're likely to get a net inflow day again for BTC spot ETF but the price-reaction function appears to be a broken. So we're not sure if we will see any significant rally on the back of a positive number. - BTC realized volatility is trading at a whopping 10% below implied vol. Maybe this is because traders have stepped aside to observe the first ever quarter-end rebalancing on the spot ETFs. - The desk typically sees massive option selling at quarter-end so with the vol curve super steep (15% between front and back) it might make sense to sell back-end vols. - The forwards are also still strangely elevated so selling the Spot-Forward Basis and rolling short calls further out continue to be attractive.
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QCP London / New York Colour - 27 Mar - Strong inflow for BTC spot ETFs overnight (+$418m net). - However, the immediate reaction was BTC price lower, touching 69,269 lows in Asia session. - What does this inverse reaction tell us? Has the speculative FOMO ended? Or are we just in a consolidation phase? - If this lull continues, we will probably see both the forward and vol curves flatten significantly. - Currently, forwards remain elevated at over 20% in the front-end. - Vol curve also remains high and steep with BTC front-end under 65% and back-end over 80%. (elevated by continued demand for 100k calls out to Dec). Strategies for flattening curves? 1. Sell the Spot-Forward Basis 2. Roll short call option positions further out (if you have existing short calls) 3. Range Accruals
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QCP Asia Morning Colour - 26 Mar - Early numbers showing positive BTC spot ETF inflows with Fidelity posting strong numbers. - The option market is structurally bullish BTC and fearful of ETH downside. - We see consistent demand for BTC calls >100k out to Dec and large buyers of ETH puts around 2800 for Apr (up to about 20k ETH!). - This has caused ETH risk reversals to go to -5% to the downside again which was the early signal for the previous dip. Trade Ideas: - Spot-forward basis remains the lowest lying fruit given the directional uncertainty. - It is especially attractive back at these elevated levels >20% for a zero-downside trade. Indicative run:
| index   |   Basis |   AnnRate(%) |   Tenor |
|:--------|--------:|-------------:|--------:|
| 26APR24 | 1398.25 |        24.17 |      30 |
| 28JUN24 | 3659.5  |        20.4  |      93 |
| 27SEP24 | 6440.75 |        18.15 |     184 |
| 27DEC24 | 8545.75 |        16.11 |     275 |
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QCP Asia Morning Colour - 26 Mar - Is BTC about to break all-time highs again and take another leg higher towards the hallowed 100k level? - ⁠There is certainly strong topside momentum with BTC breaking above 70k overnight on headlines that the London Stock Exchange will start trading ETNs for BTC and ETH in May. - ⁠Anecdotally, wealth desks at major banks have been pleasantly shocked at the tremendous demand from clients for BTC spot ETFs, along with requests for structured products like Accumulators and FCNs (which our desk already provides). - Asset managers also continue to add BTC allocations as a “portfolio diversifier”. - Short of a broader macro risk-off, the next leg higher seems like an inevitability at this point. Trade ideas: 1. BTC Spot-Forward Basis is once again elevated with the whole front-end yield >20%. 2. Perhaps time to deploy some Accumulators to get ahead of the tradfi interest to buy BTC at discount to market price.
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QCP Asia / Europe Update - 25 Mar - Last Friday, we saw the 5th consecutive BTC spot ETF outflow. However, it was notably smaller at -$51.6m. - All eyes will be on the numbers this week, both the direction and size of the ETF flows. This would likely be the main determinant of price action. - SEC postpones Grayscale ETH spot ETF decision again, now set for 30 May. - Volatility has declined with spot unable to break out of this 61-73k range. Dropped by about 10% on the front-end. - Risk reversals have normalized to more balanced levels, reflecting the reduction of both panic and FOMO in the market. - Is this a calm we all need before the BTC halving coming up towards mid April? Trade Idea: For those who have a long coin position and are looking for some decent yield while waiting for the next leg higher, perhaps a UFCC with a focus on conservative protection levels. UFCC (BTC underlying) Spot Ref: 67,150 BTCUSD Maturity: 21JUN24 (12 weeks) Unconditional Coupon Frequency: Every 1 week(s) Strike: 87,295 (+30%) Protection Level: 120,539 (+80%) Coupon Rate: 16% p.a.
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QCP Crypto Circular: Q1 CIO Office View - 23 Mar 24 The Bitcoin spot ETFs took the crypto world by storm in the first quarter of 2024. Beyond the powerful narrative of real institutional access and participation in physical Bitcoin, the actual demand that it generated was unprecedented. A consistent $500m-$1b of Bitcoin buying a day in the spot ETFs was enough for the market to shed all the trauma of the last two years and go into a speculative frenzy. In our refreshed quarterly update from our CIO office, we look back on the last few months, and what insights investors need to consider to stay ahead.
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Web3 Watch – 22 Mar 24 Happy bull market to one and all! Let’s dive into it. In this edition of Web3 Watch, we cover memecoins on Solana and wonder is this the beginning of the end of Solana Summer ☀️ and rotation into L2️⃣s? We answer this and more here: https://www.qcp.capital/featured-article/web3-watch-22-mar-24/
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Web3 Watch - 22 Mar 24 | QCP Capital

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QCP Asia Morning Colour - 22 Mar - Market consolidating here with BTC and ETH trading in relatively tight range. - GBTC had $358.8mio outflows overnight. We are likely to see the fourth consecutive day of BTC spot ETF net outflows. - The market is also starting to price out an ETH spot ETF anytime soon. The Grayscale ETH discount widened from -8% to -20% over the past two weeks. - Seems like the market might take a bit of a breather this weekend. Trade Ideas: 1. ETH spot-forward basis is yielding higher than BTC across the curve (indicative run below). Might be worth selling as long leverage on ETH starts to reduce. 2. Principal Protected Range Accruals yielding up to 30%p.a. for those who want to monetise the tiredness in the market.
نمایش همه...
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QCP London / New York Colour - 21 Mar - We had a third consecutive day of BTC spot ETF nett outflows at -$261.5m. - Market ticked a little lower in reaction to the ETF outflow number, touching 66k level before crawling back above 67k. - Market does feel slightly exhausted after being bumped around by headlines the past week and has landed right in the middle of the recent high (73,840) and low (60,770). Exhaustion Trade Idea: - If BTC consolidates in this defined range, a Principal-Protected Range Accrual pays close to 30% p.a. every week for the next 4 weeks as long as BTC is within this range at each Friday observation. - This is a zero-downside strategy, meaning if BTC is above or below the range there is no coupon payment but the principal capital is returned in full at expiry after 4 weeks.
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