QCP Broadcast

QCP Weekend Macro - 28 Apr Data Prints, Inflation and Monetary Policy * US GDP in 1Q24 grew 1.6% q/q v 2.5% exp. * Core PCE YoY was 2.8% v 2.6% exp. * PCE YoY was 2.7% v 2.6% - Some worrying data out of the US this week. The weaker than expected GDP print points to a more sluggish economy while the higher Core PCE warns of an inflation problem that continues to be a thorn in the Fed's side. - If GDP were to continue weakening and inflation remains sticky, the US might go into a stagflation scenario (negative GDP growth & high inflation) , but that is not our base case yet. - On the back of this data, markets are now pricing in 1 cut in 2024. This is a stark difference to 7 priced at the start of the year, and 3 in March. Yellen, the TGA, RRP and Fiscal Policy - However, at this point monetary policy might matter much less than fiscal policy which will be the main driver of liquidity and asset performance. - The US Treasury General Account (TGA), has close to USD 1 trillion in assets, after large US treasury issuances this year and strong tax receipts. - The US Govt can choose to spend the money in the TGA, potentially injecting 1 trillion in liquidity into the financial system. We feel this is likely, given how close we are to US elections. - The upcoming Quarterly Refunding Announcement (QRA) on 1st May could also see higher issuances in short term US bills. This will drain the RRP, which currently has USD 400 billion and also increase liquidity. - Yellen had previously used the QRA to influence short term interest rates in Oct 2023. We saw 2Y yields peak at 5.2%, equities bottomed and started the race to new highs after Oct 2023. It is very possible that she will repeat this action to some degree. - Between the TGA and RRP, there is a potential $1.4 trillion of liquidity, ready for injection. This could be the main driver for bullishness into the end of the year. Trade Ideas In spite of major macro movements and conflict headlines in the last few weeks, vols and funding have been crushed. The best strategy might be to put on some cheap topside structures, sit back and watch everything play out. We recommend a few below: (BTC spot ref: 64k) 1. BTC Call ERKO (90/150k 27-DEC) Max payout: $60,000 per BTC (16.4x) Cost: $3,650 per BTC 2. BTC Call DIGI (120k 27-DEC) Payout: 7.15x Please check in your trading chat for more details

QCP Weekend Macro - 28 Apr Data Prints, Inflation and Monetary Policy * US GDP in 1Q24 grew 1.6% q/q v 2.5% exp. * Core PCE YoY was 2.8% v 2.6% exp. * PCE YoY was 2.7% v 2.6% - Some worrying data out of the US this week. The weaker than expected GDP print points to a more sluggish economy while the higher Core PCE warns of an inflation problem that continues to be a thorn in the Fed's side. - If GDP were to continue weakening and inflation remains sticky, the US might go into a stagflation scenario (negative GDP growth & high inflation) , but that is not our base case yet. - On the back of this data, markets are now pricing in 1 cut in 2024. This is a stark difference to 7 priced at the start of the year, and 3 in March. Yellen, the TGA, RRP and Fiscal Policy - However, at this point monetary policy might matter much less than fiscal policy which will be the main driver of liquidity and asset performance. - The US Treasury General Account (TGA), has close to USD 1 trillion in assets, after large US treasury issuances this year and strong tax receipts. - The US Govt can choose to spend the money in the TGA, potentially injecting 1 trillion in liquidity into the financial system. We feel this is likely, given how close we are to US elections. - The upcoming Quarterly Refunding Announcement (QRA) on 1st May could also see higher issuances in short term US bills. This will drain the RRP, which currently has USD 400 billion and also increase liquidity. - Yellen had previously used the QRA to influence short term interest rates in Oct 2023. We saw 2Y yields peak at 5.2%, equities bottomed and started the race to new highs after Oct 2023. It is very possible that she will repeat this action to some degree. - Between the TGA and RRP, there is a potential $1.4 trillion of liquidity, ready for injection. This could be the main driver for bullishness into the end of the year. Trade Ideas In spite of major macro movements and conflict headlines in the last few weeks, vols and funding have been crushed. The best strategy might be to put on some cheap topside structures, sit back and watch everything play out. We recommend a few below: (BTC spot ref: 64k) 1. BTC Call ERKO (90/150k 27-DEC) Max payout: $60,000 per BTC (16.4x) Cost: $3,650 per BTC 2. BTC Call DIGI (120k 27-DEC) Payout: 7.15x Please check in your trading chat for more details

QCP Weekend Brief - 27 Apr 24 - 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] Please ask directly in your trading chat for more details

QCP Asia Colour - 25 Apr 24 - Heavy selling of BTC options over the last 2 days has seen the vol curve collapse . BTC May vols have dropped by over 12% in 3 days! - This is the result of spot price being stuck in a tight range and the basis yields drying up. The desk has seen many customers pivot back to option selling strategies. - Strategies like the HYPP takes advantage of the low vol levels to express a medium term bullish view. Trade Idea: BTC HYPP (High Yield Participation Product) Payout: 50%pa each week BTC spot fixes above 80k Expiry: 19 Jul (3 months) This is a zero-downside product. At expiry, the full USD principal is returned. (BTC spot ref: 64k)

QCP NY Colour - 24 Apr 24 - The market is expecting upside to be capped and for spot price to consolidate in the short term. - Notably, there was concentrated selling of BTC end-May 80k calls in yesterday's NY session (over 1000 BTC) which crushed both front end vols and forwards. - May vols are now close to 60% and the May forward was pushed down to 5% yield at one point! The forward curve is now upward sloping with only Sep and further out still yielding over 10%...for now. Trade Idea: New Product - ZCC (Zero Coupon Convertible) With yield compressing in a consolidation phase, the ZCC strategy stands out as it provides an upfront payment that comes with protection on the downside. (BTC spot ref: 64k) 1. BTC ZCC (28-Jun expiry, 55k strike, 50k protection) Upfront payment of $3200 per BTC (33%pa yield). At expiry, if BTC is above the 50k protection level nothing happens and full USD principal is released. Only if BTC is under 50k at expiry, you will buy BTC at 55k. 2. BTC ZCC (27-Sep expiry, 50k strike, 40k protection) Upfront payment of $6300 per BTC (30%pa yield). At expiry, if BTC is above the 40k protection level nothing happens and full USD principal is released. Only if BTC is under 40k at expiry, you will buy BTC at 50k.

QCP NY Colour - 23 Apr 24 - BTC is right smack in the middle 60/73k range. BTC front-end vols have trickled down closer to 60%. - Just last week, we had the 4th BTC halving and the market was panicking over the outbreak of war in the Middle East (which has since de-escalated) - What can we make of this unsettling quietness in the market? - Leverage has been reset in the market with funding negative to flat and forwards yielding a neutral 10%. - Demand from TradFi continues to stream it albeit at a slower pace with Blackrock posting 70 consecutive days of inflows. - Is this the calm before the (bullish) storm? Trade Idea: (BTC spot ref: 66.5k) Bullish ERKO Seagull Expiry: 27 Dec Strikes: 55k / 80k / 140k USD deployment 1. Upfront premium: $2100 per BTC (5.6%pa) 2. Max payout: $62,100 per BTC (166%pa return) if BTC spot price expires just under 140k level. 3. At expiry, if BTC is under 55k USD is converted to BTC at the 55k strike price.

QCP NY Colour - 22 Apr 24 - BTC's 4th halving was completed on 19 Apr on Saturday Asia morning. Spot price inched higher over the weekend but not much else. - The previous three halvings saw spot price move higher exponentially only 50-100 days after the actual halving day. If this pattern is repeated this time, BTC bulls still have a few weeks to build a larger long position. - What we could see in the short-term is a short-squeeze led by Altcoins and Memecoins which have seen persistent negative funding , with some as deep as -100%. - With ETH risk reversals normalising to above -4%, improving speculative sentiment could see short covering and a resumption of leveraged longs. Trade Ideas: (spot ref: 66k) 1. Structurally bullish BTC We continue to see consistent large buying of BTC calls expiring at the end of the year and beyond. We think ERKOs provide good risk-reward if you have a longer-term bullish view. ERKO 27 Dec 2024 75/150k Max payout: 10.52x Price: 7130 USD per BTC ERKO 28 Mar 2025 150/250k Max payout: 40x Price: 2500 USD per BTC 2. Build BTC longs in the coming weeks by buying BTC at a large discount (55k level) before the typical post-halving exponential run higher. BTC Accumulator Expiry: 6SEP24 (20 weeks) Strike: 55,000 (-19.70%) Upper Barrier: 80,000 (+10.61%)

QCP Web3 Watch - 22 Apr 24 Despite the overall drawdown in the markets, Bitcoin has halved! With the halving, could this bring attention back to the various Bitcoin verticals? In our latest piece, we explore the current state of (i) Ordinals, (ii) Runes (iii) BRC20 and (iv) BTC L2s, pre-halving. Read more here: https://www.qcpgroup.com/insights/web3-watch-21

QCP Asia / London Colour 19 Apr 24 - BTC broke below 60k again in Asia morning on the back of headlines about an Israeli attack on Iran. (BTC low of 59.5k and ETH low of 2865) - But once again, BTC bounced hard off this level and is trading back above 64k (ETH well above 3k). - Today is the eve of the BTC halving and the market appears to have formed a clearly defined baseline support level around the recent lows. - As a result, we have seen a flurry of option activity around the year-end expiry as investors begin to position for a post-halving resumption of the uptrend and a breakout from this 2-month long consolidation. - What level will BTC settle on at the end of a watershed year? Trade Ideas: The following are some strategies catered for a defined year-end view on BTC. (spot ref: 64,500) 1. ERKO (100/200k) Max payout: 20.4X Price: 4900 USD per BTC Strike: 100k KO: 200k Expiry: 27-Dec 2024 This strategy will earn a return if BTC spot expires above 100k level at year end. At expiry, if BTC spot trades right below the 200k level, it will earn $100k per BTC notional or 20.4X of the premium paid. Anything in between 100k and 200k is a pro-rated return. If BTC spot expires at-or-above 200k, the payout is zero. 2. DIGI (200k) Payout: 20X Strike: 200k Expiry: 27-Dec 2024 At expiry, if BTC spot trades at-or-above 200k, the payout is 20X of the premiums paid. If BTC spot expires below 200k, the payout is zero. *These strategies can be structured as zero-downside notes on a USD deployment as well for a more conservative strategy. Please check on your trading channel directly for details.

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.