QCP Asia and Europe Colour - 14 May 24

- Spot came off for BTC and is now hovering at 61.8k, right in the middle of the range from yesterday's highs (63.5k) and last Friday's lows (60.1k).
- We expect Powell's speech tonight to be carefully worded as always, resulting in a muted market reaction.
- On the other hand, CPI numbers tomorrow may be the catalyst to finally help the market pick a direction.
- While the general market continues to drift off into the summer, GME has emerged after a long slumber, pumping 80+% yesterday off the back of Roaring Kitty's tweet. 🙀
-Could this be the start of a memecoin frenzy?

Trade Idea:
Utilize our ZCC to receive upfront yields on your dollars for punting memecoins.

BTC ZCC (USD deployment)

Receive upfront payment of 25% p.a. upon deployment
At expiry, as long as BTC spot is above 47k, 100% of the principal is returned.
If BTC spot is below 47k at expiry, you will buy BTC at 57k level.

Maturity: 9AUG24 (12 weeks)
Strike: 57,000
Protection Level: 47,000
Upfront Payment: 25% p.a.

QCP Asia and Europe Colour - 15 May 24

- Two significant headlines broke overnight:

1. The State of Wisconsin has bought $100m worth of Blackrock's BTC spot ETF. We are watching to see if other state institutions or pension funds will follow suit.

2. Vanguard, the second largest US asset manager, who have so far avoided issuing a BTC ETF, has appointed a crypto friendly CEO, Salim Ramji. Joining from BlackRock, Ramji was part of the IBIT effort. Does this mean that Vanguard will also issue a BTC spot ETF soon? If so, would this open up a new pool of demand?

- BTC price remains stuck in a 60-63.5k range in spite of high PPI numbers and a somewhat dovish Powell speech where he ruled out a rate hike.
- Perhaps US CPI numbers tonight will see BTC break out of the range.

Trade Idea:
The market is expecting a lower CPI reading which will be bullish for risk assets. We also think that any dips will continue to be bought up because:
a. the market continues to be fixated on rate cuts
b. liquidity inflow from global rate cuts and continued high fiscal spending
c. increasing sovereign acceptance of bitcoin

Keep buying BTC at discount with Accumulators
(spot ref: 62.5k)

1. 12 weeks (2-Aug expiry)
Buy BTC at 56.5k every week as long as BTC spot price is under 70k.

2. 20 weeks (27-Sep expiry)
Buy BTC at 56k every week as long as BTC spot price is under 80k.

QCP Asia Colour - 16 May 24

- US CPI numbers triggered a break out of the range across risk assets. BTC has since traded back above 66k.
- ⁠We expect bullish momentum here that could take us back to the highs of 74k.
- The desk saw sizeable buyers of 100-120k BTC Calls for Dec 2024 on this move higher in spot.
- Institutional demand for the BTC continues to grow with large asset managers Millennium and Schonfeld investing approximately 3% and 2% of their AUM into the BTC spot ETF.
- The stars seems to be aligning on this breakout with significant sovereign and institutional adoption, abating inflation and upcoming US elections. Is this the resumption of the bull market?

Trade ideas:
If this is indeed the start of the bull trend again, then this move could take us past all-time highs. Bullish ERKO Seagulls will allow you to capture upside on such a move at zero cost.
(BTC Spot Ref: 66,000)

1. June Seagull
Expiry: 27-Jun
Strikes: Sell 60k Put + Buy 70k Call (88k Knock-out)
Cost: ZERO
Max payout: $18,000 per BTC or 249% pa if BTC spot price is just under 88k at expiry.
[Downside]: At expiry, if BTC spot price is under 60k level, USD deployed is converted to BTC at 60k price.

2. August Seagull
Expiry: 30-Aug
Strikes: Sell 58k Put + Buy 70k Call (100k Knock-out)
Cost: ZERO
Max payout: $30,000 per BTC or 176% pa if BTC spot price is just under 100k at expiry.
[Downside]: At expiry, if BTC spot price is under 58k level, USD deployed is converted to BTC at 58k price.

QCP Asia/London Colour – 17 May 24

- Overnight, BTC struggled to break above the 67k resistance for the third time over the last month.
- Will spot prices get stuck in a range again and we see vols drop to 40% level?
- We don’t think so. Our view is that prices break out of this range. These are our reasons:
1. BTC led the rally on unleveraged spot demand as the funding rate was relatively flat.
2. We are starting to see genuine institutional and sovereign adoption.
3. It is now 28 days past the BTC halving and post-halving dip might be done.
4) Huge demand for December call options indicating significant bullishness into year-end.

The Trade:
We had multiple sharp v-shape recoveries whenever Bitcoin dipped under 60k, which clearly makes it a buy-the-dip zone. Accumulators allow you to buy BTC below 60k support and it is an ideal time to deploy with back-end BTC vols significantly higher.
(BTC Spot Ref: 65,300)

BTC Accumulator (32 weeks, 27Dec24)
Buy BTC spot at 18% discount (53.5k) every week as long as spot price is under 75k.

QCP Spot ETH ETF Deadline Week - 20 May 24

- First round of the Spot ETH ETF deadlines are approaching this week
23-May: VanEck
24-May: Ark Invest/21Shares
- ETHBTC reaching Feb 2021 levels last Friday coupled with the lacklustre interest in the options market, hints that the market is anticipating a rejection and a non-event.
- ETH has successfully defended the 2900 levels multiple times this year and has formed a strong support
- Given ETH's duality of a store of value and a layer 1 Blockchain network. An approval would likely result in ETH outperforming the price action of BTC upon it's approval.
- Given the resounding lack of interest in the market, the risk is to the topside with a surprise approval catching everyone off guard, triggering a short squeeze taking us easily back to recent highs

Trade Idea
Spot Ref: 3,100 ETHUSD

ETH Accumulator (32 weeks, 27-Dec 24)
Buy ETH at 21% discount (2,450) every Friday if spot is below 3,500

ETH ETF Surprise Approval Ticket
Payout: 14.28x
Expiry: 31-May 2024
At expiry, If ETH is above 4k, you get 14.28x the prems paid

QCP Market Alert - 21 May 24

- Unconfirmed rumours of SEC doing a flip, has seen Bloomberg commentators increasing the odds of approval this week to 75%.
- ⁠Exchanges are being asked to update 19b-4 filings on an accelerated basis suggesting approval is imminent.
- ETH spot has rallied over 10% to 3440 with new leveraged longs.
- ⁠Our view is that it is unlikely that spot can settle here, with approval taking us closer to 4k and denial back to 3k.

QCP Asia/London Colour – 21 May 24

- Overnight news (see above) took a complacent market by surprise (at least those that didn’t read the QCP broadcast yesterday)
- If approved, this move is far from over with ETH at 4k as a natural short term target and at 5k for later in the year
- ⁠If not approved, we could expect an ugly move back to 3k
- ⁠This uncertainty has resulted in higher volatility, but the better trade might be spot-futures basis which is now yielding above 10% again

Trade Idea:
1. Sell Spot-Forward Basis
The market has given us another chance to lock in double digit annualized yields from June onwards.

BTC:

| index   |   AnnRate(%) |
|:-------:|-------------:|
| 27SEP24 |        11.98 |
| 27DEC24 |        12.12 |
| 28MAR25 |        11.61 |

ETH:

| index   |   AnnRate(%) |
|:--------|-------------:|
| 28JUN24 |        10.32 |

QCP Asia/London Colour – 22 May 24

- ETH 24-May contracts at 105 vols signal anticipation for a big move by the application deadline.
- ETH Perp funding went from 50% to flat in 12 hours, with Jun forwards still yielding 15%, possibly reflecting diminished short-term speculation but sustained medium-term bullishness.
- ETH 24 and 31 May risk reversals at -7 suggest lingering market fear of short-term downside volatility, potentially prompting tactical hedging of long ETH positions.
- Spot BTC ETF sees a 7-day inflow streak totalling nearly 1.5bn.
- Growing narrative around crypto in US elections gains traction, especially following SEC's recent shift in their stance.

Trade Idea
If you missed your chance to buy ETH below 3,000, fret not!
Our accumulator product enables you to buy ETH at 2900 😏

ETH Accumulator (32 weeks, 27-Dec 24)
Buy ETH at 22% discount (2,900) every Friday if spot is below 4,300

QCP Asia Colour – 23 May 24

•⁠ All eyes are on the ⁠ETH ETF deadline later today
•⁠ ⁠With Friday implied volatility above 100%, the market is expecting fireworks
•⁠ ⁠BlackRock and five other issuers have amended their ETF filings with the SEC and ⁠VanEck’s ETF has been listed by the DTCC. We think an approval is now highly likely with trading expected as early as next week

Trade Idea:
ETH ETF a done deal? If the BTC ETF approval was any indication, we could see a similar 60% rally from here.

ETH Enhanced Sharkfin (Principal Protected)
Spot Ref: 3740 ETHUSD

Maturity: 27SEP24
Base Coupon: 3% p.a.
Strike: 4500
Knockout: 6000
Max Payout: 98% p.a.

Get paid up to 98% p.a. if ETH expires just below 6000 on expiry. Even if ETH dips below 4500, you still get paid a 3% p.a. coupon.

QCP US Colour - 24 May 24

What has happened with the ETH spot ETF?
- Yesterday, the SEC approved Form 19b-4 for eight spot ETH ETF issuers including Blackrock and Fidelity but trading cannot begin until S-1 forms are approved.
- The market was expecting a big bang this week, with options trading up to 185 vols!
- However, price action has been truly disappointing and has caused front-end vols to collapse below 60.

What now?
- While the trading of the ETH spot ETFs is now a matter of time, it could take awhile.
- ⁠The desk has been seeing consistent demand for long dated ETH calls as investors take the opportunity to build more ETH longs.

The Trade:
Use this window to accumulate ETH spot before the ETFs go live. Elevated backend make Accumulators an optimal strategy.
(Spot ref 3735 ETHUSD)

ETH Accumulator (20 weeks, 11Oct24)
Buy ETH spot at 15% discount (3200) every week as long as spot price is under 4500.

QCP Asia Colour – 27 May 24

- ETH rallied from 3810 to 3940 during Asia open, likely from Trump's pro-crypto comments over the weekend.
- From today's price action, it seems that market participants are expressing their bullishness in ETH rather than BTC, especially with the potential institutional demand once the ETH spot ETF starts trading.
- While we are structurally positive ETH, we don't see a major breakout until we have more clarity on the S-1 approvals and get some inflow data, which should only be a matter of time.
- Until then, ETH frontend vols could remain 15-20 vols above BTC and ETH skew is likely to remain in favour of Calls.

Trade Idea:
With crypto becoming a trump card for the upcoming US elections and with potential institutional interest once the spot ETF debuts, 3k remains as strong support for ETH. Earn 37% p.a. weekly as long as ETH fixes above 3k with the CFCC (Conditional Fixed Coupon Convertibles)
(spot ref: 3900)

ETH CFCC (23-AUG 12 weeks. USD deployment)
Cost: ZERO
Payout: 37% pa every Friday as long as spot price is above 3k (threshold level)
At expiry, only if spot price is below 2900 protection level, USD will be converted to ETH at 3400 strike.
As long as spot price is above 2900 at expiry, 100% of the USD principal is returned.

QCP London / New York Colour – 28 May 24

- Movement of BTC from a Mt. Gox cold wallet this morning triggered a sell off below 68k.
- However, these bouts of supply anxiety are likely to be blips in a broader trend higher into the end of the year.
- 3 bullish reasons:
a. Stronger equity markets led by counters like Nvidia should pull crypto prices higher as well
b. Crypto is seeing unprecedented political support in the US (Bill passed to create regulatory clarity for digital currencies, positive turn by the SEC on the ETH spot ETF, Trump's overt support with Biden likely to follow suit)
c. We expect strong demand for the ETH spot ETF once it begins trading, brining in a fresh capital into crypto

Trade Ideas:

1. BTC Spot-Forward Basis remains elevated despite the selloff today. Lock in 11-12% pa with zero downside held to end-Dec.

2. ETH Accumulator to increase ETH longs towards the S-1 approval.

Buy ETH spot at 12% discount (3400) every week as long as spot price is under 4900.

Maturity: 11OCT24 (20 weeks)
Strike: 3,400 (-12.4%)
Upper Barrier: 4,900 (+26.3%)
Observation Frequency: Weekly
(Spot Ref: 3,880 ETHUSD)

QCP Asia Colour - 29 May 24

- ⁠Markets are quiet with BTC having achieved equilibrium once more, trading in a 60-70k range while ETH awaits the next stage of spot ETF approval.
- ⁠The market brushed off (maybe too quickly) confirmation that the Mt.Gox wallet move was in preparation for distribution.
- ⁠⁠The only thing to upset this state of zen is the persistently high spot-forward basis and perp funding suggesting there is still strong positioning and hence possible risk to the downside.

Trade Ideas:
We continue to favour longer term ETH bullish trades as well as the zen maximising spot-forward basis.

1. ETH Dec ERKO Seagull
Buy 27DEC24 4,000 CALL with ERKO above 6,800
Sell 27DEC24 3,000 PUT
Cost: ZERO
Max payout: 2,799 USD per ETH if ETH spot expires just below 6,800.
Downside: At expiry, if spot is below 3,000 then put is exercised and you buy ETH at 3,000.

2.⁠ ⁠BTC Spot-Forward Basis remains elevated despite the selloff today. Lock in 12% pa with zero downside held to end-Dec.

For those holding onto BTC (or ETH) longs and are looking to generate a meaningful yield, the deck below contains some possible strategies:

https://docsend.com/view/dckhau98kegtwnf4

QCP Asia Colour - 30 May 24

- BTC defended the 67.1k level for the fourth time in 2 weeks, continuing its consolidation within the range.
- Uncertainty about potential Mt Gox BTC supply hitting the market by October could hinder BTC, potentially benefiting ETH upon the launch of the ETH spot ETF.
- The desk observes bullishness in ETH, with sizeable buyers of 4k/5k ETH call spreads for end-June 2024.
- Traders are shifting focus to higher beta meme tokens like Shiba Inu (SHIBA), Dogecoin (DOGE), and Pepe (PEPE), which have seen double-digit gains (10-20%) and are polling in the top 10 for Open Interest.
- BlackRock filed amended S-1 forms overnight, with other issuers likely to follow soon. Approval may come by early July.

Trade Ideas:
With the market consolidating in the range and eagerly awaiting the ETH Spot ETF launch, accumulators continue to be attractive allowing you to consistently accumulate ETH at a discount!

ETH Accumulator (Indicative)
Spot Ref: 3,700 ETHUSD

Maturity: 11OCT24 (20 weeks)
Strike: 3,200 (-13.5%)
Upper Barrier: 4,400 (+18.9%)
Observation Frequency: Weekly

Buy ETH spot at 13.5% discount (3200) every week as long as spot price is under 4400. Any collateral not used to accumulate ETH for that week will be returned.

For BTC and ETH holders, we have developed some thoughts around strategies for earning yield on your coin holdings. (See above)

QCP Weekend Note – 1 Jun 24

- Vols have been absolutely crushed after ETH spot ETF approval this week in spite of prevailing catalysts:
1. Bearish BTC - potential supply from Mt. Gox distribution (~$9.6b) and also from DMM hack (~$305m)
2. Bullish ETH - ETH spot ETFs could start trading earlier than expected in June with the SEC urging applicants to submit S-1 forms by 31 May
- A sleepy market may get caught offside and our bet is on the bullish side, particularly for ETH.

Trade Ideas:
ETH Sep KIKOs (Knock-In, Knock-Out)
Sell 3000 Put w 2500 Knock-in (protection)
Buy 4500 Call w 6200 Knock-out
Cost: ZERO
Max payout: 175% pa or $1,700 USD per ETH if spot expires just below 6200)
Downside: At expiry, if spot is below 2,500, you buy ETH at 3,000.
(Spot ref: 3780 )

QCP Asia and London Colour – 3 Jun 24

- The market remains stubbornly bullish in spite of negative headlines about Mt. Gox and the DMM hack last week, BTC rallied confidently above 69k today in Asia.
- Alts especially have benefited from bullish speculation, perhaps stoked by the surge in GameStop (GME) following the reappearance of Roaring Kitty revealing a massive $200m long position in GME. The GameStop memecoin rallied 300% on this!
- This bullishness is likely to continue as the market waits for the ETH spot ETF to usher in new demand. The options market certainly reflects this with ETH vols still trading 15% over BTC vols.
- Another reason for persistent bullishness is speculators increasing long positions in other crypto majors in anticipation of additional spot ETF approvals in the near future.

Trade Idea:
If you are moderately bullish (ie not looking to chase the market) and you are looking for rich yield, ZCCs generate a high upfront payment with some protection on the downside.

ETH ZCC (Zero Coupon Convertible)
Upfront payment: 26% pa ($251 per ETH)
Expiry: 27-Sep
At expiry, if spot is below 2,500, you buy ETH at 3,000.
(ETH spot ref: 3800)

QCP London and New York Colour – 4 Jun 24

- As BlackRock's BTC spot ETF becomes the fastest ETF ever to cross $20b in size, we are seeing more follow suit with Thailand's SEC approving the first BTC spot ETF and Australia's first BTC spot ETF starting to trade today.
- Unprecedented inflow access for traditional capital around the world will undoubtedly keep BTC price supported. BTC has touched 71k into the NY session.
- We expect a further boost to this bullish momentum with NFP this Friday. The markets are pricing in 0% chance for a rate cut in June and July, A weaker NFP number might change that. Could this be the catalyst to break all-time highs?

New Strategy Alert
We expect ETH to play catch up here especially with the ETH spot ETF about to go live. Snatch up some ETH at discount with the Early Delivery Accumulator.

Unlike the regular Accumulator, you buy coin at discount upfront (4 observations worth) instead of week by week, thereby reducing the chance of price rallying past the upper barrier.

ETH Early Delivery Accumulator
You buy 12.5% of your deployment upfront at 3380 (11.4 discount to spot!). From the 5th week onwards, you buy at 3380 every Friday as long as spot price is below 4400.
Expiry: 20-SEP (16 weeks)
Strike: 3,380 (-11.4%)
Early Delivery: First 4 weeks are settled immediately
Upper Barrier: 4,400 (+15.33%)
Observation Frequency: Weekly starting from 5-JUL
(ETH Spot Ref: 3,815 )
*please check with the desk for additional details

QCP Asia and London Colour – 6 Jun 24

- BTC ETFs saw yet another strong day with $488.1m in net inflows.
- The desk saw more call buying overnight, targeting Jul 100k strike.
- A lower than expected jobless claims report tonight and the CPI release next week might potentially be the trigger for a new all time high for BTC. There may also be added momentum to the rally as the market prices in rate cuts.
- Meanwhile ETH continues to lag as SEC Chairman Gary Gensler notes that the ETH ETF S-1 Approvals 'will take some time'.

Trade Idea:
With the S-1 approval delayed, we expect ETH to continue lagging in the short term but eventually outperform BTC once the ETF starts trading.

Accumulate ETH at discount immediately with our revised early accumulator to receive more ETH upfront now.

Early Delivery Accumulator 2.0 (ETH)
On a 500,000 USD Deployment, you will buy 35.7316 ETH at 3500 ETHUSD (9% discount). ETH is credited to your account immediately.

From the 5th week onwards, you will buy at 3500 every Friday as long as the spot price is below 4450.

Maturity: 20SEP24 (16 weeks)
Strike: 3,500 (-9.09%)
Upper Barrier: 4,450 (+15.58%)
Observation Frequency: Weekly starting from 5JUL24
(Spot Ref: 3,850 ETHUSD)

QCP Asia and London Colour – 7 Jun 24

- Front-end vols were pressed lower yesterday with BTC now well under 50% and ETH under 60%.
- We find this move lower in vols unusual ahead of an important NFP number. A miss here would likely see the market price in a higher probability of Fed rate cuts in June or July - a very bullish catalyst.
- Yesterday's rate cuts by Canada and ECB will also increase pressure on the Fed to cut rates.

Trade Idea:
With lower vols just ahead of a potential catalyst event, buying June Digital Calls could deliver outsize returns.

BTC 80k 28-Jun
5x payout if BTC spot price is above 80k at expiry.
(Spot ref: 71,000)

ETH 5k 28-Jun
10x payout if ETH spot price is above 5k at expiry
(Spot ref: 3,800)

QCP Weekend Colour - 8 Jun 24

- A doubly strange session overnight starting with:

1. Strong upside surprise on NFP (272k vs 182k), higher payrolls that came with higher unemployment (from 3.9% to 4.0%). It was confusing enough to trigger a risk-off ahead of US inflation numbers and FOMC next Wed.

2. Followed by a Roaring Kitty live stream which had almost a million viewers, during which GME stock price crashed. It was probably not a coincidence that Alts and Memecoins started collapsing as well with over $40 billion wiped in market cap.

- Our desk saw bullish flows on this dip, both sellers of aggressive puts and buyers of call spreads especially in BTC.

- BTC and ETH have since bounced off the lows of 68.3k and 3575.

- We agree that this is a good opportunity to buy the dip as the markets will increasingly price in at least one Fed rate cut from here. It will be difficult for the US to ignore as the rest of the world continues to cut rates.

Trade Idea:
Maximum upside at zero cost with ERKO Seagulls.

BTC 27-Dec ERKO Seagull
Buy 75k call with 125k knock-out
Sell 60k put
Cost: ZERO
Max payout: 150.5% pa or $50k per BTC if spot price is just below 125k level at expiry.
(Spot ref: 69,200)