S&P 500 Futures
Note: All percentages shown above are referenced to the previous business work day's 09:00 (GMT+8)
GM Treehouser 🌳
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Our Daily View
What We Are Covering Today
- Stocks finished green as unemployment rate signals stress in the jobs market (more in Macro & TradFi)
- Binance to let go of its FTT holdings after leaked Alameda’s balance sheet (more in DeFi & CeFi)
- BTC's Number of Addresses Holding 1k+ coins just reached a 1-month low suggesting profit taking (more in On-Chain)
- Alameda FUD reflected in rising vols and tightening skew; VVIX makes new lows since July 2019 (more in Crypto Derivatives)
- BTC and ETH created new higher highs on the daily charts (more in Crypto Technical Analysis)
Macro & TradFi
GM! The US stock market closed off last week in the green as the US unemployment rate came in at 3.7%, exceeding consensus of 3.6%. Meanwhile, nonfarm payrolls exceeded the consensus of 200K, coming in at 261K. Over in Asia, China has crushed rumors that it will loosen up its zero-COVID policy, stating that they will continue with their "dynamic-clearing" approach to COVID-19 cases. The week ahead seems to be a volatile one, as we await the outcome of the US midterm elections on Tuesday. Investors and traders will also be keeping a lookout for CPI data on Thursday, which will give more color on the likely outcome of the next rate hike. Money markets are currently pricing in a 61.5% chance of a 50bps rate hike in December.
US stocks closed green, with the S&P 500 up 1.36%, the Nasdaq up 1.56%, and the DJIA up 1.26%. The 10Y yield increased to 4.159%. Meanwhile, WTI crude increased 3.64% to $91.21 a barrel.
Economic Calendar for the Week:
- Monday: US Consumer Credit
- Tuesday: US Midterm Elections, China CPI, Eurozone Retail Sales
- Wednesday: US Wholesale Inventories
- Thursday: US CPI, Initial Jobless Claims
- Friday: University of Michigan Consumer Sentiment, University of Michigan Consumer 5-year Inflation Expectations
DeFi & CeFi
- DeFi TVL down 2% in past 24 hours
- Binance plans to sell FTX token holdings after leaked Alameda’s balance sheet
- Friktion offers under-collateralized crypto lending for institutional clients
- Google cloud to become a Solana validator
- Loopring down for 11 hours after DDoS attack
Alameda’s unofficial balance sheet was leaked to CoinDesk. In the leak, it revealed that the company holds $5.8 billion of FTT tokens (including $FTT used as collateral). Later during the same day CZ, CEO of Binance announced that the exchange would begin selling off its FTT holdings. Though he did not specify how much FTT that would be, he mentioned that Binance’s equity from FTX equity last year amounted to some $2.1B in BUSD and FTT. FTT has whipsawed over the weekend as a result of the news.
BTC Number of Addresses Holding 1k+ coins just reached an 8-month low of 2,109 addresses. This suggests possible profit taking during crypto's prudent performance of late.
On the other hand, ETH Mean Gas Usage (7d MA) has reached an ATH of 107,623,636. Network activity on ETH has been stretched further as some new layer 2s including zkSync and Arbitrum have been rumored to have incentives that might mimic Optimism's token release in May.
- Funding rate remains positive on BTC and ETH
- 30-day IV rose for both BTC and ETH to 50% and 75.62%, respectively
- 30-day 25d put skew tightened for BTC and ETH to -3.62 % and -4.81%, respectively
For futures, total liquidations yesterday amounted to $453M with the majority of it coming from short liquidations at $262M.
On the options front, IV fell over the weekend as a result of DOV selling pressure and a weekend low RV. However, IV rose again as the spot fell during the early Asian session on Monday. Furthermore, put skew tightened on both BTC and ETH after steadily rising in recent weeks. The ongoing Alameda FUD likely contributed to the above changes we saw.
On the flow side, BTC leaned towards protection buying as put spreads expiring in December were dominating the tape. Meanwhile, ETH saw more near-term upside buying as calls expiring in November were being bought.
Elsewhere, the VIX has been falling precipitously since peaking at 33% last month. Despite market weakness over the last week, the VIX has continued to fall, which contradicts the common "spot down, vol up" dynamic. Lastly, the VVIX (vol of vol) index has dropped to its lowest level since July 2019, indicating a lack of demand for options and/or strong selling pressures that are suppressing vols.
Crypto Technical Analysis
BTC is currently at $20,910 and is up 3.46% since Friday's daily open. Price had surged up through Friday till market close with an extension of upward pressure on Saturday before retracing on Sunday. This has created new higher highs on the daily chart with price currently rejected and well above its 50-day EMA. On the H4, we can see that structure has also turned bullish and the next area of contention is likely the $22.5k region in the medium to short term.
For ETH, price is at $1,568 and has moved up by 2.40%. Similarly, price had seen a strong performance on Friday however, with a slight bearish retracement on both days of the weekend. On the daily, ETH is also on an uptrend and above its 50-day EMA. The H4 reiterates the uptrend it is currently in and is likely for ETH to travel to its $1,750 resistance zone in the short run.
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