S&P Futures 500
Note: All percentages shown above are referenced to the previous business work day's 09:00 (GMT+8)
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Our Daily View
What We Are Covering Today
- China reduces deposit rates to boost economic recovery; UBS completes the acquisition of Credit Suisse, making it a Swiss banking Behemoth (more in Macro & TradFi)
- Curve Finance founder deposits $24M in CRV on Aave; BNB chain prepares to take over Venus Protocol’s $150M position (more in DeFi & CeFi)
- Exchange withdrawal size indicates divergence in investor behavior; short-term holders show more exchange activity after recent volatility (more in On-Chain)
- Near-term implied volatility bids higher into CPI; Large buyers of long-dated vega on next-year March expiries (more in Crypto Derivatives)
- BTC and ETH show consolidation, while BTC's dominance grows, potential market sentiment shifts ahead (more in Crypto Technical Analysis)
Macro & TradFi
Chinese commercial banks have reduced interest rates on yuan deposits, following the lead of larger state lenders. The rate cuts, which include demand deposits and time deposits of various durations, mark the second industry-wide reduction in a year. Analysts anticipate that these deposit rate cuts will create room for the central bank to further lower the reserve requirement ratio (RRR) in order to stimulate credit expansion and boost investment spending. This action comes as China's economy has experienced a slowdown in the second quarter, with challenges such as rising unemployment, declining exports, and a sluggish property market. The People's Bank of China has expressed its commitment to implementing "counter-cyclical" policies to support the real economy and reduce funding costs.
Meanwhile, UBS has successfully completed its emergency takeover of Credit Suisse, the largest deal in the banking sector since 2008, creating a Swiss banking and wealth management giant with a $1.6 trillion balance sheet. The merged banks now employ approximately 120,000 individuals worldwide, with UBS planning job cuts to reduce costs and leverage synergies. UBS has also announced management changes, including the appointment of leaders from Credit Suisse. However, the deal challenges the notion of Switzerland as a stable investment destination and highlights the ongoing risk of bank failures impacting taxpayers. The disappearance of Credit Suisse's investment bank signifies the retreat of European lenders from securities trading. While UBS is expected to generate significant profits from the deal, CEO Sergio Ermotti cautions that the integration process will be "bumpy" and could take three to five years. Analysts note concerns about the new bank's size and potential for increased regulation and capital requirements. The long-term value and success of the deal for shareholders remain uncertain, as UBS may face difficulties in retaining staff and customers during the transition.
Lastly, in anticipation of the potential pause in interest rates and the betterment of inflation data, the S&P 500 and Nasdaq reached their highest closing levels since April 2022, driven by gains in heavyweight stocks like Amazon, Apple, and Tesla. The S&P 500 has now recovered 21% from its October 2022 lows, signaling a potential bull market. During the previous trading session, the S&P 500 (SPX), Dow Jones Industrial Average (DJIA), and NASDAQ concluded with gains of 0.93%, 0.56%, and 1.76% respectively.
DeFi & CeFi
- Curve Finance founder collateralized 33% of circulating supply ($CRV) on Aave and borrowed stablecoin
- Liquidation of $200 million worth of Binance Coin ($BNB) imminent; BNBChain team to assume the position
- Bitcoin Ordinals introduces "Recursive Inscriptions" to bypass the 4MB block size limit
- Tether mints 1 billion $USDT on Ethereum
- 196 million $BLUR tokens (6.5% of total supply) will be unlocked on 15th June
- Robinhood experiences a 43% decline in crypto trading volumes during May
- Binance US market contracts by 78% within a week following SEC lawsuit
Curve Finance founder Michael Egorov has utilized Aave, a decentralized lending platform, to safeguard against the risk of liquidation in a $65 million stablecoin loan. To mitigate this risk, Egorov has deposited $24 million worth of CRV tokens onto the platform. This move represents a significant portion of the circulating supply, with over 291 million CRV tokens, equivalent to 34%, now held on Aave. Egorov's wallet serves as collateral, providing a total of $188 million, with $64.2 million borrowed in USDT in an open position.
The developers behind the Ordinals protocol have introduced a groundbreaking feature called recursive inscriptions, which addresses the 4 MB block size limitation for NFTs on the Bitcoin network. This innovation allows inscriptions to collaborate and reference the content of other inscriptions, leading to improved efficiency and reduced costs. By leveraging subsequent inscriptions with minimal code, larger collections of profile pictures or artwork can be stored more effectively on the blockchain, potentially resulting in significant savings on transaction fees. This development greatly expands the potential use cases for the Ordinals protocol and has the potential to transform marketplaces and explorers into Bitcoin web browsers, effectively creating an internal internet within the blockchain.
According to Glassnode, in light of the significant legal allegations faced by the two largest exchanges and the complex regulatory landscape in the United States, it is crucial to examine investor response and exchange activity for valuable insights. Notably, there is a divergence in investor behavior observed this week. Withdrawals of transactions below $10 million consistently reflect outflows exceeding $130 million per day. Conversely, transactions surpassing the $10 million mark exhibit a steady inflow ranging between $15 million and $30 million per day. This indicates that larger entities, particularly institutions, are more impacted by the recent news from the SEC compared to smaller entities.
Next, as mentioned by @glassnode, when we analyze the total deposit volumes and segment them based on investor cohorts, it becomes evident which groups have reacted most significantly to the recent developments involving Binance and Coinbase. Short-Term Holders (STHs) constitute a substantial portion, accounting for 76.4% of the deposit volume. This indicates that recent buyers have been actively responding to the news. In contrast, Long-Term Holders make up a mere 1.9% of the deposit volume, and have shown minimal reaction. Inter-Exchange Transfers , on the other hand, represent 21.7% of the deposit volume suggesting that investors are opting for self-custody rather than transferring their coins to other exchanges. Overall, the data reveals that historically, STHs have exhibited a higher level of responsiveness, comprising approximately 60% of deposit flows. Conversely, Long-Term Holders remain relatively calm, with a comparatively low volume of inflows to exchanges when considering their total holdings.
- BTC and ETH funding rates remain positive while alts are showing negative funding rates
- 30-day ATM IV for both BTC and ETH increased to 41.82% and 43.10%, respectively
- Deribit Implied Volatility Index (DVOL) for both BTC and ETH rose to 49.44% and 52.49%, respectively.
- 30-day 25-delta skew for both BTC and ETH is at -2.35% and -4.75%, respectively
Top 3 CEX USDT perp funding rate arbitrage based on last 24-hour lookback:
Net Annualized APR
Perp (USDT pair)
Source: @CexyArbBot Telegram
1) Pairs observed include BTC, ETH, SOL, BNB, XRP, LTC, DOGE vs USDT perps
2) CEX observed include Binance, Bybit, OKX & DYDX
@CexyArbBot allows you to customize CEX, 100+ pairs & lookback periods combo
In the futures market, approximately $59M worth of liquidations occurred yesterday. The majority of it came from long liquidations at $36M.
Shifting our focus to the options market, implied volatility is on the rise as we approach a week filled with significant events. Traders are actively driving up the near-term IV for both BTC and ETH by placing bids on short-term options in anticipation of tonight's CPI release as this data will have a significant impact on the Federal Reserve's decisions in the upcoming meetings. The current term structure is showing a steep backwardation, primarily due to the elevated levels of near-term IV.
In the meantime, the levels of both BVIV and EVIV continue to climb, while the positive spread (EVIV - BVIV) persists. EVIV has now surpassed the 50% handle after falling below it on May 25th. Similarly, BVIV is showing progress in surpassing the 50% handle, as it has been unable to breach below the previous lows of 44% observed in early January 2023. It appears that traders are finally becoming aware that volatility has consistently been underpriced, particularly regarding recent actions taken by the SEC against several exchanges.
In terms of skew, both BTC and ETH are turning even more negative, which implies a higher premium for put options against calls with similar deltas. Given the prevailing regulatory uncertainty in the crypto market, it comes as no surprise that traders are increasingly favoring put options as a means of protection during this week of significant macroeconomic events.
On the flow side, the majority of the trading volume was focused on call options for BTC. Significant premium were exchanged for the expiration date of March 29, 2024. As reported by @tradeparadigm, there is a notable buyer of vega for the March expiries, involving the purchase of 200x 26K calls and 100x 27K calls. Similarly, ETH experienced similar flows on longer-dated expiries, with substantial vega buyers also present for the March expiries. In the case of ETH, 2000x of both 1.8K and 1.7K calls were purchased. Given the prolonged period of depressed longer-term volatility, it is unsurprising that traders are now beginning to accumulate vega on longer-dated options, as they anticipate a mean reversion of volatility towards its historical average.
Lastly, the VIX rose higher to 15.01%, which is no surprise given upcoming CPI and FOMC.
Crypto Technical Analysis
An evaluation of BTC's 4-hour chart reveals a discernible descending triangle pattern formation. An eventual breakout, be it upward or downward, could serve as a significant barometer of an impending shift in market sentiment. Significantly, during this period, the price has breached all three critical Moving Averages - the 50, 100, and 200 MAs, hinting at potential bearish pressure. The Relative Strength Index (RSI), witnessed a slight uptick and currently stands at 49.73, a level just shy of the equilibrium point, reflecting a balanced force between buyers and sellers.
In examining ETH, ETH showed no substantial changes for the past 2 days, with its price consistently consolidating on the 4-hour chart at 1.7K. Notably, the price of ETH has dipped below its 100-day Moving Average, mirroring the pattern seen in BTC. This may suggest a prevalent bearish sentiment among the investing crowd. At the moment, the price of ETH resides at the support level in the 1.76K range. The Relative Strength Index (RSI) currently reads at 38.67, indicative of a market that could be verging on oversold conditions.
Continuing our analysis, BTC's dominance, as reflected on the daily chart, is seen progressing within an ascending channel. Historically, the dominance has shown a tendency to retreat whenever the Relative Strength Index (RSI) breaches the 70 mark, an event that has occurred in the last four instances. Currently, the Dominance has moved above all three of its primary Moving Averages - the 50, 100, and 200 MAs, signaling a strong bullish dominance of BTC in the market. The RSI is presently at 70.24, bordering on the overbought territory, which may imply a potential pullback in the dominance in the near future if the historical pattern repeats.
Access institutional-grade commentary on TradFi × Crypto markets
By Treehouse Research
Treehouse Research 🌳