January CPI Print Exceeds Expectations As Yield Curve Inversion Deepens; Race For zkEVMs Heats Up With Polygon Announcement

15 Feb 2023, Wednesday

3:06 AM

January CPI Print Exceeds Expectations As Yield Curve Inversion Deepens; Race For zkEVMs Heats Up With Polygon Announcement



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

  • CPI print comes in hotter than expected, rising 0.5% in January; Bond curve sees a deeper inversion as front-end yields jumped higher than long ends (more in Macro & TradFi)
  • Siemens announces its first blockchain based digital bond; Polygon reveals the date of its zkEVM mainnet Beta (more in DeFi & CeFi)
  • Net Unrealized Profit/Loss Ratio back into the positive, recent negative NUPL period is the second longest out of previous bear markets (more in On-Chain)
  • Near dated IV falls as the term structure flattens for BTC & ETH (more in Crypto Derivatives)
  • BTC and ETH whipsaw on CPI day (more in Crypto Technical Analysis)

Macro & TradFi

The heavily anticipated CPI night came in hotter than expected; the Consumer Price Index rose 0.5% in January, translating to an annual increase of 6.4%, which was higher than the expected 0.4% and 6.2% respectively. The core CPI, which excludes volatile food and energy prices, increased 0.4% monthly and 5.6% from a year ago, also higher than the expected 0.3% and 5.5%. Rising shelter, gas, and fuel prices contributed to the inflationary pressure. Elsewhere, US says the UFOs found after shooting down Chinese balloons are likely used for commercial purposes, easing concerns of spy activities. Singapore unveiled a budget to blunt cost-of-living pressures while funding protection for the most vulnerable households and businesses against persistent inflation. Air India announced a 470-plane order with Airbus and Boeing in what stands to be the largest purchase of aircraft in commercial aviation history.

US markets had a rollercoaster session after CPI print as the market traded in a W fashion; SPX closed up 0.6%, SPX down 0.2% and DOW down 0.5%. Bond curve saw a deeper inversion as front-end yields jumped higher than long ends; 2-year yields jumped almost 10bps wider while 10-year yields traded 5bps wider.

DeFi & CeFi

  • Polygon zkEVM Mainnet Beta will go live on March 27th
  • Yearn Finance launches a new AI product called yGenius
  • zkSync announces re-genesis of its mainnet before its next alpha test
  • Monad Labs, the company behind the new L1 Monad Blockchain, closes a $19 million seed round funding
  • Siemens issues its first digital bond on a public blockchain
  • Rollup infrastructure provider Caldera closes two rounds led by Sequoia and Dragonfly capital respectively, totaling $9M
  • Asset custody and tokenization services provider Taurus raises a $65M Series B round led by Credit Suisse

Yesterday, the German electronics company Siemens announced that it will issue its first digital bond on a public blockchain. With a face value of 60 million EUR and a maturity of one year, this makes Siemens one of the first companies in Germany to issue a digital bond. According to Peter Rathgeb, the corporate treasurer of Siemens, this will make transactions faster and far more efficient than paper-based bonds. Investors will also no longer need a bank to act as the intermediary to facilitate the purchasing of this bond.

On the other hand, Polygon publicly announced that the zkEVM beta will go live on March 27th. Before this, Polygon zkEVM has already gone through two testnets with over 84,000 wallets and 300,000 blocks produced. Once deployed Polygon zkEVM will be a scaling solution that is EVM equivalent which significantly simplifies the developers’ work to migrate codes from Ethereum.

Lastly, multiple VC deals were announced yesterday which include a new Layer 1 blockchain, a rollup infrastructure provider, and an asset custody/tokenization service provider led by Dragonfly Capital, Sequoia Capital, and Credit Suisse respectively.


For on-chain, the Net Unrealized Profit/Loss Ratio (NUPL) for Bitcoin indicates that the recent price rally has pushed the market back into a period of unrealized profit, where the average holder is making gains. Historical analysis of past bear markets shows that the current cycle has a similar duration of negative NUPL as the 2011-12 and 2018-19 cycles, but is not as long as the 2015-16 bear market.

Elsewhere, RHODL ratio, which compares the wealth held by single-cycle Long-Term Holders (6m-2y) to the youngest Short-Term Holders (1d-3m), has reached an inflection point. Wealth can only leave the long-term holder cohort through maturation or spending of coins. Currently, the indicator is showing a sudden rotation of capital from the previous cycle's long-term holders to a new group of buyers. This phenomenon has been consistent in prior bear markets, signaling a significant change in the market's structure and character.

Crypto Derivatives

  • BTC and ETH funding rates remain positive
  • 30-day ATM IV fell to 44.44% and 58.17% for BTC and ETH respectively
  • 30-day 25d call skew rose to -0.49% for BTC and fell to -4.76% for ETH respectively

Top 3 CEX USDT perp funding rate arbitrage based on last 24-hour lookback:

Net Annualized APR

Perp (USDT pair)

Long on

Short On













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

For futures, total liquidations in the past 24H amounted to $78.63M, majority coming from longs at $55.52M.

On the options front, IV fell across the curve post-CPI. Despite IV crashing, the term structure remains in backwardation for the month of February. RV continues to rise jumping up to 37.14 for BTC and 53.32 for ETH. Variance risk premium puked to 5.91% for BTC and to 4.75% for ETH after the CPI inflation print.

On the flow front, the volume comes mainly from short-dated options expiring on 17 February and 31 March for ETH. On both the BTC & ETH side, the most popular strategy is the short risk reversal, with a notional of $32.34M over the past 24H, as traders look to protect their longs from the next leg down.

Lastly, the VIX fell 7.03% to 18.91.

Crypto Technical Analysis

Onto TA, BTC whipsawed during the US session but ultimately climbed higher by 1.9% to $22.2K, breaking out of its prior trading range. Daily RSI jumped above the neutral level while H4 RSI is gaining momentum. The levels to watch out for would be the $22.5K-$22.8K resistance zone should the bullish momentum continue or the $21.5K-$22K trading zone should the rally ease.

Similar to BTC, ETH rallied by 3.3% on the daily chart to $1,555 before a slight pullback. Prices to watch out for would be the $1,570-$1,600 resistance zone should prices continue to rally and the $1,500 support level if the rally was to be rejected.

Daily Readings



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Yours sincerely,
Treehouse Research 🌳