S&P 500 Futures
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
- Sentiment improved as Italian testing of Chinese inbounders found no new strains (more in Macro & TradFi)
- SEC: $200 million in FTX client deposits were invested in Dave and Mysten Labs; FTX Japan gives updates on return of user assets (more in DeFi & CeFi)
- Potential MVRV MACD crossing could indicate BTC is reaching a bottom and low-risk accumulation zone (more in On-Chain)
- Over $4 billion notional ETH and BTC contracts expiring today (more in Crypto Derivatives)
- BTC and ETH edge higher after US trading session but bearish structure remains (more in Crypto Technical Analysis)
Macro & TradFi
Markets bounced after initial Italian testing of inbound Chinese tourists found no new strains, easing concerns of an emerging variant that’s both infectious and fatal. US initial jobless claims came in line with expectations (225k actual vs 225k consensus). Meanwhile, China vowed to expand fiscal spending to lead private investment, boost consumer spending and stabilize foreign trade in an attempt to offset negative drag from US efforts to move supply chains and technological access out of the country.
US stocks scored the biggest daily win in a month; NASDAQ added 2.3%, SPX 1.59% and DOW 0.89% albeit volume was thin during year-end liquidity. US 10-year Treasury yields traded ~7bps tighter as well. European counterparts pushed higher alongside, with Germany’s DAX up by over 1% too.
DeFi & CeFi
- $200 million in FTX client deposits were invested in Dave and Mysten Labs according to SEC
- Binance announces to perform maintenance on BNB Beacon Chain (BEP2) wallets
- FTX Japan gives updates on return of user assets
- Solana-based token distribution platform Streamflow launches on Aptos mainnet
- Ethereum-based liquidity protocol Vader's team announces sunsetting protocol
- BNB Chain stableswap Wombat Exchange partners with Frax Finance
Dave, a financial technology company, and Mysten Labs, a Web3 startup, received $200 million of FTX's billions in customer deposits. The SEC directly linked the two $100 million investments to customer money, potentially making them recoverable. If the FTX bankruptcy trustee can prove that customer funds were invested by SBF, they may be able to retrieve them.
Furthermore, FTX Japan has issued a new statement about the recovery of user assets. The release claims that the team is progressively establishing mechanisms to enable clients to withdraw and store assets on both FTX Japan and Liquid Japan websites. On the Liquid Japan website, consumers may monitor their FTX Japan balances and make withdrawals and credits. The team anticipates returning customer funds by mid-February 2019. In mid-January, eligible customers will get a Liquid account opening email.
Lastly, Ethereum-based liquidity protocol Vader declared that the team is sunsetting the protocol and returning protocol-owned cash and team treasury to $VADER and $USDV holders. The developers suspended VADER-burn-to-mint USDV's function following $UST's depeg as a precaution since its original algorithmic stablecoin $USDV uses the same technique. The team researched new algorithmic stablecoin architectures but identified no capital-efficient algorithmic stablecoin design breakthrough after extensive investigation. Thus, the team terminated the protocol. Vader will do a Merkledrop for all $VADER, $xVADER, and $USDV holders. In order to get the Merkledrop on Vader's web app, eligible users must do so before June 2023.
Looking on-chain, BTC is now nearing the bottom range of its lifetime Power Law fitted curve and is about to cross its 400-day MVRV MACD. Such an event has historically been the bottom quarter for each cycle and can indicate that now might be a relatively lower risk period to begin accumulating BTC.
Elsewhere, the number of BTC Transactions reached a 3-month low of 10,192.470. BTC transactions have been falling in line with downward trends in price since the all-time highs of November 2021.
- BTC and ETH funding rate remain positive
- BTC and ETH 7-day ATM IV fell from 37% to 31% and 47% to 43% respectively
- 7-day 25-delta put skew tightened for both BTC and ETH, going from -6.60% to -3.95% and -7.1% to -5.51%
For futures, total liquidations came in at $10.2M, with the majority coming from shorts at $7.2M.
IV fell slightly across the curve for both BTC and ETH. Term structure is still in contango, largely unchanged. The 30-day RV for BTC continues to fall and is now at 22%. Put/call ratio for BTC and ETH remains relatively unchanged at 0.51 and 0.23 respectively.
IV fell across the term structure for both BTC and ETH, with a more drastic fall in the near-term going into the new year. Term structure is still in contango, largely unchanged. RV for ETH also fell from 30.58% to 25.8%, with IV and RV falling, it seems that the market is not expecting any major price movement over the weekends.
On the flow front, there is a large amount of BTC and ETH options that would expire today (30 DEC 22), with a notional value of 2.35B and 2.34B respectively. Volume in the past 24h was low, the most traded instrument was $1,350 strike price ETH expiring 13 JAN 23 with only a volume of 2k contracts.
Lastly, the VIX fell lower and is now trading at 21.44.
Crypto Technical Analysis
Now for TA, BTC saw a slight uptick, increasing by 0.53% to $16.6K in the past 24 hours. Price bounced off the $16.45K support level after US trading session but remains below the 20 period MA line on the 4 hourly. RSI has also seen a push towards the neutral level though momentum has fizzled off. For now, the tight range of $16.4K - $ 16.9K remains intact with bulls holding their ground.
Meanwhile, ETH rose by 0.9% to $1.2K overnight. Despite the rally, its bearish structure remains on the H4 timeframe, similar to BTC. Currently, price has been rejected by the $1.2K resistance level but could see a retest soon if bulls manage to hold their ground at $1.18K.
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