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
- Resilient US economy surpasses expectations with 2% GDP growth; Jobless claims show a positive trend in labor markets (more in Macro & TradFi)
- Asian financial institutions explore tokenized trading and digital insurance (more in DeFi & CeFi)
- Significant shifts in BTC market dynamics and altcoin whale movements underscore current cryptocurrency volatility (more in On-Chain)
- Significant decline in BTC and ETH ATM IV and volatility risk premium; ETH 30-day 25-delta skew turns negative (more in Crypto Derivatives)
- Spot Bitcoin ETF filings continue to dampen the momentum in altcoins (more in Crypto Technical Analysis)
Macro & TradFi
The US economy once again showcased its resilience as it surpassed expectations with a solid 2% growth in first-quarter gross domestic product (GDP). This growth rate exceeded the anticipated 1.4% and indicated a healthier economic landscape than initially projected. Furthermore, initial jobless claims of 239K came in slightly lower than expected, reflecting a positive trend in the labor market. Federal Reserve Chair Jerome Powell's recent comments suggested the potential for further rate hikes this year to combat stubborn inflation. Powell emphasized that he does not foresee inflation reaching the 2% target soon, underscoring the need for continued vigilance in the central bank's inflation-fighting measures.
Elsewhere, US financials exhibited notable gains with major players in the sector showing positive movements. Stock prices of Bank of America Corp., JPMorgan Chase & Co., Goldman Sachs Group, Inc., and Wells Fargo & Company all jumped. The positive momentum stems from these institutions successfully passing the Federal Reserve's stress test. However, it is worth noting that banks may exercise caution with their payouts this year due to ongoing regulatory considerations. Following the failures of several large regional banks, regulators, including the Federal Reserve, are contemplating additional capital and supervision rules. The implications of these rules could impact the banking sector and require increased capital reserves.
Bank stocks led the charge in Thursday's market, propelling major indices higher. The Dow Jones Industrial Average closed with a solid 0.8% gain, while the S&P 500 recorded a respectable 0.45% increase. In contrast, the NASDAQ Composite ended the day unchanged. Notably, oil prices experienced a decline, while gold remained steady after briefly dipping below $1.9K on Thursday due to the impact of US jobless claims data.
DeFi & CeFi
- Singapore explores Tokenized Asset framework with 11 financial institutions
- Hong Kong's OneDegree secures $27M for digital asset insurance expansion
- deBridge allows Solana users to access EVM-based blockchain
- AlloyX successfully closed a $2M pre-seed funding round
- PancakeSwap is set to go live on the Polygon zkEVM blockchain
- Mind Network has successfully closed a seed funding round of $2.5M
In a recent development, the Monetary Authority of Singapore (MAS) has collaborated with eleven financial institutions, including Citi, JP Morgan, and HSBC, to study potential infrastructure models to facilitate tokenized asset trading, as detailed in its Project Guardian report. The project, initiated in May 2022, underlines the significance of open and interoperable digital asset networks and explores three main use cases: over-the-counter (OTC) foreign exchange transactions, trade finance, and OTC-structured notes. Key findings indicate that trading in a permissioned liquidity pool protocol enhances efficiency and reduces risks, while tokenization offers the advantage of atomic settlement. The project continues to explore other relevant themes such as Trust Anchors and Institutional DeFi.
Elsewhere in Asia, Hong Kong-based virtual insurer, OneDegree, has successfully raised $27M in its latest funding round, aiming to expand its digital asset insurance offerings. The company, backed by existing investors including Gobi Partners, Sun Hung Kong, and Bitrock, also attracted new financiers in this round. Since launching its cryptocurrency insurance in November 2021, OneDegree has been intensifying its focus on providing coverage to virtual asset trading platforms and operators. The firm's co-founder, Alvin Kwock Yin-lun, predicts substantial future growth in digital asset insurance demand, following the recent introduction of a new regulatory regime by the Securities and Futures Commission. Consequently, virtual asset trading companies in Hong Kong seeking licenses for digital asset trading will require adequate insurance coverage to protect investor and trader interests.
Bitcoin whales are taking profits on their Bitcoin positions. From January to June 2023, there was a consistent rise in the number of unique BTC addresses holding at least 10K Bitcoins. Wealthy investors were actively accumulating positions during this period. However, when the price of BTC reached $30K, addresses with more than 10K Bitcoins decreased significantly.
According to data on @Santiment, the altcoin market has witnessed significantly increased volatility over the past week. Numerous digital assets have experienced substantial transfers, each exceeding the $10M mark in a single day. This scale of activity places the day among the top three days of the year in terms of substantial 'whale' movements in the altcoin market. Particularly noteworthy are the altcoins MATIC, CHZ, CRV, and the USDT stablecoin.
- BTC and ETH funding rates remain positive
- 30-day BTC ATM IV fell to 40.23% while ETH ATM IV slightly rose to 39.07%
- Deribit Implied Volatility Index (DVOL) is 43.45% and 43.25% for BTC and ETH respectively
- 30-day 25-delta skew (C-P) for BTC and ETH is at 2.26% and -0.18% 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
Over the last 48 hours, the futures market witnessed liquidations totaling $186M, with long positions comprising 73% of the overall liquidated positions.
The BTC ATM IV term structure remains in contango, but the curve has experienced a large decline in IV across all tenors. Notably, the 0DTE saw a 15% decline in IV, while the other tenors saw an average decrease of 4% in IV. Likewise, for ETH, the 0DTE saw a 14% drop in IV, with volatility falling in all other tenors except the 273DTE, which saw an increase in IV by about 2%.
The BTC 25-delta skew demonstrates a prominent call premium across all maturities. IV diverged across tenors; the 7-day skew is currently at 1.6%, while the 180-day skew stands at 6.44%. In the case of ETH, the 25-delta skew indicates a call premium of around 1%, except for the 30-day skew which reflects a slight put premium of -0.18%. This suggests that investors may hold a bullish outlook for BTC while seeking to hedge their downside exposure in ETH over the medium-term.
30-day volatility risk premium (VRP) turned negative yesterday and currently stands at -1% and -3.44% for BTC and ETH, respectively. This move was driven largely by the decline in IV and increasing realized volatility (RV). Moving onto notable trade structures recorded by Paradigm in the America session, the top structures were 500x 29 Sep $35K / $45K call spreads bought (bullish), 475x 7 Jul $31.5K calls bought outright (calls), and 300x 25 Aug $34K / $38K call ratio (1:2) spreads bought (bullish). Meanwhile, for ETH, the top traded structures were 1,000x 28 Jul $1.75K / $2K strangles sold (expecting volatility contraction) and 1,000x 29 Sep $1.9K straddles sold (also expecting volatility contraction).
The VIX rose slightly to 13.54.
Crypto Technical Analysis
BTC maintains a healthy range between $30K and $31K following its rapid rise from $25K. During this ascent, Web3 entities and Bitcoin miners capitalized on key resistance levels to take profits. The price remains resilient as pullbacks into the consolidation range present attractive entry points for those who missed the initial price surge. Furthermore, the formation of higher lows around $25K strengthens the overall upward trend in BTC, while the three-month consolidation period since mid-March solidifies a robust demand zone in the market.
ETH experienced a deeper retracement compared to BTC, declining by as much as 6% over the past week. However, it found reliable support at the 50EMA. Currently, ETH continues to trade within the horizontal range of $1.70K to $1.94K, with the $1.94K level serving as a persistent resistance since mid-March. Despite the retracement, ETH is making efforts to break out, as indicated by the formation of higher lows around $1.62K. Until a confirmed breakout occurs, it is anticipated that ETH will maintain its trading range between $1.70K and $1.94K. The overall trend for ETH remains upward.
ETH/BTC has been trapped within the range of 0.06 to 0.085 since May 2021. Currently, ETH is showing weakness against BTC and approaching the lower end of this range. Despite a brief surge after the Shapella upgrade in mid-April, the impact of the spot Bitcoin ETF filing overshadowed ETH's momentum. The ETH/BTC pair remains in a downtrend and is projected to persist until it reaches the 0.06 level once again. BTC's dominance over altcoins continues to make it a more appealing choice compared to ETH in the current market environment.
Access institutional-grade commentary on TradFi × Crypto markets
By Treehouse Research
Treehouse Research 🌳