S&P Futures 500
Note: All percentages shown above are referenced to the previous business work day's 09:00 (GMT+8)
GM Treehouser 🌳
Welcome to our Treehouse Daily newsletter, where Treehouse brings you financial news and insights free daily! We believe you’ll find this helpful.
Also, in case you have missed it, check out our latest research piece 👇
Our Daily View
What We Are Covering Today
- Federal Reserve considers rate hike pause amid uncertainty; Fitch Ratings warns of potential US credit downgrade (more in Macro & TradFi)
- Do Kwon’s bail request revoked by Montenegro High Court; Cross-chain protocol Multichain’s backend node upgrade delay affects user transactions and raises concerns (more in DeFi & CeFi)
- On-Chain data suggests investors are holding onto their Bitcoin assets despite profits or losses, hinting at long-term confidence (more in On-Chain)
- 7-day skew indicates heavy put premium for BTC and ETH; large reverse call calendar and bull risk reversal trade on ETH (more in Crypto Derivatives)
- Strong bearish momentum observed in both BTC and ETH as they break the previous support levels (more in Crypto Technical Analysis)
Macro & TradFi
Federal Reserve officials are currently contemplating a potential pause in interest rate increases during their upcoming June meeting, driven by heightened uncertainty regarding the economic outlook. However, they remain steadfast in their commitment to addressing persistent inflationary pressures. The minutes from their May meeting underscore the various factors they are carefully considering, including sluggish progress in inflation and the robustness of the labor market, weighed against the potential risks associated with recent banking disturbances that could lead to a credit crunch. By refraining from further rate hikes in June, policymakers aim to gather and analyze fresh data while evaluating the extent of credit restraints. It is worth noting that while some officials advocate for a temporary pause, they firmly stress the importance of concrete evidence indicating a decline in inflation before making any decisions to cease rate increases.
Elsewhere, Fitch Ratings has issued a statement indicating the possibility of downgrading the US's AAA credit rating in response to the escalating political deadlock impeding a resolution to address the nation's debt-ceiling crisis. The warning stems from the growing partisanship that is obstructing efforts to raise or suspend the debt limit, despite the imminent arrival of the so-called X date, when the government risks running out of funds. Consequently, Fitch Ratings has placed the US on "rating watch negative" within its classification system.
Lastly, worries over the possibility of a US default, which would be the first in over four decades, sent jitters throughout the US stock market. The Dow Jones Industrial Average concluded with a 0.77% decline or 255 points, while the Nasdaq experienced a 0.6% drop, and the S&P 500 decreased by 0.73%. However, post-market hours saw NASDAQ futures rally following a sharp jump in sales forecasts from chipmaker Nvidia Corp. Meanwhile, despite the 10-year and 2-year yields remaining stable, there was a significant surge in yields for securities maturing in early June on Wednesday, with some surpassing 7% as investors shun away from higher risk bills.
DeFi & CeFi
- Do Kwon’s bail request denied by Montenegro High Court
- Multichain node upgrade delay affects user transactions
- Dispersion Capital announces $40M fund for Web3 infrastructure investments
- Ava Labs announces Web3 launchpad AvaCloud
- Crypto project Fintoch allegedly absconds with $31.6M user funds
- Liquid staking Layer-1 Tenet collaborates with Conflux and Qtum for greater China exposure
- New York TradFi hedge fund Hunting Hill launches crypto affiliate
- Jump Crypto discovers vulnerability in Celer’s State Guardian Network (SGN)
Terraform Labs co-founder Do Kwon and former chief financial officer Han Chong-joon had their bail request revoked by a high court in Montenegro’s capital, Podgorica. Prior to this, the country’s Basic Court accepted lawyers’ proposal to release Do on bail for 400,000 Euros on 12 May. This was quickly followed by an appeal of ruling by prosecutors. Do faces charges in Montenegro for trying to leave the country with a fake passport. Meanwhile, he also faces charges in South Korea, the United States, and Singapore.
Cross-chain protocol Multichain faces a ‘Force Majeure’ situation with delays in a backend node upgrade, causing some routes to be temporarily suspended. This affected user transactions and many users reported that their cross-chain transactions did not arrive the destination addresses. With rising concerns about the protocol’s stability and a plunge in its MULTI token price, various large players, such as the Fantom Foundation, Justin Sun, and HashKey Group, have removed large amounts of liquidity from the Multichain trading pools. Multichain has since responded to the situation, stating that affected users will be according to a compensation plan that has yet to be released.
Reports from Glassnode show that the combined realized profit & loss events are trading around the lowest levels over the last 3 years. This metric tracks how much money is made or lost when people decide to sell their BTC spot holdings. This low level indicates that most people are choosing to hold on to their positions regardless of profit or loss. A number of reasons may attribute to this phenomenon such as potential future upsides or taxes implications if they decide to sell now.
Examining the wealth held by two groups of Bitcoin holders: Long-Term Holders (LTHs) who have held their assets for between 6 months to 2 years, and the newest Short-Term Holders (STHs) who have held their assets for 1 day to 3 months, we observe an ongoing wealth transfer from the recently entered LTHs to the STHs. This trend has been a key indicator in the past, often signifying a pivotal moment in the market's broader cycle. The consistent reallocation of capital may suggest a substantial shift in the market's overall dynamics and structural layout.
- BTC and ETH funding rates remain positive
- 30-day BTC ATM IV slightly rose to 45.72% while ETH ATM IV fell to 44.34%
- Deribit Implied Volatility Index (DVOL) is 51.31% and 50.46% for BTC and ETH respectively
- 30-day 25-delta skew for ETH and BTC is negative at -2.29% and -5.05% 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
The futures market saw $130.26M in liquidation yesterday with 83.4% coming from longs at $108.71M.
Moving onto the BTC ATM IV term structure, the curve remains in contango with no major movements since yesterday. However, it is visible that this Friday's expiry has shifted down the front end of the curve by about 3% and the end-June contract shifted up by about 0.5%. On the other hand, even though the ETH curve has largely retained the same shape as yesterday, the entire curve has shifted upwards from 1% at the back to 3% at the front. Looking at 7-day implied volatility vs realized volatility, the level of volatility risk premium shrank compared to yesterday as RV continued to rise (given the sharp move down in BTC last night) and IV fell from its overnight high.
The 7-day 25-delta skew in BTC broke out of its stair step trend upward and fell to -3.34% put premium, but the current level is closer to -2.78%, still indicating that there is a heavy put premium. Likewise, the ETH 7-day skew made a quick move down to -4.00% put premium but has since risen to about -3.54% put premium. As BTC moved close to $26K and ETH dropped below $1800, we observe that put premiums have seen noticeable increases, likely a result of more investors seeking downside hedging or growing increasingly bearish given the macroeconomic market-wide uncertainties.
Over the last 24 hours, the majority of the ETH call volume has entered into contracts expiring 30 Jun and 28 Jul. Examining the open interest of the strike prices for 30 Jun, the majority of call contracts are at the $2100 strike price, followed closely by the $1800 ATM strike price while max pain is at $1600. For puts, most of the volume entered contracts expiring on 9 Jun and open interest in strikes was mainly at the $1700 and $1500 strike prices.
The top traded strategies for BTC yesterday have been short straddles (expecting a contraction in volatility), bear call spreads and bull call spreads, reflecting mixed sentiments regarding the direction of BTC. For ETH, the top traded strategies have been reverse call calendars, long risk reversals (possibly betting on skew to flip if delta-hedged), and short straddles. Notably, some trades recorded by @tradeparadigm were 3,000 $1800 26 May / $1800 2 Jun call calendars bought and 2,500 $1600 / $ 2100 28 Jul long risk reversals in ETH. For BTC, there were 275 $26K 30 Jun and 236 $26K 9 Jun short straddles sold, as described above.
Lastly, the VIX rose to 20.03.
Crypto Technical Analysis
Onto technical analysis, the crypto market has experienced a massive dump amid the macro uncertainties with a 3.31% decrease within a day, currently trading around $26K. RSI has also seen a large decrease, currently sitting at 36.51 and 33.31 respectively for 1D and 4H. Looking at the 4H timeframe, this dump as BTC has broken the 26.8K support zone. On the daily timeframe, we can observe the next critical support level at 25K, representing another 4% of potential downside. This level also acts as an important psychological support as well as the intersection between the horizon support and the lower trendline formed by historical higher lows, further reinforcing the support zone’s validity.
On the other hand, ETH has followed a similar pricing trajectory with a strong bearish momentum throughout the US trading hours. Specifically, ETH broke the rising parallel channel that was previously identified to the downside. RSI has also slowly approached the oversold territory with it currently at 33.22 at the 4H timeframe. Going forward, the $1.76K level acts as a thin support. However, if that is broken, ETH will likely test the next support zone between $1.67K - $1.7K before dropping further to the lower trendline.
Access institutional-grade commentary on TradFi × Crypto markets
By Treehouse Research
Treehouse Research 🌳