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
- Yield curve control remain unchanged after BOJ meeting; US stocks fell after retail sales post its biggest drop in 12 months (more in Macro & TradFi)
- Bizlato charge with laundering of $700M by DOJ; MakerDAO begins governance voting to limit exposure to Gemini (more in DeFi & CeFi)
- Several altcoins like SAND and MANA still undervalued based on their 1-year MVRV ratio (more in On-Chain)
- VRP broadly unchanged for BTC and ETH as RV continues to rise (more in Crypto Derivatives)
- BTC and ETH lost ground after attempting to reclaim key levels (more in Crypto Technical Analysis)
Macro & TradFi
USDJPY had a wild intraday swing after the BOJ policy meeting kept the yield curve control (YCC) program unchanged; JPY sold off over 3% and printed above 131.5 against the dollar at the intraday trough before bouncing back and wrapping the day around 1.5% weaker vs USD. Kuroda later stated that the central bank assesses its policy action’s impact promptly and its decision should not be interpreted overly. Otherwise, US retail sales data (-1.1% actual vs -0.4% consensus) showcased the tug of war between “bad news is good news” traders versus “bad news is bad news” cohort - stocks jumped higher initially on expectation of Fed being less hawkish before recession fears weighed down and pushed US markets to close lower.
Major US indices closed lower after initial gains following weak retail sales data; NASDAQ closed 1.4% lower, SPX 1.56% and DOW 1.8%. Treasury bonds rallied on recession fears; 10-year yields tightened almost 20bps. Brent and WTI oil sold off more than 2% before rallying more than 1% earlier in the day.
DeFi & CeFi
- Hong-Kong-based exchange, Bitzlato, charged with laundering of $700M of crypto
- MakerDAO begins the voting process for limiting exposure of DAI stablecoin to Gemini Dollar
- Coinbase halts operation in Japan
- National Australia Bank creates stablecoin AUDN and plans for transactions to begin mid-year
- Spain approves of Euro-linked token as part of sandbox initiative
- Deal Box launches $125M venture capital fund dedicated to blockchain and Web3
Bitzlato was charged with laundering $700M as the exchange operates as an unlicensed money exchange for those operating on Hydra Market. Hydra Market is an illegal online marketplace for narcotics, stolen financial information and fraudulent identification information. Owner of Bitzlato was a 40-year-old Russian that had since been arrested by the US authorities.
Gemini Dollar, GUSD, was one of the collaterals that could be used to mint DAI. With the concern around Gemini, MakerDAO has proposed two new governance changes to reduce its exposure. The two votes centered around the percentage fee charged for converting DAI back to its collateral asset, GUSD and the debt ceiling on GUSD. Currently, 75% of the votes are in favor of reducing the fee charged for conversion of DAI to GUSD while 73% of the votes are in favor of leaving the debt ceiling unchanged.
For on-chain, the news of DOJ taking action against Bitzlato had led to a mild -4.1% drop in BTC price as market participants fear more drastic action taken against the broader crypto market (@santiment). The crypto market has since mildly climbed higher from the initial FUD.
Meanwhile, some altcoins like $APE have seen their 1-year MVRV ratio jump back into positive territory while others like $SAND and $MANA still have their 1-year MVRV ratio well below 0, at -33% and -60% respectively.
- BTC and ETH funding rate remains positive
- 30-day ATM IV fell for both BTC & ETH to 59.6% and 70.0% respectively
- 30-day 25d call skew fell for both BTC & ETH to 1.07% and 0.66% respectively
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
For futures, total liquidations for the last 24hrs came in at $250.51M, with the majority coming from longs at $189.76M.
On the options front, IV largely fell across the curve as term structure flipped to contango for both BTC and ETH. Near-dated IV for BTC formed a bottom on 3 February while longer-dated IV remained stable for both BTC and ETH. RV continues to rise for both BTC at 67.20 and ETH at 76.62. Variance risk premium rallied to 8.67% for BTC and to 8.17% for ETH.
On the flow front, most of the volume comes from short-dated options expiring on 27 January. On the BTC side, the most popular strategy is the short straddle, as traders expect consolidation after BTC puked to $20.5K yesterday.
Lastly, the VIX rose to 20.34 as stocks whiplashed from US retail data.
Crypto Technical Analysis
BTC price whipsawed overnight as it attempted to break above $21.4K, However price action gave way and tumbled as low as $20.3K. The H4 RSI has fallen to the neutral level and prices are currently holding at $20.7K.
Similarly for ETH, prices attempted to reclaim 1.6K but fell reaching lows of $1,500. The H4 RSI is lower than BTC’s at 40. Currently, the $1.5K price may act as a psychological level of support. If price breaks below this point, however, the next short-term support looks to be $1,430.
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