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Treehouse Daily28 Jun 2023

🌳Stock Indices Break Rising Streaks With Strong US Economic Data; Fidelity Plans New Bitcoin Spot ETF Submission

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BTC

ETH

S&P Futures 500

$30,590.54

$1,872.30

$4,409.00

(+0.73%)

 (+0.52%)

(+0.75%)

Note: All percentages shown above are referenced to the previous business work day's 09:00 (GMT+8)

GM Treehouser 🌳

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Our Daily View

What We Are Covering Today

  • Strong US economic data signals resilience and recession delay; Major stock indices break losing streak (more in Macro & TradFi)
  • Fidelity plans for a new Bitcoin ETF submission; EDX Markets shifts crypto custodian partnership amidst regulatory challenges (more in DeFi & CeFi)
  • Extremely high volume of BTCs are sent from miners to exchanges as they take profit of the market conditions (more in On-Chain)
  • 7-day volatility risk premium for BTC and ETH contracts; BTC and ETH near-dated options experience jump in IV (more in Crypto Derivatives)
  • Altcoins maintain stability as TOTAL2 breaks resistance and signals bottom formation (more in Crypto Technical Analysis)

Macro & TradFi

The US economy continues to show remarkable strength, with recent data pointing to resilience and pushing back the possibility of a recession. As a result, there is growing speculation that the Federal Reserve will continue to raise interest rates after this month’s pause, to combat inflation and bring it back to the target of 2%. This week, more economic data is expected, including the Core PCE measure. Market participants are also eagerly anticipating Fed Chair Jerome Powell's speech at the European Central Bank Forum in Sintra, Portugal, which may offer valuable insights into the future trajectory of interest rates.

In May, US new-home sales reached their highest level in over a year, driven by a shortage of inventory in the resale market. Government data revealed a 12.2% increase in purchases of new single-family homes, surpassing economists' expectations. Additionally, durable goods orders topped estimates for the second consecutive month, indicating that companies are making long-term investments despite borrowing costs and uncertainties. Although consumers showed reduced interest in major purchases like homes, cars, and appliances in June, overall confidence surged, as reflected in the Conference Board's index.

After a period of decline, the Dow Jones Industrial Average rebounded 0.63%, ending its six-day losing streak. The tech-heavy Nasdaq Composite recorded its strongest first-half performance in 40 years, up 1.65%. Meanwhile, the S&P 500 recovered from recent losses in five out of the last six sessions, posting gains of 1.15%. The Dow Transports index and the small-cap Russell 2000 index also saw gains, both up by 2.7% and 1.5%, respectively. Elsewhere, oil prices saw a slight increase, with Brent rising by 0.4% to reach $72.58 per barrel and WTI edging up 0.3% to $67.94 per barrel. Lastly, the dollar index retreated, dropping 0.23% to $102.49.

DeFi & CeFi

  • Fidelity reported to be preparing the filing submission for spot Bitcoin ETF
  • EDX Markets reportedly ends Paxos partnership, nearing agreement with Anchorage
  • Robinhood is cutting 7% of its workforce
  • Ethereum staked by investors now surpasses the ETH balance on CEXs
  • Bank of England's team faces disagreements over the digital pound's core design
  • First leveraged Bitcoin futures ETF opens for trading on CBOE

Fidelity Investments, a leading asset management firm, is reportedly preparing to submit its filing for a spot Bitcoin Exchange-Traded Fund (ETF) as early as Tuesday. This follows a similar move by BlackRock and signifies Fidelity's second attempt at such a product after the U.S. Securities and Exchange Commission denied its initial filing in 2022. The launch of a spot Bitcoin ETF could provide investors an exposure to Bitcoin without the need to manage the underlying asset, marking a significant shift in the market. Fidelity, which manages over $11 trillion in assets, has been active in the crypto market since 2018 and offers fund products to European clients.

In other news, EDX Markets, a crypto exchange backed by Charles Schwab, Fidelity, and Citadel Securities, is reportedly transitioning from its initial partnership with Paxos to a near-finished agreement with Anchorage Digital, a U.S. crypto custodian. Despite previous criticism from the OCC, Anchorage Digital, valued at $3 billion, has committed to resolving issues around anti-money laundering controls. EDX's focus on non-custodial offerings aligns with their aim not to hold clients' digital assets during transactions, contrasting with traditional crypto platforms like Coinbase and Binance. The switch, however, while seen as essential to EDX's non-custodial model, adds to regulatory challenges faced by Paxos, including a halt to its issuance of the BUSD stablecoin and a Wells notice from the SEC.

On-Chain

According to data from @glassnode, we have observed a significant surge in the volume of BTC being transferred from miners to exchange addresses. The percentage of daily miner revenue sent to centralized exchanges has reached an all-time high of 315% in recent weeks, surpassing the previous highs witnessed during the early 2021 bull run and the late 2022 sell-off by more than threefold. This suggests that miners are capitalizing on the current market conditions and selling their holdings for short-term profits, which could potentially impede the further upward movement of BTC beyond the $31K threshold.

Next, despite the market's perception that the memecoin craze fueled by PEPE has subsided in recent weeks, @Lookonchain has spotted another large PEPE purchase. This transaction was executed by one of the early investors in PEPE, who previously spent 2.1 ETH to acquire over 4T PEPE tokens on April 15, and subsequently realized $2.2M profit on his initial investment. The same address has now made another purchase of 206B PEPE tokens, worth $331K. However, it is uncertain whether this can be considered as an smart money move since the address has recorded two PEPE trade losses in May, amounting to over $50K.

Crypto Derivatives

  • BTC and ETH funding rates remain positive
  • 30-day BTC ATM IV fell to 44.6% while ETH ATM IV slightly rose to 42.92%
  • Deribit Implied Volatility Index (DVOL) is 48.76% and 47.16% for BTC and ETH respectively
  • 30-day 25-delta skew (C-P) for BTC and ETH is at 3.06% and 1.68% 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

14.67%

ETH

OKX

dYdX

10.80%

DOGE

dYdX

Binance

8.74%

SOL

Binance

dYdX

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 24 hours, the futures market witnessed liquidations totaling $58.1M, with short positions comprising 62% of the overall liquidated positions.

The BTC ATM IV term structure saw a sharp 4% uptick in IV for the 0DTE, but IV fell as much as 1% for the 2-week expiry, compared to yesterday. IV rose slightly, up to 1% for medium and longer tenors. Similarly, for ETH, the 0DTE saw a 6% surge in IV. Across the curve, IV showed varying increases, ranging from 1% for the near-dated options to 0.2% for the further-dated options.

The 25-delta skew in BTC continues to indicate a strong call premium, with the 7-day skew at 3.05% and the 180-day skew at 4.48%. From yesterday, the ETH 7-day skew has shifted back to a call premium, currently standing at 1.86%. Skew has converged across maturities, with the 30-day skew at 1.68% and the 180-day skew at 3.10%. Overall, it appears that investors are seeking to capitalize on potential upward movements in both ETH and BTC.

The 7-day volatility risk premium (VRP) for BTC remains negative at -1.52%, while ETH briefly turned positive yesterday before turning negative to -0.76% this morning. Notably, VRP for both BTC and ETH is nearing 0% as RV and IV converge. Moving onto notable trade structures captured on Paradigm in the America session, the top structures were 510x 29 Dec $35K / $45K call spreads bought (bullish), 450x 30 Jun $30K puts sold (bullish), and 200x 28 Jul $31K puts bought (bearish). For ETH, the top structures were 5,250x 7 Jul $2K calls bought outright, 2,500x 28 Jul $2K calls bought outright, and 2,000x 28-Jul-23 $1.8K / $2.2K strangles bought (expecting volatility expansion).

The VIX slightly fell to 13.74

Crypto Technical Analysis

BTC holds steady within the $30K to $31K range, as traders await a pullback for entry opportunities or a confirmed breakout above $31K. The analysis for this week highlighted the stability and consolidation phase after the rapid ascent of BTC from $25K. The formation of multiple higher lows reinforces the upward trend, and the three-month consolidation has established a strong demand zone.

ETH mirrors BTC's muted session as traders await further confirmation, trading within the range of $1.70K to $1.94K. The $1.94K level acts as persistent resistance since mid-March, with shallow pullbacks failing to provide favorable entry opportunities. ETH is making efforts to break out, supported by the formation of higher lows around $1.62K on the higher time frame. The overall trend for ETH remains upward.

On the weekly timeframe, the TOTAL2, which represents the total crypto market cap excluding BTC, has shown promising signs. It has rebounded from the $517B level to form a support, and broke above the $550B resistance in the past week. This breakout suggests that the altcoin market is poised to benefit from the positive momentum of BTC. The upcoming challenge for TOTAL2 is overcoming the 50MA, which will be a critical level to watch for further confirmation of the upward trend.

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