Block Scholes

A relatively bearish week in spot compared to the exuberant sentiment that we saw come to an end at the beginning of December has seen a similar response in derivatives markets. November’s extreme levels of leveraged long positions in derivatives are no longer spurring spot prices higher as we see a near-perfectly neutral funding rate, falling futures basis, and neutral skew towards OTM calls. From that more stable investor base, however, we see a healthier demand for upside exposure when spot does move higher once more, as highlighted by Christmas Eve’s bullish price action and subsequent recovery in futures yields. ETH retains a volatility premium to BTC at all expiries, trading 12-14 vol points higher and more readily inverting at the front-end of the term structure. However, the most recent spot price action sees the volatility smiles of both assets trade with a positive skew at short tenors.

Crypto markets are in turmoil with Bitcoin plunging -7.7% in 24 hours, flipping market odds for December price targets on their head. Despite the short-term chaos, long-term bullish sentiment persists - could this be the dip before a rally? Read the full report here: https://lnkd.in/e6z55r_M 

Our sentiment index doing its job 👇

Fed Cuts, Markets See Red In a move that was almost entirely priced in by markets well ahead of time, the Federal Reserve delivered another quarter point rate cut that brought the target range for its federal funds rate down to 4.25-4.5%. However, it was the even more hawkish undertone than some expected, delivered in Powell’s presser and the SEP, which spooked markets. We had banged the drum on the mixed picture of macro data for several days before the event. However, equities and crypto traders were caught out as traders reconsider their positioning in risk-on assets, despite our heads-up. Some of the caution around these cuts or lack thereof in 2025 had been priced in by crypto-asset derivatives markets in the week ahead of yesterday’s meeting -- and price action this evening is further damning of the result. Read the full report here: https://lnkd.in/eez_eMrs

The Digitisation of Traditional Finance Financial institutions have shown increasing interest in the tokenization of Real-World Assets (RWAs), where digital tokens are created to represent physical assets, such as fixed-income products. Blockchain promises several benefits for fixed-income products, including enhanced transparency, reduced transaction costs, and faster settlement times. However, questions remain as to whether these tokenized instruments truly deliver on these promises. Read the full report here: https://lnkd.in/dYz7Cces

Markets brace for pivotal central bank decisions this week. We analyse the latest shifts in sentiment across crypto with a focus on bitcoin’s volatility smiles, funding rates, and spot price trends. Read now to explore the cautious tone gripping traders, muted OTM call activity, and key data points shaping market sentiment - https://lnkd.in/efAqtyYX 

As BTC pushed its all-time high even further last night to $107,822, we explore the daily change in at-the-money implied volatility and implied volatility skews across BTC tenors. Alongside, we share key announcements on two new stablecoins: the RLUSD launch and the USDtb and outline upcoming macro data releases which will set the economic background for crypto markets. Read here to stay on top of the market - https://lnkd.in/e58QBTyE

With BTC reaching a new all-time high of $106,443, we explore the daily change in at-the-money implied volatility and implied volatility skews across BTC and ETH. Alongside, we highlight the impact of this rally on specific altcoins and outline the macro drivers expected to impact crypto- specifically the Fed cuts later this week. Read here to stay ahead of the markets: https://lnkd.in/ewCDJA8Q

No surprises, as expected. November's CPI data met expectations, with core CPI steady at 3.3% for the fourth consecutive month and headline YoY CPI rising slightly to 2.7% from 2.6% in October. Bitcoin's market dominance has been recovering post-election https://lnkd.in/ebSEFS_s