Key metrics: (9Sep 4pm HK -> 16Sep 4pm HK):

  • BTC/USD +6.9% ($55,080 -> $58,900) , ETH/USD -0.7% ($2,320 -> $2,305)

  • BTC/USD Dec (year-end) ATM vol -2.9v (62.4-> 59.5), Dec 25d RR vol -0.1v (2.5 -> 2.4)

Spot Technical Outlook

  • BTC/USD staged a strong reversal off the range support, climbing back to the $58–60k pivot zone where it is attempting to find equilibrium amidst some choppy price action

  • The short term trading channel above remains constructive but a break below the support level of $57.5k could be a sign of a bigger correction lower

  • A move back below $54k would invalidate the long-term raising flag formation and suggest a move below $50k is on the cards

  • Should we manage to clear $61–62k on the topside, the next main resistance level would be at $65k again, where it is likely the market will find offers into the election with odds still 50/50

Market Themes:

  • Initial fears around ‘Rektember’ seemed overplayed in the first week of this month, and after meeting some strong support ahead of $52k once again, BTC/USD found buoyancy this week, briefly testing above $60k. ETH/USD however struggles for momentum, trading sideways around the $2,300 level

  • US presidential polls swung marginally in favour of Harris after the presidential debate on 10Sep, after a perceived outperformance. However, with the odds hovering around 50–50 this isn’t really translating to crypto prices until the pendulum swings more firmly one way (which may not happen until the actual election at this point)

  • The market surprisingly still remains split between a 25bp or 50bp cut for the FOMC meeting this week; initially market fully priced 25bps after the CPI event on Wednesday, but swung back to 50/50 pricing after a few ‘leaks’ from non-Fed voters suggesting 50 could be on the cards

  • US equity prices found support off the local lows once again due to a variety of reasons: positioning clearly remains defensive due to ‘Rektember’ fears; earning remains robust for the most part; and US data is not falling off a cliff yet. If the Fed do deliver 50bps at this juncture we would expect further uplift in equity and crypto prices

ATM Implied Volatility for BTC$ (9–16Sep 4pm)

  • Realised volatility remained pretty subdued throughout the week despite the large premium priced in for the events (presidential debate and US CPI) — high frequency in the mid 40s, despite 1w implied pricing in the 60s at one point

  • After a wave of demand for optionality at the start of the week, the market was hit with unwinds of vol and directional bets towards the end of the week, putting further pressure on implied levels, particularly in the front-end of the curve

  • Election variance has priced fractionally lower in line with general premium being taken out of the vol curves, and with odds still at 50/50 we expect to see this squeeze higher as we approach the event

Skew/Convexity:

  • Fairly static price action in both skew and convexity this week, as market focused on local optionality covering the events of this month

  • With implied volatility struggling to move with any clear correlation to spot moves (i.e. implied vols not moving materially on higher or lower spot), we struggle to see any meaningful reprice in surface ahead of the election. We expect more variance to be put into local strikes into the election due to the election being a 50/50 event with clear spot implications either side depending on the outcome

Good luck for the week ahead and enjoy Token49 for those attending!