QCP Capital Weekly: Asia Morning Colour – 13 Mar 24

– The ‘risk reversal’ flush we were looking out for happened overnight but it was extremely short-lived.
– ⁠BTC touched 68,600 and ETH touched 3,825 before bouncing sharply back above 72,000 and 4,000 levels respectively.
– ⁠We are seeing front-end vols softening and ETH vols particularly dropping more than BTC.
– ⁠Is the market pricing out the probability of an ETH spot ETF approval? Or it might just be due to some massive call selling overnight and this morning, over 10k ETH 5400-5600  April expiry.

Trade ideas for the week:

1. The whole forward curve dropped 3-4% overnight but has since bounced back to highs. However perp funding has moderated. If you are looking to lock in a high yield without taking any directional risk, this bounce is another chance to sell the spot-forward spreads at these elevated levels.

2. ⁠To continue riding on the bullish move, the Enhanced Sharkfin offers great risk-reward.

Indicatively, an end April 75/90k Enhanced Sharkfin Investment pays a base coupon rate of 6% p.a. with max payout of 172% p.a. if BTC closes right below 90k at expiry. Hence this structure guarantees a 6-172% p.a. return with no downside as it is principal protected.

This structure works if you have a downside view as well, for example, it can be done with 70/55k strikes.