BTC Vol — Week in Review 30Jun — 7Jul

Key metrics: (30Jun 4pm HK -> 7Jul 4pm HK)

• BTC/USD +1.1% ($107,600 -> $108,800) , ETH/USD +4.0% ($2,480-> $2,580)

• Spot market continuing to hold just below the highs as the market probes strong resistance levels immediately higher from here. We continue to expect the market to break higher in the coming weeks with some limited risk to retracing back below $100k. However, if we fail to break higher we could see a more continued correction down to $93–94k, though this would not invalidate the longer term progression higher. Should we clear above $113k we think we will make a swift move to $120k and then eventually top out at $125–135k

Market Themes

• Another quiet week with US holidays and summer markets in full swing. US NFP data was surprisingly robust once more, quashing hopes of an early rate cut in July that would’ve added fuel to the risk-on/carry fire over the summer months. Fears around the 9Jul tariff deadline saw a brief pullback in risk assets in thin liquidity ahead of the weekend, though overall positioning and leverage feels a lot lighter in the current environment
• Crypto markets were buoyed by the risk-on sentiment initially last week — with Bitcoin briefly testing above $110k — but ultimately we stalled once more just ahead of the highs. Without weak US data to push Fed cut pricing further, BTC also suffered the same pullback from the highs as equities, with some caution ahead of the tariff deadlines also flushing weak longs back to $108k. The local correlation with equities/risk assets will likely remain strong, though it feels the market is waiting for a specific catalyst in crypto to finally break through to all-time highs — US congress pre-announced the week commencing 14July as ‘crypto week’ to advance key bills (mainly related to stable coins), so perhaps this will be the trigger needed to give the market sufficient momentum to break through the highs

BTC$ ATM implied vols

• Realised volatility remained pretty low last week, below 30 once again (inclusive of the weekend, where realised was almost 0), as the market remains comfortably in the $105–111k broad range and catalysts remain subdued in the near term. However the low levels of implied volatility is now starting to lure in buyers for low premium outlay options (downside wing hedges to protect long spot positions, and upside call-spreads to leverage long delta positions for an eventual break) — this has kept a floor in implied levels for now
• The term structure is not particularly steep (relative to historic levels), as the market has priced out term premium in an attempt to harvest any risk premium left in the market. Given the propensity of the asset to switch quickly to a higher vol regime on a range break, owning longer dated Vega and funding with shorter dated tenors that rolldown more quickly looks attractive

BTC$ Skew/Convexity

• Skew prices moved moved sharply for puts in shorter dated expiries into the weekend, as fears around Trump’s tariff deadline and another strong rejection of a break >$110k saw a flush lower in spot price action. Downside hedging demand was seen in the market albeit from a very low vol base (low premium outlay), which drove the price action in skew. With no follow through lower over the weekend this move in skew was quickly reverted, while further out the curve interest only remains for topside structurally, leading to stickier skew prices for calls
• Convexity prices edged higher last week as the market continued to price out local variance with realised remaining subdued within the range, while there was a pick-up in interest for strikes outside the range for an eventual break. However further out the curve convexity remains on the lower end of the range, presenting an opportunity to play for an eventual shift in the vol regime/range-break further down the line

Good luck for the week ahead!

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