December 15, 2022

Desk Commentary - The Macro Limbo

In this week’s Desk Commentary, we take a deep dive into the market movements on top of both CPI and FOMC.

  • The limbo between CPI and FOMC felt a fitting proxy for the purgatory that’s plagued crypto markets since the FTX-driven fallout found a natural near term bottom.
  • Upward impetus in spot after yesterday’s 7% inflation figure was met with a modest deluge of supply of vol, as vega buckets dropped a quick 2-3 points from Monday’s relatively firm close. Friday gamma clung to a bid pre FOMC given the rate-rise event risk, with Friday IVs pricing less than three and four percent daily moves in BTC and ETH respectively.
  • The option market consensus has manifestly embraced an outlook for muted moves through year end, with 30 Dec atms sub 50 and 70 for those same majors, and notwithstanding the brief pop in spot into the minutes just before 2pm as gamma shorts appeared to bid spot against the substantial short OI in strikes above, vol was given immediately post number.
  • The aforementioned IV levels that have held relatively constant throughout the last two weeks as vol of vol compressed in a 5-6 point range may be tested (to the downside) if we cannot break away from the current 1300 and 18k and pins.
  • Yet there’s been continued interest – at an institutional level – in mid  to longer term vol.  On the one hand, outright buys and calendar and call spreads remain a feature as players set up their strategies for the year ahead and contemplate a potential for spot to slide to the 25 delta portion of the present smile and beyond, while vol desks and premium sellers use any uptick in listless backend or fast-sliding near atm quarterly expiries to lob out vol into a market lacking firepower to hold a bid in more than a few thousand dollars of vega, as was properly in evidence after the 2pm rate decision.
  • That all being said, crypto options often seem to have a surprise in store, and with markets already slipping into a holiday-induced coma, sizable open interest at the 19k and 20k strike in BTC beckons as a potential, if lower probability outlier for a year end squeeze.  ETH OIs for 30Dec demonstrate relatively more congestion with 70,000, 60,000 and 50,000 units of exposure at the 1300, 1400 and 1500 strikes, representing a sizable amount of congestion.  That is, of course, assuming that at least some of that inventory rests in hands with the capacity and obligation to dynamically hedge the exposure, which, with both dealer and buyside books winding down rapidly (or indeed already shuttered), and with retail sized participation representing an increasing portion of volumes, there is no guarantee that large pins cannot act as painful magnets in a teleportation higher with gamma already all but left for dead.

Written By

Gordan Grant

Managing Director, Trading and Sales


Genesis Global Trading, Inc. and its global affiliates (collectively, “Genesis”) do not provide legal, compliance, tax or accounting advice. Genesis is a principal trading firm; it is not and does not act as a fiduciary or adviser, or in any similar capacity, in providing this material, which cannot be relied upon as investment, financial, legal, tax, regulatory, or any other type of advice. The information contained herein has not been prepared or tailored to address, and may not be suitable or appropriate for the particular financial needs, circumstances, or requirements of any person, and it should not be the basis for making any investment or transaction decision. THE INFORMATION IS NEITHER A RECOMMENDATION TO ENGAGE IN ANY TRANSACTION NOR RESEARCH MATERIAL.

This material contained herein is confidential and may not be distributed in whole or in part to anyone other than the intended recipients. Unauthorized reproduction or distribution of all or any of this material or the information contained herein is strictly prohibited. These materials are incomplete without reference to, and should be viewed solely in conjunction with, the terms and disclosures set forth on the Genesis website, which are deemed incorporated herein.

The information provided in this communication does not constitute investment advice, financial advice, trading advice, or other advice. If any person elects to enter into transactions with Genesis, whether as a result of this material or otherwise, Genesis will enter into such transactions as principal only and will act solely in its own best interests, which may be adverse to your interests. Therefore, you are advised to make your own assessment of whether a Genesis service that you are considering is suitable for you and ensure that you have the necessary experience and knowledge to understand the risks involved in relation to those particular services, transactions or investments. Prior to entering into any transaction, you should determine, without reliance upon us or our affiliates, the economic risks and merits (and independently determine that you are able to assume these risks) as well as the legal, tax and accounting characterizations and consequences. In this regard, by accepting this material, you acknowledge that (a) we are not in the business of providing (and you are not relying on us for) legal, tax or accounting advice, (b) there may be legal, tax or accounting risks associated with any transaction, (c) you should receive (and rely on) separate and qualified legal, tax and accounting advice and (d) you should apprise senior management in your organization as to such legal, tax and accounting advice and our disclaimer as to these matters. By accepting receipt of this material, the recipient will be deemed to represent that they possess, either individually or through their advisers, sufficient investment expertise to understand the risks involved in any transactions or services discussed herein and that they have not relied in whole or in part on any of the information provided by Genesis in making such determination.

The trading of digital currency as herein described is an inherently risky activity. Digital currency does not benefit from the protections afforded by the Securities Investor Protection Corporation. A counterparty’s ability to enter into derivatives with Genesis depends on satisfying a number of regulatory requirements imposed on derivatives under the Dodd–Frank Wall Street Reform and Consumer Protection Act and applicable law.

Any prices or levels contained herein are preliminary and indicative only and do not represent bids or offers. These indications are provided solely for your information and consideration, are subject to change at any time without notice and are not intended as an offer to sell or a solicitation to purchase any financial instrument. Nothing contained herein shall constitute any representation or warranty as to future performance of any financial instrument, credit, currency rate or other market or economic measure. In preparing this material, we have relied upon and assumed, without independent verification, the accuracy and completeness of all information available from public sources or which was otherwise reviewed by us. Genesis does not make any representations or warranties, express or implied, as to the accuracy or completeness of the information provided herein. Any estimates included herein constitute our judgment as of the date hereof, are subject to change, may or may not be realized, and are not a complete analysis of every material fact. We and/or our affiliates may make a market in these instruments for our customers and for our own account. Accordingly, Genesis may have a position in any such instrument at any time.

Genesis and Genesis Trading are marketing names for certain businesses of Genesis Global Trading, Inc. and its global affiliates and if and as used herein may include as applicable employees or officers of any or all of such entities irrespective of the marketing name used. Products and services may not be available to all counterparties or in all jurisdictions. Securities and digital assets are not deposits or other obligations of any commercial bank, are not guaranteed by any commercial bank and are not insured by the Federal Deposit Insurance Corporation. GGC International Limited is incorporated in the British Virgin Islands (“BVI”). Genesis Global Trading, Inc, a Delaware corporation, has been granted a Virtual Currency License by the New York State Department of Financial Services and is registered with the U.S. Securities and Exchange Commission as a broker dealer. Genesis Asia Pacific Pte. Ltd. Is a private limited company organized under the laws of Singapore. Genesis Global Capital, LLC is a limited liability company organized under the laws of Delaware. Genesis Custody Limited is registered as a cryptoasset business with the UK Financial Conduct Authority.

Market Insights

Sign up for crypto market analysis from the Genesis team.

Thank you! Your submission has been received!
Oops! Something went wrong while submitting the form.
Market reviews subscription sculpture