Key metrics: (3Mar 4pm HK -> 10Mar 4pm HK):

  • BTC/USD -10.7% ($92,200-> $82,300) , ETH/USD -14.8% ($2,430-> $2,070)

  • Continued high volatility as the market reacted to a series of headlines and events involving Crypto last week, but we ultimately failed to gain a footing in spot and we remain caught in the broad range, with support down from $79–73k and resistance above from $89–93k

  • We had been hoping that last week’s test of the lows and quick reversal would have marked an end to this corrective period but sadly it feels that we will be left wanting. Resistance levels above the initial offers include $95–96k and then again $100–102k and finally back at $110k. Below here a break below $73k could see us retracing to $65–67.5k and could render this more general upward extension more complex than currently viewed. Our medium term bullish view remains intact, but the time-line for this continues to feel as though it’ll be longer than shorter in the absence of a strong catalyst higher

Market Themes

  • Another volatile week across markets as VIX rallied from 20 to 26 amidst implementation of tariffs reigniting fears of global trade war, while European and German defence spending sparked a rout in Bunds that spilled over to a sell-off in JGBs, Gilts and even US treasuries, putting further pressure on the overall risk complex. Ultimately it does seem that Trump’s administration is keen to bring down long term rates/re-financing costs and ease financial conditions, though the path to get there may involve a further sell-off and rotation away from US risk assets; NFP showed some signs of weakness under the hood that can be expected to continue especially in light of DOGE’s crackdown.

  • As for crypto, the bounce on Trump’s tweet was short-lived as pressure on US equities drove a full-scale reversal from the $95k high we saw a week ago back down to test the lows of $81–82k. The market found support down there as US equities initially climbed off the lows and the market help optimism for positive crypto announcements at Friday’s crypto summit. On Thursday night Trump signed an executive order to capitalise the SBR with previously held BTC, which was a mild disappointment given no fresh buying announced, but ultimately still a step in the right direction for BTC at least (no mention of alts). Ultimately nothing further was announced at the summit and despite briefly testing the $90–91k resistance range after risk sentiment recovered on Friday, we found ourselves probing the lows again with an illiquid Sunday night sell-off to $80k in BTC and $2k ETH/$125 SOL

BTC$ ATM implied vols:

  • Implied volatility levels finished the week broadly unchanged after some severe volatility intraweek — implied levels all squeezed up ahead of the crypto summit with the overnight gap at one point being priced at over 5%. High realised volatility intraweek also supported vols into the event. However after the event ultimately brought nothing new and spot remained within a tight range, vols then oversold with the 14mar expiry briefly trading down to 47, before sharply rallying after Sunday night’s selloff

  • Realised volatility continues to remain in the upper 50-low 60 range which is elevated vs the recent regime as the spot market attempts to find an equilibrium in this new range. While we can expect a bit of local volatility to continue in the coming sessions, we would anticipate that positioning is a lot cleaner at this juncture, and that realised vols will ultimately normalise back to the mid-40 regime of recent times after this week

BTC$ Skew/Convexity:

  • Skew prices retained premium for puts in gamma expiries as spot reversed aggressively lower from the squeeze higher and downside moves continue to remain more volatile than upside (barring the initial weekend squeeze on the Trump tweet). Further out the curve, skew flips for favouring calls from April/May onwards, with the market reluctant to play for structural downside in BTC

  • Convexity broadly ended the week unchanged despite high vol-of-vol and strong performance of risk-reversal vs spot dynamics. However with spot remaining locally volatile in the range and participants looking for directional expressions via call-spreads and put-spreads, we can see why the weight of smile decay can be punitive and as such could see fly prices remaining relatively heavy in the short term, though we would advocate owning dips in flies

Good luck for the week ahead!