Flow Analysis

Last week was indeed all about US non-farm payrolls. BTC spent Monday to Friday locked inside a $36k/39k range, before exploding higher through channel downtrend resistance - at $38,250 - after a huge payrolls number. By the closing bell in New York, BTC had traded up roughly 10% to reach $41,500, where it stayed throughout the weekend. This morning in Asia we have seen further attempts at higher prices, topping out so far just below $43k. ETH has followed in lock step, trading through its downtrend at $2,730 to reach a high on Friday evening of around $3,000, and is currently just shy of $3,100.

In line with last week, crypto exchanges and banks have remained our biggest buyers but, unlike last week, our family office clients have joined them. By region, we also see the same trend as last week, with APAC and EMEA quite biased towards the buy side. By coins, our clients have been better buyers of BTC, and better sellers of ETH. Aside from the majors, we have seen better buying of SOL and XRP, and better selling of DOGE and MATIC.

Futures market basis has yet to react to the new spot levels. If anything, short-dated basis is slightly lower than it was a week ago with 1-month at around 1-2%, which may be due in part to gamma hedging of long call options the market is seeing on DOVs. In line with futures basis, on the OTC lend/borrow side we are yet to detect any increase in demand for fiat/stablecoin borrows, whilst BTC and ETH borrow demand remains strong.

Options markets have been impacted recently by DOV call selling, which has pushed put skew to high levels right down the curves. BTC and ETH vols held quite stable during the week, despite the lack of spot action, but vol started to fall late on Friday as spot climbed into the low 40s, and the market became even longer gamma. With the bid side thin in a weekend market, front end vols were sold into a hole. BTC Feb ATM volatility dropped from the low 60s to the low 50s, but has since recovered to trade 64 vols. Put skew has come off hugely in both BTC and ETH, with 25 delta riskies dropping 5 vols right out to March, and 3 vols in June.

This week, the economic data calendar is dominated by US consumer prices, to be released on Thursday. Expectations for the year-on-year number are 7.3% which would be a 40-year high, although economists also expect core CPI month-on-month to drop to 0.5% from 0.6% in December.

‍

About B2C2

B2C2 is the crypto-native liquidity provider across market conditions.  450+ institutions globally, including agency OTC desks, aggregators, banks, exchanges, FX brokers and hedge funds, rely on B2C2’s full service offering for 24/7 access to the crypto market.

Since it was founded in 2015, B2C2 built its technology, products and services to meet the evolving needs of diverse institutions.  Continuously innovative, B2C2 is trusted by clients to find solutions to industry challenges, such as creating the first crypto ISDA Master Agreement in 2018.

Acquired by Japanese financial group SBI in 2020, B2C2 remains a standalone company, headquartered in the UK, with offices in the US and Japan.  B2C2 OTC Ltd. is authorised and regulated by the UK’s Financial Conduct Authority (FRN 810834).  For more information, please visit https://www.b2c2.com

‍