Asia Colour

US JOLTS job openings printed their lowest level since January 2021, while layoffs rose to its highest since March 2023. The market reacted by pricing in a 50% chance of a 50bps rate cut in Sep and a total of 4.5 cuts for 2024.

BTC rallied above 58.5k, and ETH close to 2,500 during US hours. However, the Asia session saw prices pull back to 57k for BTC and 2400 for ETH. Overnight BTC spot ETF outflow were the lowest in the last 6 sessions (-$37.5m). Could we see some price support from ETF inflows in US hours today?

Front-end vols remain elevated for the week, with BTC vols rising 6% from the lows this week. We expect volatility to remain elevated given yesterday’s VMI signal.

Trade Idea

Lock in yield in light of impending rate cuts.

Yield Bundle

• Coupon: 25.5% pa ($3,493 per $100k deployment)
• Basis + sell 10.8x of 50k/49k PS & 10.8x of 67/68k CS (expiry: 25-Oct)
• Downside: If spot is below 49k or above 68k at expiry, max loss is $6,460.

Spot ref: 57,100