Macro Theme:

Founder’s Note:

Futures are off 40bps. CL is off 2%.

AVGO & CRWD are getting smoked after earnings: -14% & -9% respectively.

BTC is off 2% for the day, and -15% in 3 days. With this we eye MSTR which was off 7% yesterday, and -2% premarket. This is a perilous moment for the crypto community (more on this below)…

Traders are meeting the recent ~day of weakness in the S&P by selling puts in and around 7,500, with another cluster of short puts around 7,400. This is supplying supportive positive $11bn gamma to MM’s books. Given this, we’re anticipating “contained” selling as long as the SPX stays >7,500. Below 7,490 we look for a move into 7,400, but that reads as low probability given the MMs current positive gamma position.

The top 100 stocks in the S&P supply more positive gamma, too. At ~$1.5bn this is about 1/10th the size of the SPX gamma but hearkens to the core dealer positioning: supportive long gamma. This all sums up as today likely being a lower volatility session, even if the market is down. This, versus a market plunge. Sub 7,490 we will be on alert for faster selling.

Back to the crypto complex.

Recently there were two events that caught our eye in crypto: 1) Bessent revealing how the US swiped Iran’s crypto, and 2) MSTR selling some BTC.

There may be something else going on here, and while this is generally outside of the options realm it does involve the exchanges – and we have some expertise there.

Here we have a chart of BTC (red) vs CBOE (blue) and CME (green). The broad exchanges have been plunging as of late, with CBOE of 20% since June 1. Other exchanges are down in similar fashion, and that seems to be highly correlated with selling in BTC.

Correlation is not causation, as they say, but we can’t help but wonder if there is a core theme to what is eating exchange/crypto’s lunch: event trading?

This leads us to another interesting path for exchanges: PDT.

Today PDT is going away, and brokers will now start letting those with accounts <$25k day trade until their heart is content (or wallets empty). This development should be a boon to brokers and exchanges, at least initially.

It’s probably not such a help to crypto.

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