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QCP CapitalQCP Capital2024/09/10 21:37
By:Elisha

Macro uncertainty dominates the crypto market ahead of the presidential debate, with the 30-day correlation to the MSCI World Equity Index reaching 0.6, near a 2-year high.

The desk saw heavy buying in the 11 Sep options, with 400 contracts at the 57.5k strike. The options market is implying a movement of more than 3.3% from the current spot of 56.8k by tomorrow’s expiry post debate.

Trump vs. Harris Debate Preview

The market will be watching closely for Kamala’s policy cues in her debut debate, especially in contrast to Trump’s clearer stance on lowering corporate taxes and raising tariffs, both of which are seen as inflationary.

While BTC is generally seen as the “Trump trade” due to his vocal support for crypto, we believe the real surprise could come from Harris if she brings up crypto positively during her campaign.

Trade Idea

Boosted by BTC spot ETF flows turning positive after an 8-day losing streak, we reiterate our structurally bullish stance in Q4. We favor earning stable yield while gaining upside convexity exposure at current spot levels.

Weekly Range Accrual + Topside Convexity

Receive weekly 6% p.a. coupon if fixes between 60k & 70k 

If spot breaks above range and fixes just below 80k at expiry, you get an additional payout up to 59.7% p.a.

Range Accrual Component

  • Maturity: 27DEC24
  • Coupon Frequency: Weekly from 20SEP24
  • Coupon Rate: 6% p.a. in USD if BTC/USD fixes at-or-within Coupon Range, 0% pa otherwise
  • Coupon Range: 60,000 to 70,000 BTC/USD

ERKO component

  • Maturity: 27DEC24
  • Strike: 70,000 BTC/USD
  • Barrier: 80,000 BTC/USD
  • Max Potential Payout: 59.7% p.a.

Spot Ref: 56,800

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Disclaimer: The content of this article solely reflects the author's opinion and does not represent the platform in any capacity. This article is not intended to serve as a reference for making investment decisions.

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