The bitcoin halving is in about 20 days and the $BTC implied volatility is relatively CHEAP. The 1 month at the money volatility is now at 76%.

At the money vol is the implied volatility of the option where the strike price is the same as current price of the underlying.

An option's implied volatility is the same as its price. When trading options in institutional circles, one trades/quotes the vol, not the $ price.

Implied vol is also cheap relative to realized vol, although that depends on when one is comparing to.

- Implied vol is forward looking, it's the volatility priced in an option (expectations).
- Realized vol is backwards looking, it's the volatility that took place (past).

Meanwhile realized vol has mean reverted.

The range has been compressing and is now below its 200 day moving average, even with price 11% below its corresponding average.

Levels

- Resistance: 7300 (minor), 7500 (minor), 7700/7800 (major), 8000 (200 dma), 8050 (100 dma), 8400/8500 (major).

- Support: 6800 (minor), 6400 (major), 5800 (minor), 5500 (major).

Fibs are all over given how the March bottom difers greatly across exchanges.

Volume profile

- 6400 is the most traded price since 2017
- 8040 is the most traded price since 2019

The VP doesn't offer much of an edge on this ocassion aside of helping visualize how once above 7500 price should run to 7700, and once above 8200 price should run to 8500.

Bitmex funding has been mostly negative as of late, which means that shorts have been paying longs for the privilege of being long. Funding can be used as a proxy for traders positioning. Negative funding speaks of the presence of more aggressive shorts than leveraged longs.

Historically, negative funding has been a precursor for upwards moves https://twitter.com/Rptr45/status/1250051754588172288?s=20

Term structure is backwardated into June, in very slight contango from there on. The backwardation is a reflection of negative short-term rates and also speaks of miners selling June, likely heding against the halving.

Bitmex open interest collapsed on Black Thursday and has not recovered. There is less leverage in the bitcoin system, which diminishes odds of massive swings, particularly to the downside (bulls abused leverage in the past). OI is at $530M. During 2019 $1B was a selling level.

Bitmex liquidity is back though. Order books were empty for a long while after Black Thursday (as market makers went bust or got spooked), leading to jerky price action.

This is the Bitmex-Bitstamp basis. A negative value indicates that spot is leading and Bitmex shorts are paying longs. Notice how it was consistently negative right until Black Thursday, and mostly negative thereafter.

Flows-wise, I've been hearing about significant spot inflows since the March crash, as well as about miner accumulation (after puking their guts out on March 12). Miner inventories may be almost back to pre-crash levels (in BTC terms). I cannot share the data I have on this.

CME volumes have collapsed since the crash. Current volumes are 62% lower than the 50 day moving average as of March 11, in dollar terms.

Bakkt has stabilized at rather insignificant levels (pink bars highlight its relative market share). It's daily futures continues to have (literally) zero volume, while its monthly futures physically settled 117 bitcoins last month.

Tether volumes have exploded higher, and a large fraction is sitting on exchanges (over $2B just in ERC20 tethers).

That USDT should be used to buy the dip, and some will FOMO if prices break up, adding to momentum, which tells me the risk-reward is asymmetric and skewed right.

All of this against a backdrop of FEAR. Market participants are mostly bearish. Just as funding rates indicate.

The main downside risk curiously stems from non-crypto risk sentiment. Rolling correlations between $BTC and the S&P 500 remain around historical highs, and $BTC has been trading like a spastic stock. If equities were to nosedive, crypto should follow. https://twitter.com/krugermacro/status/1250901230467104769?s=20

I'm not that concerned about stocks downside any longer though. My base case scenario for the S&P is a crooked/tilted W where it trades a HIGHER LOW somewhere between 2650 and 2400. https://twitter.com/krugermacro/status/1250106512720224263?s=20

However, prices may just continue higher, as even though the economy is in a deep recession and a V-recovery in the real economy is unlikely, recession will be brief and the size of the fiscal and monetary stimuli is LARGER than the world's estimated lost output for 2020-2021.

Earnings and economic data will continue to be terrible for a while, yet stock prices are about the future, not the past. If most expect a deep yet short recession followed by a strong recovery, it should not be surprising for stocks to perform well. https://twitter.com/krugermacro/status/1250195800610783239?s=20