Since last update: BTC -9.6%, ETH -7.1%, large cap alts -3.8%, mid cap alts +6.2%, stocks +3.0%, bonds -0.4%, gold -1.0%
1) Our measure of close to close 2 week realized volatility in crypto since our last update on June 16th has printed again at the 75th percentile (lookback from 01/01/2020) after ticking up to 92nd percentile a few days ago.
A notable event not fully captured by this was a rapid intraday decline over the long weekend, which managed to fully recover and open CME unchanged. We’ve found that this kind of movement is not unusual for long weekends (NYSE) and note that the coming period of July 2-4 is one.
2) Continued ‘bodies floating to the surface’ have left an overhang on the market and likely explain what has become a striking gap between equity and crypto performance since the details around the 3AC fallout began to emerge.
Once again, we believe predictions of a more extended decoupling are premature and do not think this current bout of underperformance appears different than episodes previously seen YTD.
Given what seems to be a clear lack of demand around the $20K psychological level, which we would like to see bought up quickly, we are hesitant however to hold sizeable long-side bets and would prefer the risk/reward of wading in further at higher or lower prices (roughly >21k or <16k) as things currently stand.
3) On the macro side, we find the H1 July seasonality setup (Q3 start) compelling although likely to be overshadowed by incoming economic data (PMIs, payrolls, and CPI next two weeks).
The equity market is in a curious dance right now where recessionary signals (which has been our base case since the start of the year) are one day taken as positives (lower terminal rate) and the next day taken as negatives (lower earnings).
4) After collecting premium on very expensive puts at our last update, we have been surprised by how quickly things became relatively sanguine again in vol space and would not be surprised if the surface seen two weeks ago makes a return.
5) Also since the last update, where we began to move into a trade fading the recent outperformance of altcoins, what we think is a dislocation spurred by short profit-taking has only continued to move further.
This thematic trade represents only a small part of our book and we plan to continue using these prices to add to it.
6) We would also like to note that as many across industries are now forced to slash workforces and projections, Thanefield has only continued to hire and deploy new capital. As a recently established firm, we feel more than well positioned going into H2.