Rob

Liquid, Ladies and Leverage

[Rob @waffle_goblins]

@_Checkmatey_ 5-month 100k+ chopsolidation 3.0? Bring the pain!

[Rob @waffle_goblins]

$IBIT option market has been extremely interesting to watch the last 6 months, especially in comparison to $MSTR. (As far as options go, nearly identical liquidity profiles at $20-30B and 20-30% net DEX relative to their underlying "market caps").

IBIT Net Delta exposure has grown from $4B to $16B since May, peaking at $20B. During that time MSTR net DEX has been quite flat around the $24B level.

Probably more interestingly, IBIT positions have been significantly more long than MSTR (skew-adjusted dex was actually 50% greater than MSTR last week before the volatile Friday). Very weird/unique setup.

What's this mean? There has been a growing dynamic where BTC long exposure is increasing in IBIT while nominally higher IV premiums in MSTR continue to be sold.

So what's THAT mean? It means we will continue to see opportunities like last week, where IBIT volatility is mispriced relative to MSTR. This provides alpha in regards to "tipping points" in BTC price action (via hedging dynamics) and mispricing of risk in MSTR relative to IBIT/BTC.

Also, small, but significant side note: with IBIT Net dex in the $20B range (20% of IBITs net assets). IBIT delta hedging dynamics are going to play a significant role in BTC price action going forward. Very cool for us option nerds!

[Rob @waffle_goblins]

If only there was some type of indication prior to Fridays $BTC volatility 😅

Should be an interesting Monday in $MSTR . IV will be pumping in the negative gex territory - see if the vol sellers are willing to step in for control 👀 275-325 is quite the range

[Rob @waffle_goblins]

$IBIT long-vol exposure is now 300% greater than $MSTR as of Friday.

IBIT = 1mnav
MSTR = 1.45 1mnav

👀

[Rob @waffle_goblins]

@LNMarkets Uppies

[Rob @waffle_goblins]

I only own MSTR and 3350 for this reason. The next TC I'll buy is when a low-growth traditional cash-flowing opco jumps on the BTC train.

E.g. Aliemente couche tard just failed to buy 711. The offer was $47b at a 35x multiple.

ATD is a notoriously consistent cash-flow machine and their biggest problem is putting the cash to work effectively. Would love to own a TC with traditional cash-flows.

[Rob @waffle_goblins]

$IBIT long-vol exposure is now 300% greater than $MSTR as of Friday.

IBIT = 1mnav
MSTR = 1.45 1mnav

👀

[Rob @waffle_goblins]

@dmitryuduman @JoshMandell6 @laurashin

[Rob @waffle_goblins]

@MichaelBowsman @_Checkmatey_ I'd love some 30-40 leaps 😅. IBIT option maturity is quickly turning IBIT/BTC into a "pick your spots" as far as expiries/vega exposure. We might be waiting for the next deep bear for those 30's 😅

[Rob @waffle_goblins]

@btcwitcher @_Checkmatey_ @MichaelBowsman Not dead 😅 cautiously bullish is the vibe imo too

[Rob @waffle_goblins]

I agree (OI and dex/gex should be used cautiously). Truth be told, I've mostly used skew-adjusted dex and gex as a contrarian indicator with IBIT, but the last few weeks of price action and volatility appear to be very "compressed". I.e. positioning is juuuust bullish enough and vol relatively flat to give me some long-bias even near ATH

[Rob @waffle_goblins]

@_Checkmatey_ @MichaelBowsman Of the $12B in IBIT option delta there's about $650M skewed long as of close today. Interestingly this is the first time this year where the delta is net long while IV is under 40 🧐 seems bullish-y

[Rob @waffle_goblins]

@altols @E055Michel1842 Well I'd agree with Mr Welborn that FTDs are related to derivative exposures. If you assume FTDs are a result of illiquidity in derivative collateral, then there are much better real-time indicators than FTDs.

But, FTD data can add a bit of conviction to a setup.

[Rob @waffle_goblins]

It matters because if the relative number of FTDs are shrinking, it literally means MSTR shares are failing less. FTDs (under current security laws/structures) are necessary to ensure healthy mechanics.

MSTY currently has $205M in off-exchange 10/17 short puts. MSTR regularly has $20-40B in lit delta exposure.

The largest number of FTDs this year was $130M during June opex, which cleared in 2 trading days.

My point is FTDs have 0.01% effect on MSTR price discovery in the worst-case FTD scenario, and are more of a mechanic of "clunkiness" during high volume high vol days. Although, MSTR is trading "less clunky" over time.

[Rob @waffle_goblins]

@altols @E055Michel1842 Change your units to FTD$/Market Cap or FTDs/Outstanding Shares.

Increasing FTDs indicate illiquidity, but only relative to the total available liquidity. (MSTR is more liquid now than any time previously)

[Rob @waffle_goblins]

It's been in the 40-50% range since at least 2022 (wasn't following before then). The average off exchange volume has been decreasing over the last two years. The peaks tend to be around high realized vol PA. MSTR has plenty of liquidity, off-exchange volume doesn't really provide any alpha unfortunately.

MSTR is literally selling equity liquidity as their business - not much opportunity for squeezes outside BTC and hedging dynamics.

[Rob @waffle_goblins]

@E055Michel1842 @Mars_HODL A little elevated, but MSTR is 45-50% off exchange any given day. Bump on a high vol day isn't indicative of anything to me. More interesting if FTDs start to climb (they're not).

[Rob @waffle_goblins]

@Mars_HODL @E055Michel1842 $22B in delta and none of it is supportive under 360 (expect lots of volatility both directions). Off-exchange doesn't look out of the ordinary. Looks like reflexive delta hedging. BTC under 112 might hit my MSTR stink bids 👀

[Rob @waffle_goblins]

@nicoffx I'm very undecided about this dynamic. 1000 shares of STRF + a Jan 2027 1050 call? Or 1000 shares of STRK + a short Jan 27 1050? 🧐

Low IV makes for an interesting risk reward at the moment.

[Rob @waffle_goblins]

@bmerf Y'know what's better than 0.09 EPS? 0.44 😅

I'm glad to see their SGA coming further inline. If they commit to the BTC Treasury and positive cash flows - the setup is interesting.

[Rob @waffle_goblins]

It's really too bad $GME fumbled the bag. $1.5B worth of $84k BTC would have been a nice bump to that EPS and declining revenues 🤷