Derive Insights

Saylor update: Negative Flywheel Continues 🔍

The $STRC buybacks run mainly on $MSTR issuance, meanwhile MSCI drops $MSTR.

Since our September update, Strategy bought back another $1.80B of STRC and spent $430M on $BTC. STRC still hasn't closed at par. Best close $99.99, $99.69 pre-market today.

The funding source changed. USD Cash, the unrestricted $1.61B bucket from last time, is down to $146M. Last week $188.3M of new $MSTR issuance went straight into STRC buybacks.

That channel now meets a forced seller. MSCI confirmed yesterday that $MSTR leaves its indexes at the Nov 30 close. Strategy estimates trackers hold about 13M shares, roughly $1.5B at today's pre-market price. JPMorgan put it at max $2.8B, up to $8.8B if other index providers follow (on past reportings start of the year).

$MSTR is down 6.5% pre-market. Holdings sit at a record 850,364 BTC, with $BTC at $72.6K, below the $75,456 average cost.

Text & Analysis: @moritzpike

$BTC & $ETH Flow Update:

Over the last three days, traders put about $177M into Bitcoin options, and most of it, around $111M, went into puts, which are bets on or protection against a drop.

Buyers and sellers were fairly evenly matched, so the overall mood was cautious but not panicked. The busiest levels were $72k for puts and $74k for calls, with Bitcoin at about $74.2k. Ethereum saw about $62M, also mostly in puts. There, traders bought slightly more downside protection than they sold, and they sold more upside calls than they bought, which is a mildly cautious tone. The busiest levels were $2,100 and $2,200, with ETH at about $2,075.

Data & Analysis by @derivativemonky

Options Basics EP. 7: How to Sell a Cash-Secured Put 🎬

Would you buy $BTC lower anyway? A cash-secured put pays you upfront to wait for that price, and if BTC gets there, your effective entry is the strike minus the premium.

Post-CPI: $BTC options update

October CPI came in hot: +0.4% MoM (vs 0.3% expected), core +0.3% (vs 0.2%). BTC dipped to $73.5k and is back at $74.3k.

The event premium is gone. 7D ATM IV fell from about 42% to 36.6%, while 30D held near 37.6%. The term structure is now flat. Vol is still pricey, though. Puts stay bid in the front: 7D 25D RR is -4.1 and 30D is -3.2. Dealers are short gamma below $76k, so moves can extend. Key strikes are $70k for puts and $80k to $100k for calls.

Options price ±3.2% into Friday, about $71.9k to $76.7k.

The lean: spreads over outright longs. For downside views, put spreads make the most of the weekly skew.

Data & Analysis by @derivativemonky

US CPI in one hour. Derive's 13 Nov $BTC options price a move of about ±2.9% by Friday. The straddle math around CPI broken down:

Long the BTC $74K call and put, 13 Nov expiry
Cost: ~$2.1K per BTC (40.7% IV)
Break-evens: $71.9K / $76.1K
Max loss: the premium, if BTC settles at $74K

24h after the print, per 1 BTC:
Flat, IV unchanged: −$0.4K
Flat, IV down 5 pts: −$0.6K
±2%: −$0.4K to +$0.1K
±4%: +$0.7K to +$1.2K

A 2% reaction barely covers the decay. The straddle needs something closer to 4%, and fast.

Skew leans cautious: 25-delta puts on the 13 Nov expiry trade about 6 vol points over 25-delta calls. The market is paying up for downside protection into the number.

ℹ️ Black-Scholes estimates from Derive's live surface, not quotes. Not financial advice.