Form 6K Siamese Asset PCL For: 10 March

This is a general risk disclosure: trading financial instruments and cryptocurrencies involves high risk, including the loss of some or all invested capital, and margin trading amplifies those risks. The note warns that crypto prices are highly volatile and that data on Fusion Media may not be real-time or accurate, and disclaims liability for trading decisions based on its information.

Analysis

Crypto market microstructure is the current lever on price outcomes: concentration of leverage in perpetual futures and asymmetric liquidity in spot venues means funding-rate cycles can flip from benign carry to violent unwind within 48-72 hours. When aggregate funding exceeds ~0.5%/week historically, the market is one large margin-call away from a 10-20% directional move as longs get squeezed and liquidity evaporates.

Options markets are signaling elevated term premia and steep skew, which creates an attractive environment for convexity providers but also sets up fragile dealer hedging dynamics around large expiries (end-of-month/quarter). When >25-30% of open interest is clustered at a handful of strikes, delta-hedging flows can amplify moves by an additional 3-6% intra-day; these gamma flows are the path-dependent catalyst that matters more than macro headlines over days to weeks.

Consensus focuses on macro/regulatory headlines, but underappreciated is the second-order impact of mispriced data feeds and CEX withdrawal queuing: short-lived quote divergence across venues creates repeatable arbitrage windows and forces preferential routing that can leave passive liquidity providers clipped. Over the next 2-12 weeks this will favor nimble, delta-hedged volatility capture and basis trades rather than pure directional exposure.

Key Decisions for Investors

• Short BTC-USD perpetual funding vs long spot BTC (cash-and-carry): enter when 8-hour funding >0.05% (≈0.4%/day). Size 2-5% NAV, target capture 0.5-2% weekly while funding remains elevated. Risk: spot gap >15% — hard stop and hedge with 1-month 10% OTM puts (buy to limit tail loss to ~8-12% of position).
• Volatility-calendar on ETH (short 3m ATM, long 1m ATM): initiate when 3m IV / 1m IV >1.4. Use delta-hedged straddle short 3m and long 1m to capture term premium; target theta capture 3-8% monthly. Risk-management: cap portfolio gamma by buying protective wings (butterfly or OTM puts) and limit allocation to 2-4% NAV.
• Protective tail hedge: buy 3-month BTC 15% OTM puts cost-target <2.5% of notional to cap black-swan exposure across directional books. Fund partially by selling farther-dated (6-9 month) low-vol put spreads on a small notional (payoff-finance) — net cost should not exceed 1.5% of NAV. Expected outcome: asymmetric tail protection that preserves optionality to redeploy into dislocations.