Form 13F Leonteq Securities AG For: 26 March

Risk disclosure: trading financial instruments and cryptocurrencies involves high risk, including the potential loss of some or all invested capital and heightened risk when trading on margin. Prices of cryptocurrencies are highly volatile and may be affected by financial, regulatory or political events; Fusion Media warns its site data may not be real-time or accurate and disclaims liability for trading losses.

Analysis

Regulatory tightening is not a binary market-killer for crypto; it reallocates value up the stack toward regulated infrastructure and away from high-leverage retail conduits. Over the next 3–12 months expect COIN-like custodial/exchange incumbents and clearing venues (CME) to see relative flow capture as counterparties shift to licensed rails, while miners and margin lenders (MARA/RIOT and OTC levered desks) face direct second-order stress from higher compliance costs and constrained repo or credit lines.

The dominant tail risks are concentrated: a major SEC enforcement action or a stablecoin run can trigger forced deleveraging within days and 20–40% realized crypto volatility spikes; conversely, clear legislation or spot-BTC ETF approvals will crystallize institutional on-ramps over 3–18 months. Watch margin financing spreads, open interest in perpetuals, and exchange withdrawal queues as high-frequency indicators that deleveraging is under way.

Actionable cross-sectional trades should exploit the regulatory wedge: long regulated intermediaries and regulated-derivatives exposure while short unregulated, highly levered operators and miners that will need to sell BTC to service debt. Use options to express convexity—limited loss long-call spreads on exchanges and long puts on miners—keeping individual trade risk to 0.5–1% of NAV given event-driven volatility.

Contrarian read: the market narrative that “regulation = apocalypse” overlooks consolidation benefits and institutional reallocation. If regulators raise the bar, liquidity will centralize into fewer, compliant providers whose revenue streams scale faster than crypto price volatility; overweighting those players is a way to capture structural flow transfer without binary crypto directional exposure.

Key Decisions for Investors

• Pair trade (dollar‑neutral): Long COIN vs Short MARA, size 1–1.5% NAV total (0.75% long COIN, 0.75% short MARA). Target 25–40% relative move over 3–9 months; stop if pair moves 15% adverse relative. Rationale: flow capture for regulated exchange vs miner balance‑sheet stress from tighter regulation/power costs.
• Options expressivity: Buy 3‑month COIN call spread (long 25% OTM call, short 45% OTM call), cost <0.5% NAV. Reward target 2.5x premium if regulatory clarity/ETF flows accelerate in 1–3 months; hard stop: 50% premium loss at 45 days.
• Tail protection / tactical volatility: Buy 30‑60 day ATM BTC straddle via BITO options or OTC BTC options (size 0.5% NAV). Expect payoff if a high‑profile enforcement or stablecoin event occurs within 0–60 days. Cap exposure due to theta decay.
• Hedge / diversify into regulated derivatives: Long CME (CME) outright, size 0.75% NAV, horizon 6–12 months. Thesis: higher cleared volumes and volatility trading revenues with rising institutional activity; set 20% take‑profit, 12% stop‑loss.
• Defensive short / put: Buy 90‑day MARA 30% OTM puts (size 0.5% NAV) or short equity equivalent for similar risk. Target 3x premium if miner BTC sales or financing stress materialize in 1–6 months; cut at 50% premium loss.