Joshua Lim @joshua_j_lim Twitter profile

Last Seen Profiles

@SarahCannon_UK

@MC_Arbiter

@IbumuLonte

@penyukastw21

@19wjse

@RawlsLab

@lizzyxbunny

@CoachLopezCE

@MAljnwby71346

@0xnavkumar

@slot_manmai7

@nuxxe

@diflawk

@mengyao010

@wxw_88

@whoosnina

@NedghieA

@IjeomaLiz43019

@Dorothy_R83

@jandakembangstw

@LePeutikon

@excell305

@CryptoGGnojek

@lostphysicianYB

@YellowTaxiNow

@pushpalroy

@ZiYing9281

@vibewithhhgee

@Stockholms_univ

@ahkateart

@trgtoztrkk

@simonanane865

@TLNDGR

@kyorin_wagami

@gumin293

@modalsurrealist

Joshua Lim

@joshua_j_lim

3 years

in last 24h, our vol trading desk printed 3 separate crypto option tickets of $80mm notional size or higher... the institutions are here

333

529

3K

Joshua Lim

@joshua_j_lim

3 years

1/ BTC and ETH long-dated implied vols are plumbing multi-year lows. what is causing this and where do we go from here? a thread:

111

312

2K

Joshua Lim

@joshua_j_lim

2 years

1/ quick thread on the GMX "exploit" last night having sat on crypto dealing desks for many years, I know that offering liquidity to savvy traders is a painful but necessary part of the game GLP holders learned that same lesson last night!

86

386

2K

Joshua Lim

@joshua_j_lim

2 years

1/ this is how I think the mango attack played out, please let me know if I got anything wrong: at 6:19 PM ET, attacker funded acct A (CQvKS...) with 5mm USDC collateral

OtterSec

@osec_io

2 years

@mangomarkets was just drained for over $100M. 🧵

242

610

2K

99

390

1K

Joshua Lim

@joshua_j_lim

3 years

probably nothing

141

169

1K

Joshua Lim

@joshua_j_lim

1 month

1/ sorry for the long thread: I’ve had many convos around the SEC approval of IBIT options. my smart colleagues in the industry (h/t @dgt10011 ) have written great commentary around it... my own views are more nuanced and tempered, but as always expect the unexpected in crypto:

46

194

1K

Joshua Lim

@joshua_j_lim

3 years

this is the real flippening that everyone should be focusing on

34

103

787

Joshua Lim

@joshua_j_lim

2 years

1/ BTC has lagged the performance of other crypto assets through the last cycle most traders intuitively feel that BTC trades “heavy” – why is this happening? there’s two simple metrics we can look at to validate what we intuitively feel:

39

153

610

Joshua Lim

@joshua_j_lim

3 years

you can literally carbon date when someone got into crypto by how much they care about Tether FUD

15

37

571

Joshua Lim

@joshua_j_lim

11 months

1/ the CME futures roll traded at dizzying, near-historic wides during last week’s Nov to Dec roll window, touching 23%+ annualized at times, making it briefly one of the most attractive risk-adjusted trades in crypto

12

71

359

Joshua Lim

@joshua_j_lim

3 years

when your buddy saves you a seed round allocation

7

28

331

Joshua Lim

@joshua_j_lim

3 years

9/ and when both of those things coincide… oh boy you better get out of the way. BTC vols can rally 50-60 points pretty much monotonically: Oct 2020: 60v -> 120v Apr 2021: 70v -> 120v

24

22

321

Joshua Lim

@joshua_j_lim

2 years

1/ what's next for crypto mkts: contagion risk edition today’s relief rally across risk assets saw equities regain the 4k level in S&P 500 VIX is showing a risk barometer reading of 29, down as much as 6 points from last wk, when SPX was 3% higher!

9

69

320

Joshua Lim

@joshua_j_lim

3 years

@fintechfrank frank for the last time we are a vol trading desk, we don't sell mustache oil

9

2

313

Joshua Lim

@joshua_j_lim

3 years

is binance delisting lumber or something?

32

10

278

Joshua Lim

@joshua_j_lim

2 years

1/ today's massive BTC options print on CME demonstrates a larger trend happening in crypto options

8

48

254

Joshua Lim

@joshua_j_lim

3 years

5

27

252

Joshua Lim

@joshua_j_lim

3 years

imagine being investor #70 getting turned away for memeability reasons

CoinDesk

@CoinDesk

3 years

JUST IN: @SBF_FTX 's crypto exchange has raised $420,690,000 from 69 investors in a Series B-1 funding round that values @FTX_Official at $25 billion. @realDannyNelson reports

292

665

4K

5

9

230

Joshua Lim

@joshua_j_lim

3 years

BTC climbing wall of worry and drifting back into middle of spot trading range means vols lower... throw in overhang from vaults and overwrite supply. Feb $50k calls crushed by 12v points in last 24h to 60v implied. with 10d and 30d realized around 61v, feels like a good buy

21

22

221

Joshua Lim

@joshua_j_lim

3 years

6/ for instance, a long BTC holder could sell a 30-Dec-22 $40k / $100k strangle to collect around ~$11k per unit (vs 43,100 spot ref). so you effectively pick up another unit at $29k or you get taken out of risk at $100k… that doesn’t seem so bad!

7

23

200

Joshua Lim

@joshua_j_lim

3 years

7/ so where do we go from here? looking at the historical chart, BTC implied vols generally bottom in the low 60s. with it trading 70v now, it is getting attractive but not quite a screaming buy yet

7

20

199

Joshua Lim

@joshua_j_lim

2 years

11/ the last point is important: this problem is one that comes up more and more as GMX grows larger and attracts savvy traders. it's a good problem to have! defi liquidity venues are going to have to converge on cefi best practices over time as market sophistication increases

13

10

197

Joshua Lim

@joshua_j_lim

3 years

8/ one thing we know: when vols start getting bid, it’s usually in a positive spot/vol correlation regime w spot rallying to new ATH. You saw this in Oct 2020 (spot breaking through $10k) and again in Apr 2021 (post Coinbase listing de-risking)

8

15

192

Joshua Lim

@joshua_j_lim

3 years

we need to see MSTR borrowing UST from Anchor to buy more BTC while Do adds MSTR converts to the LFG stability fund before we can safely call the top

15

13

193

Joshua Lim

@joshua_j_lim

3 years

imagine paying 45bps a year for a defi etf where the top holding is nokia

Sergito | Popset

@sergitosergito

3 years

Lmao the GS “DeFi” ETF is a concentrated QQQ lol reminds me of the “Vegan” ETF from a few years ago that was mostly the top 15 names in Qs as well.

9

4

43

15

189

Joshua Lim

@joshua_j_lim

2 years

7/ of course, after the attack MNGO/USD traded down to $0.02, which means acct A is now ITM on its short MNGO perp position to the tune of $12mm but there is literally no liquidity left to pay acct A out, so attacker will have to be satisfied with the $116mm he took from acct B

25

10

178

Joshua Lim

@joshua_j_lim

3 years

when defi2.0 bros start talking about protocol controlled liquidity

2

8

166

Joshua Lim

@joshua_j_lim

3 years

7

159

Joshua Lim

@joshua_j_lim

1 year

imagine dumping $2.5mm of BTC gamma unceremoniously into the mkt, pushing vols down 4 points, then watching it rip all the way back

4

15

150

Joshua Lim

@joshua_j_lim

6 months

options add a powerful orthogonal risk expression to crypto portfolios below is an idea from 9 Apr a month later, BTC/USD is -11.3%, but if you had put on $10mm notional of this bullish structure, you'd still be up +$232k long-dated vols are down ~20 points

5

17

152

Joshua Lim

@joshua_j_lim

3 years

2/ in previous years, our trading desk would see regular supply in 6-12 month vega from dealers hedging books. there's less systematic flow of this type hitting screens now -- this goes hand in hand w dealers having larger balance sheets and being more willing to warehouse risk

4

5

138

Joshua Lim

@joshua_j_lim

3 years

3/ on top of that, with BTC and ETH spot stuck squarely in the middle of their 1-year trading range, there has been little appetite from crypto hedge funds to buy and hold long-dated options

1

7

130

Joshua Lim

@joshua_j_lim

2 years

5/ at MNGO/USD price of $0.91 per unit, account B was in the money by 483mm * ($0.91 - $0.03298) = $423mm that was enough unrealized P&L to take out a loan of $116mm across a bunch of tokens, which then left mango and leaves the protocol at a deficit

11

8

128

Joshua Lim

@joshua_j_lim

2 years

10/ finally, BTC forward prospects are challenged, the mkt knows it: a) BTC’s store of value proposition is being trumped by ETH’s sound money narrative b) long-only funds finally understand what ETH is this cycle and are favoring it as the new entry point into the asset class

12

19

128

Joshua Lim

@joshua_j_lim

3 years

2015-2018 tightening cycle coincided with historic bull run for BTC... what happens once tightening starts this cycle? good chart from @David_Grid

6

37

130

Joshua Lim

@joshua_j_lim

3 months

bullish call ratio backspreads, premium neutral, to take advantage of cheap call skew vs long perps, 100x leverage, market order

9

8

126

Joshua Lim

@joshua_j_lim

3 years

congrats to nat gas on the launch of its new ecosystem fund

3

6

129

Joshua Lim

@joshua_j_lim

3 years

will we see a meaningful decoupling of ETH vs BTC in 2022? how will it be expressed in derivative markets? a quick thread: in Q2 2022, ETH is expected to undergo a major transformation, switching from POW consensus to POS:

3

27

122

Joshua Lim

@joshua_j_lim

18 days

if the spread trade unwind is over then BTC/USD spot should go ____?

15

7

123

Joshua Lim

@joshua_j_lim

3 years

really interesting option prints today: someone traded total of 25,000 x 50,000 of the Jun ETH/USD $10k / $20k 1x2 call spread. buyer effectively collecting around 15v of skew to get short dvega/dvol on this trade. roughly $155k by $135k vega; 38% of 24h volume at time of trade

17

18

123

Joshua Lim

@joshua_j_lim

2 years

6/ it looks like that effectively wiped out all available liquidity on mango

1

9

119

Joshua Lim

@joshua_j_lim

3 years

nft investing is not hard, just buy the jpeg with the highest IRR based on a discounted cash flow model

12

127

Joshua Lim

@joshua_j_lim

2 years

7/ so the real issue is GMX doesn't reflect the true cost of liquidity like other venues do, it offers unlimited liquidity at a mid-market oracle price how can GMX fix this?

4

2

115

Joshua Lim

@joshua_j_lim

3 years

4/ meanwhile the narrative of “option vault auctions are dumping vega into the mkt!” is really dragging the entire curve lower, though it’s clearly also steepening in the front as you would expect (pink curve is today, blue dotted curve is 2 weeks ago)

1

7

114

Joshua Lim

@joshua_j_lim

2 years

today saw a large seller of BTC long-dated volatility in the June 2023 at-the-money ($19k) straddles

8

19

117

Joshua Lim

@joshua_j_lim

2 years

8/ first, GMX can look at orderbook depth on CEXes, reflect the cost of liquidity in the executable price, and pay any spread collected to GLP holders this removes the incentive to do this type of exploit, though it runs contrary to GMX's marketing as a zero price impact product

4

1

108

Joshua Lim

@joshua_j_lim

2 years

5/ this isn't an exploit as much as GMX working as designed! X executed large trades in against GLP holders with 0 slippage: at the oracle price without factoring any price impact in the real world, putting on risk requires you to pay liquidity providers on the opposite side

2

12

112

Joshua Lim

@joshua_j_lim

1 year

1/ high positive spot-vol correlation clearly indicative of dealer positioning as spot rallies to strikes where dealers are short in Nov and Dec, market gets shorter vega and vol follows as dealers are forced to cover

7

17

109

Joshua Lim

@joshua_j_lim

2 years

12/ can BTC remain king going fwd? only time will tell if the ETH narrative post-Merge is strong enough to overthrow the status quo in the meantime, expect BTC to continue to trade like a funding asset and preferred hedging instrument for the entire asset class

10

5

108

Joshua Lim

@joshua_j_lim

3 years

5/ while we're on the topic of retail-facing vaults, some short-vol long-dated structures are still pretty optically compelling for retail, even though vols have gotten crushed

1

4

104

Joshua Lim

@joshua_j_lim

2 years

2/ last night, trader X successfully extracted profits from GMX's AVAX/USD market by opening large positions at 0 slippage, then moving AVAX/USD on other venues in their favor this created a sinusoidal pattern for over an hour as X switched from long to short 5 times

4

10

103

Joshua Lim

@joshua_j_lim

2 years

2/ attacker then offered out 483mm units of MNGO perps on the order book

4

7

103

Joshua Lim

@joshua_j_lim

4 months

pshhhhh $45mm return over 150 million years barely beats inflation

16

8

110

Joshua Lim

@joshua_j_lim

2 years

9/ second, GMX can try to identify toxic customer flow and cut it off or widen their spreads specifically -- similar to how forex brokers segment customer flow into a-book vs b-book

4

6

96

Joshua Lim

@joshua_j_lim

2 years

11/ c) every cryptonative fund in the world is positioning for the Merge in some way d) ETH is looking deflationary post-Merge, while BTC has an uncertain supply event from the Mt Gox distro hanging over it e) we just had 9% inflation, and BTC "failed" as an inflation hedge

10

13

98

Joshua Lim

@joshua_j_lim

2 years

4/ at 6:26 PM ET, attacker started to move the price of MNGO spot mkt, it traded as high as $0.91

8

5

95

Joshua Lim

@joshua_j_lim

1 year

sometimes it kind of feels like the market is trading a long BTC / short ETH / long SOL butterfly position

12

3

103

Joshua Lim

@joshua_j_lim

3 years

keep hearing how NEAR USN bootstrapping at 20% yield is bearish for Terra UST why couldn't it be a positive for both ecosystems? maybe UST reserves hold USN and vice versa, reduce net marketing spend for both

10

4

92

Joshua Lim

@joshua_j_lim

3 years

opportunity cost lost by consumers not invested in crypto: $1.8 Trillion

BORED

@BoredElonMusk

3 years

Money lost by consumers through crypto scams last year: $80 Million Money lost by consumers through overdraft fees last year: $12 Billion

272

3K

14K

2

8

94

Joshua Lim

@joshua_j_lim

2 years

8/ the takeaway here is post-FTX there's a real market demand for trusted venues and counterparties in crypto whether that means onchain transparency of defi perps / DOVs / option orderbooks or the perceived safety of CME, it remains to be seen!

6

10

96

Joshua Lim

@joshua_j_lim

3 years

you never forget your first crypto CEO — real pleasure to catch up w the legendary @jerallaire

4

2

97

Joshua Lim

@joshua_j_lim

2 years

3/ at 6:24 PM ET, attacker funded acct B (4ND8F...) with 5mm USDC collateral to buy those 483mm units of MNGO perps, at a price of $0.0382 per unit

4

5

93

Joshua Lim

@joshua_j_lim

1 month

2/ first things first, we have to remember crypto already has a well-known and extremely liquid (by crypto standards) options venue called Deribit. it trades ~$40 bn notional monthly in BTC options. this compares to CME at ~$3bn

2

97

Joshua Lim

@joshua_j_lim

3 years

post-fomc holiday vol crushhhhh

12

11

86

Joshua Lim

@joshua_j_lim

25 days

*Middle East war breaking out, VIX and crude spiking higher, China potentially on the verge of major stimulus* crypto traders: "...oh I guess I should absolutely obliterate vols again!" *BTC dailys / weeklys crushed to sub 40 vol*

6

7

89

Joshua Lim

@joshua_j_lim

3 years

. @circlepay to rename itself "Sphere" as it focuses on maintaining dimensional parity with other payments companies

4

10

92

Joshua Lim

@joshua_j_lim

1 month

27/ lastly, elevated / expensive vols on single-name proxies for crypto exposure (MSTR, COIN, miners etc, which can be 70-100 vol) may compress and be more contained relative to BTC vols (typically in the 40-50 vol range now) as dealers are more willing to run short single-name

13

7

91

Joshua Lim

@joshua_j_lim

2 years

me: mom, can we get some arbitrage-free vol surfaces mom: we have arbitrage-free vol surfaces at home the arbitrage-free vol surface at home:

12

4

90

Joshua Lim

@joshua_j_lim

7 months

observation on today's spot sell-off vs Mar 20: fwd curve getting compressed now vs widening on Mar 20. also call skew getting bid up now vs higher strikes crushed on Mar 20 speaks to cleaner mkt positioning and more gross derisking vs just spot selling from etf outflows

5

87

Joshua Lim

@joshua_j_lim

3 years

in crypto if your max upside is 100%, you’re not making the right bets

THE CMS

@cmsholdings

3 years

Imagine being a tradfi manager who finally works up the balls to wade into crypto a land where we have our own term for money that falls from the sky and you stare at the board of unlimited opportunity and you decide finally to make a move and short tether just can’t be more ngmi

23

17

465

3

1

87

Joshua Lim

@joshua_j_lim

3 years

welcome to crypto land, where ETH realized is ~80v and march call wing is 131v

7

8

86

Joshua Lim

@joshua_j_lim

2 years

10/ third, GMX can cap max position size on any particular asset to a small fraction of liquidity available on CEXes so that any extractable profits are small relative to the cost of moving the asset price on CEX

4

5

80

Joshua Lim

@joshua_j_lim

2 years

6/ why use GMX and not FTX perps? because you can't trade at an oracle price on FTX, you pay some slippage as you execute up the orderbook you'd move price from $17.95 to $20.25 to buy 200k units of AVAX-PERP. So you'd lose on the FTX leg AND on the other venues you're moving

4

2

78

Joshua Lim

@joshua_j_lim

1 month

23/ third, there will be an altcoin boom if crypto lending comes back. one of the largest loan books in crypto was $12.5bn at the end of 2021. this has been one area that hasn't fully recovered since last cycle

4

7

85

Joshua Lim

@joshua_j_lim

2 years

3/ let's take a look at the first cycle which took place from 01:15:31 to 01:28:11 UTC. X was able to extract roughly $158k in profit by trading clips of $4-5mm at a time

1

2

77

Joshua Lim

@joshua_j_lim

5 months

after years of systematic tail-risk hedging, my 99% OTM one-touch options on BRK.A are finally paying off #study

9

6

82

Joshua Lim

@joshua_j_lim

1 year

BTC Oct vol down 5 points on the day. don't think I've ever seen a move this drastic at such a low abs vol level (mid 30s vol). seems wild with ETF chatter for Oct picking up the weekend vol crush is real, dealers are just choking on gamma

4

5

78

Joshua Lim

@joshua_j_lim

3 years

5

4

75

Joshua Lim

@joshua_j_lim

11 months

8/ what does it all mean? tradfi is already long and probably thinking about when to exit this trade around etf announcement expect retail to pile in.. and expect tradfi guys to exit (2021 tops in basis were prior to $COIN and $BITO listings)

5

9

77

Joshua Lim

@joshua_j_lim

3 years

1/ random thoughts on mkts here: liquid crypto mkts have been more difficult to navigate since Dec. allocators are reluctant to aggressively deploy risk into crypto with FOMC and Russia/Ukraine headlines driving macro assets across the board. BTC is moving on a 2ish beta to SPX

4

10

73

Joshua Lim

@joshua_j_lim

7 months

we're in that part of the cycle

7

3

76

Joshua Lim

@joshua_j_lim

1 year

dramatic move in the front: ETH/USD 6Oct up 10 vols over last 24h, with 27Oct flat at 28v we get it anon, you're bullish on ETH ETF this week

4

6

72

Joshua Lim

@joshua_j_lim

2 years

5/ what explains BTC's persistent heaviness? we present three qualitative reasons: first, the institutions are no longer “coming”… they are already here. BTC is accessible to everyone using CME futures, exchange-listed products and even via direct investment (see Coinbase AUC)

6

4

68

Joshua Lim

@joshua_j_lim

2 years

@alexwlezien maybe: put position limits on derivs based on spot liquidity (at venues used in oracle), so exploit pnl is commensurate w bid/offer spread paid to manipulate the mkt

6

4

65

Joshua Lim

@joshua_j_lim

2 years

10/ a good trade could be the 20-May ETH $2000 / $1600 1x3 put spread (you sell ATM, buy tail puts). You collect $31 to buy some crash protection

5

64

Joshua Lim

@joshua_j_lim

2 years

FED'S POWELL: WHY HAVEN'T YOU SOLD YOUR CRYPTO YET, ARE YOU DENSE

3

7

64

Joshua Lim

@joshua_j_lim

1 month

12/ second q, if the idea is to screen for commodities with squeeze potential, why not focus on many other smaller markets in energy, ags or metals that have either much less tradable supply / annual production?

1

6

68

Joshua Lim

@joshua_j_lim

1 month

5/ and yes, I know those firms’ interest in crypto has come and gone over the years, but I guarantee at least some are active on Deribit now, and if not directly, their fmr employees have spun out innumerable small (and in some cases large) crypto prop shops to trade on Deribit

2

1

67

Joshua Lim

@joshua_j_lim

1 month

3/ yes, it’s an “offshore” and “crypto-native” venue. yes, it’s where crypto retail traders who have some derivatives savvy go to trade. But a lot of tradfi firms are market-making there too…

1

67

Joshua Lim

@joshua_j_lim

2 years

4/ X did this 5 times (with less impact each time), so let's say they extracted ~$500-700k profit. Ofc X was paying spread to market-makers on the other venues they were trading on to move the price of AVAX, so the net collected is less

1

0

61

Joshua Lim

@joshua_j_lim

1 month

4/ you think firms like IMC, Optiver, Citadel, Jane St, SIG don’t go to where there’s retail trading volumes at healthy margins (relative to other tradfi macro markets)?

1

3

67

Joshua Lim

@joshua_j_lim

1 year

1/ ETH/BTC spot ratio is a major battleground right now on one hand, dealers are long $20mm of gamma from 1650-1800 strikes. as BTC/USD rallies, the supply from gamma keeping a lid on ETH

5

7

65

Joshua Lim

@joshua_j_lim

3 years

hope you guys locked in term funding for USD... 3.3bn in CME open interest pre-ETF + rally past ATH could mean big USD collateral shortage in crypto world

4

10

63

Joshua Lim

@joshua_j_lim

2 years

this row is reserved for big bagholders only

7

3

65

Joshua Lim

@joshua_j_lim

1 month

25/ options markets on IBIT (and market-maker willingness to bear the risk) will make it easier to price the risk inherent in margin lending against IBIT and make it more likely for prime brokers to lend against crypto… there will be an altcoin boom

1

9

64

Joshua Lim

@joshua_j_lim

3 months

the front of the implied vol curve is pricing in the Trump speech at BTC Nashville: BTC Sat 27Jul vs Sun 28Jul ATM straddle swap implies 2.75% move which seems pretty fair!

4

6

58

Joshua Lim

@joshua_j_lim

1 month

24/ prime brokers margin lending USD against BTC collateral greatly expands the availability of USD cash within crypto. that would lead to investment in riskier parts of the ecosystem as capital is recycled from the BTC ETF to memecoins, NFTs, alt L1s and speculative VC bets

1

5

63

Joshua Lim

@joshua_j_lim

2 years

9/ on the flip side, downside risk from DeFi liquidation levels remain If the de-risking continues over the weekend and ETH flirts with liquidation levels around $1500, things could get March2020-esque quickly (h/t Nico)

4

11

60

Joshua Lim

@joshua_j_lim

3 years

the best part about the etf is the transparency with which you can track how stupendously bad your carry costs will be

1

8

58

Joshua Lim

@joshua_j_lim

2 years

6/ as the historical gateway asset into crypto exposure, BTC is already a sizable % of the crypto allocation for most tradfi investors – this not only means it’s the asset that gets de-risked when the market turns, but also the asset that gets shorted as a beta hedge

1

3

56