September 2021 – Teks Alpha NAV Systema Fund

Market Overview

September has been a month where crypto investors and worldwide markets have been rattled by volatility as US and China increased their efforts to have better oversight over cryptomarkets. Macro risks such as the US debt ceiling, FED tapering and worldwide inflation, fueled by the spike in energy prices, have created a peak FUD moment for traders.

To put it in numbers, September had the following sequence >> BTC price started at $47.3k, rallied +12% by the 7th, dropped as much as -20% by the 8th, rallied +15% by the 20th and ended up -7.04% on a MtM basis. Implied vol had wild movements too with an ATR of almost 40% in the front vols. Fundamentals are still strong (as on-chain analysis shows), but technical supports could be broken triggering a panic-selling which could lead to a change in the institutional mood towards crypto technology.

Any selloff is a big opportunity, not only to increase positive deltas in crypto assets but to short vegas. However, investors should be cautious when executing directional trades in the forthcoming weeks.

Performance

During September our structured products and short vega strategy had generated decent returns given the downturns in the market.

Looking forward we will keep a close eye in any price breakout/down on BTC and try to take advantage of vol spikes. Also, we will closely follow the evolvement of macro events with the US congress and energy prices that may add additional downside risk to the markets.

Teks Alpha Performance (%)

Teks Alpha Performance vs Index