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Extended reading: What is the significance of these data in the weekly derivatives report, and how to interpret it?
Futures (Bitcoin)
The statistical scope of Bitcoin futures includes BitMEX, Binance, Bitfinex, Bakkt, Bybit, CME, CoinFlex, Deribit, FTX, Huobi and OKEx.
Liquidation overview
Last week (September 6 to September 12) Bitcoin experienced the most extreme intraday market since the 5.19 crash. Last Tuesday, Bitcoin plunged by more than $10,000 in intraday trading, but afterwards it went out of a wave A rapid rebound, but failed to achieve an effective recovery of the decline. The unilateral rise that had lasted for a week came to an abrupt halt, and was subsequently completely plunged into a sideways shock “traumatic repair” situation. This kind of disk performance will affect What kind of impact the short-term market sentiment has and how the market reacts during the sharp decline are the highlights of this week’s report.
Last week, the total amount of liquidation in the market rose sharply. The trading platform covered by the data approached 2 billion US dollars in liquidation. Among them, only in the two hours from 22:00-23:59 in the evening of September 7, the total amount of liquidation in the market reached nearly 1 billion US dollars, and the level of liquidation in the two hours reached a new high since the day of the 5.19 drop. Even if this extreme diving process is not considered, the proportion of multiple orders that have been liquidated in the past week is significantly higher than that of short orders. This shows that the short-term market is betting long, especially the amount of funds that “buy bottoms” after a sharp correction. It cannot be ignored, but this “sign” was gradually weakening in the second half of last week. The impact of this diving callback on market sentiment deserves continued attention in the future.
Bitcoin futures liquidation data statistics, source: Skew
Trading volume
Last week, the peak of the market turnover occurred on Tuesday. It is not surprising that the volume of the market plummeted during the course of the collapse. The single-day turnover reached 128 billion US dollars, which was twice the average level in the recent period. More than that, the single-day trading volume also hit a new high since the day of the 5.19 drop, while the trading volume of the other trading days last week remained relatively stable. It is worth mentioning that the “inertia” of the sharp decline in weekend trading volume that was noted in the last week’s report continues, and the trend of institutionalization of the futures market is becoming more apparent.
Bitcoin futures trading volume, source: Skew
Open interest
Bitcoin futures open interest has dropped considerably after the sharp drop last Tuesday, and there has been little change in the open interest during the sideways volatility in the second half of the week. The market has maintained a wait-and-see attitude during the repair process after the sharp drop. No large-scale replenishment of positions has been made. It can be seen that short-term funds still maintain a relatively restrained wait-and-see attitude towards further market outlook. At least in terms of holdings, larger institutions or investors did not proceed because of this sharp drop. A hastily large-scale “buy the bottom” attempt.
Bitcoin futures open interest, source: Skew
Perpetual contract funding rate
After the sharp drop last week, the funding rate of the main trading platform Bitcoin futures perpetual contract has shown a relatively obvious bearish sentiment. The funding rate of the main platform has basically remained at a negative level in the past week, which means that As the market has always been in a short-to-long situation, short-selling funds are obviously dominant.
Bitcoin perpetual contract funding rate, source: Skew
Futures (Ethereum)
The statistical scope of Ethereum futures includes BitMEX, Binance, Bitfinex, Bakkt, Bybit, CME, CoinFlex, Deribit, FTX, Huobi and OKEx.
Liquidation overview
The liquidation volume of the Ethereum futures contract has risen simultaneously in the past week. The liquidation volume for the entire week exceeded US$1.1 billion, a new high since the 5.19 plunge, which has doubled compared with the previous statistical cycle, and has also reached an earlier date. More than four times the total amount of liquidation in a week. Among them, a concentrated liquidation of USD 709 million occurred in Ethereum within two hours when the sharp drop occurred last Tuesday. The liquidation volume in two hours accounted for nearly 70% of the entire week. Due to the high concentration of Ethereum contract liquidation, other The detailed reference value of time period data is limited. After the previous short orders were “ransacked” by the rapid rise, the long orders suffered a heavy blow again last week. Whether the holdings accumulated by Ethereum futures will usher in an inflection point of growth will become a new focus in the short term.
Ethereum futures liquidation data statistics, source: Skew
Trading volume
Compared with the previous statistical cycle, the trading volume of Ethereum futures contracts has further increased. The sharp drop last Tuesday has laid a good foundation for the recovery of short-term market activity. In the second half of last week, the trading volume remained basically the same as that of the previous statistical cycle. Average level, and last Tuesday’s daily trading volume also hit a new high since the 5.19 drop. However, the two-day trading volume on the weekend has shrunk further compared with the performance of the weekend of the previous week.
Ethereum futures trading volume, source: Skew
Open interest
The Ethereum contract holdings also dropped sharply during the sharp drop last Tuesday, but it is worth mentioning that the decline in the Ethereum contract holdings only offset the increase in the previous statistical cycle, from a relatively long time dimension. From the above point of view, the open interest of the Ethereum contract is still maintained at a relatively high level, and the impact of the short-term sharp drop on the Ethereum futures market is relatively smaller than the impact on Bitcoin.
Ethereum futures open interest, source: Skew
Perpetual contract funding rate
The funding rate is another dimension of the difference between Ethereum and Bitcoin. The funding rate of the Ethereum futures perpetual contract has remained at a positive level most of the time after the sharp drop last week. In this case, the amount of long-term funds is still relatively dominant. It can be considered that the market’s excessive attitude towards the future of Ethereum has gradually formed an “independent” mentality.
Ethereum perpetual contract funding rate, source: Skew
Options (Bitcoin)
The scope of Bitcoin options statistics includes Binance, Bit.com, CME, Deribit, Huobi, LedgerX and OKEx.
Trading volume
Last Tuesday, Bitcoin options also ushered in a phased peak of trading. The volume of single-day rights hit a new high since the 5.19 day, but the volume of other trading days last week was compared with the previous statistical cycle. After the price drop, the market’s expectation of implied volatility has dropped slightly, which has led to a slight decrease in the interest in short-term options market participation.
Bitcoin options trading volume, source: Skew
Open interest
Bitcoin option holdings fluctuated but the overall decline was limited. After the market’s holdings reached a new peak level last Monday, the holdings declined due to the sharp drop last Tuesday, but the decline was relatively “restrained.” This change is similar to the change in the position of the Ethereum futures contract, which shows that the participation of market participants in this type of target is relatively limited by the short-term sharp drop in currency prices.
Bitcoin options holdings, source: Skew
Volatility
The realized volatility in the latest statistical cycle rose rapidly when the sharp drop occurred last Tuesday, but then quickly returned to the trend of volatility, and the change in implied volatility is more worthy of attention. The data fell sharply last Tuesday After the sharp decline, although there was a period of simultaneous low consolidation during the sideways trading, the data showed a very obvious rebound under the background that the currency price did not fluctuate significantly during the weekend, and it has now recovered last Tuesday. It can be considered that the current market’s “patience” for the sideways market is declining, and a new round of changes may accelerate in one direction or come soon.
Bitcoin has achieved volatility, source: Skew
Bitcoin implied volatility, source: Skew
PCR
Last week’s position PCR data has been in a continuous downward trend after the sharp drop, and the trading volume PCR data has also maintained a volatile downward posture. The short-term bearish direction of this indicator is very clear.
Bitcoin PCR, source: Skew
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