The trading volume of Bitcoin and Ethereum futures continued to shrink, but the weekly trading volume of CME Bitcoin options increased by more than 185% from the previous month. Bitcoin option holdings restarted the rebound trend, and the realized volatility in one month fell from about 50% in the previous month to the current 35%.
Futures market
Overview of extreme market liquidation
On the evening of October 8, Bitcoin rose by more than US$300 in two hours, and liquidated US$41.25 million in the first half an hour before approaching US$11,000. A total of US$56 million was liquidated on the same day.
BitMEX, Binance, Bybit, Huobi and OKEx five exchanges’ Bitcoin futures liquidation data statistics, source: Coin
Trading volume
The statistical scope of Bitcoin futures includes BitMEX, Binance, Bitfinex, Bakkt, Bybit, CME, Deribit, FTX, Huobi and OKEx. The statistical scope of Ethereum futures includes BitMEX, Binance, Bitfinex, Bybit, Deribit, FTX, Huobi and OKEx.
Bitcoin trading volume continued to shrink and returned to a downward trend. After a decrease of more than 14% in the previous week, it decreased by more than 17% in the past week. The trading volume in the week fell to 43.861 billion US dollars, compared with the last week of the end of July (July 24 to 30) )’S US$127.6 billion dropped by more than 60%. Among them, Bakkt’s weekly trading volume fell by nearly 60% from the previous month, CME and Deribit decreased by more than 30%, and BitMEX and Huobi both decreased by more than 20%.
Daily trading volume of Bitcoin futures contracts, source: Skew
The transaction volume of Ethereum has declined significantly, and the decline has been expanding for four consecutive weeks . The weekly transaction volume has fallen below US$20 billion, a decrease of over 20% from the previous month.
Ethereum futures contract daily trading volume, source: Skew
Open positions
Since October, Bitcoin futures positions have rebounded slightly. As of October 8, the value was 3.936 billion US dollars, an increase of nearly 10% from a week ago. Among them, the value of BitMEX’s holdings decreased by nearly 7% from a week ago, to about $600 million.
Open positions in Bitcoin futures contracts, source: Skew
Contrary to the performance of trading volume, in the past week, the holdings of Ethereum futures increased by nearly 5%, and as of October 8th, the holding value was US$983 million. Among them, only BitMEX and Bybit’s position data declined, with a decrease of 12.07% and 4.34% respectively.
Open positions in Ethereum futures contracts, source: Skew
In the case of low trading volume, futures positions rebounded slightly, reflecting the cautious market sentiment. Investors need to pay close attention to changes in position data in the next two weeks.
Option market
Trading volume
The scope of Bitcoin options statistics includes Bakkt, Bit.com, CME, Deribit, Huobi (launched on September 1), LedgerX and OKEx. The scope of Ethereum options statistics includes Deribit, Huobi (launched on September 11) and OKEx.
The weekly trading volume of Bitcoin options fell below the US$800 million mark to US$795 million, a 6% decrease from the previous month. It is worth mentioning that CME’s weekly trading volume increased by more than 185% from the previous month to 94.8 million US dollars.
Bitcoin options daily trading volume, source: Skew
After a sharp drop of 35% in the previous week, the turnover of Ethereum options dropped by more than 8% in the past week.
Daily trading volume of Ethereum options, data source: Skew
Open positions
After the open position of Bitcoin hit an all-time high on September 24 (US$2.272 billion), it dropped by 40% to around US$1.3 billion on the 25th (quarterly delivery day), and then resumed its rebound trend . As of October 8, The position data is 1.863 billion US dollars, an increase of nearly 10% from a week ago. Among them, the value of CME holdings increased by more than 18% month-on-month, reaching US$257 million as of October 8.
Open positions in Bitcoin options, source: Skew
Ethereum options holdings rebounded slightly after falling by more than 40% on September 25, reaching USD 387 million as of October 8.
Open positions in Ethereum options, source: Skew
Volatility
At the beginning of October, Bitcoin’s one-month volatility has fallen sharply , from about 50% in the previous month to the current 35%. At the same time, the implied volatility of one-month ATM options rebounded slightly to above 50%.
From left to right are the realized volatility of Bitcoin one month and the implied volatility of Bitcoin one month ATM
The one-month realized volatility of Ethereum rebounded sharply to 114% on September 24, a 5-month high, and then continued to decline, reaching 72% as of October 8. Over the same period, the implied volatility of one-month at-the-money options fell from around 70% to 61%.
From left to right are the one-month realized volatility of Ethereum and the one-month ATM implied volatility of Ethereum
Option volatility has nothing to do with option prices, but reflects the price changes of the option against the underlying asset. The realized volatility is the standard deviation of the price fluctuation range of the underlying asset in the past period of time calculated by the variance formula, and the implied volatility is the result calculated by the BS formula. Implied volatility measures market expectations of future volatility. An increase in implied volatility means a corresponding increase in the time value of the option, and vice versa means a decrease in the time value. In other words, if the volatility can be predicted more accurately, then you only need to buy when the volatility is high and sell when the volatility is low, and you can achieve better returns.
Option expiration
Today, more than 20,000 Bitcoin option contracts will expire, with a nominal value of more than 220 million US dollars. Nearly 40,000 contracts will expire on the last Friday (30th) of this month.
Bitcoin option expiration, source: Skew
In terms of Ethereum options, 92,900 contracts will expire today, and over 470,000 contracts will expire on December 25.
Ethereum option expiration status, source: Skew
Open positions in Ethereum futures, source: Skew
