Crypto Derivatives Weekly | BTC option holdings hit a new high, but futures holdings returned to a downward trend

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Bitcoin options positions hit a record high on September 24, reaching $2.272 billion. After a sharp drop of 30% last week, the turnover of Ethereum futures decreased by nearly 10% in the past week, and the turnover of options also fell by nearly 13% from the previous week. Ethereum has achieved a one-month volatility surge to 114%, while the implied volatility of one-month at-the-money options has dropped to 70%.

Weekly market dynamics

Binance contracts listed BTC, ETH, ADA, LINK 0326 currency-based delivery contracts for the second quarter.

Futures market

Overview of extreme market liquidation

At around 10.30pm on September 21 (Monday), Bitcoin fell more than US$300 in half an hour and once fell below US$10,300. During this period, it liquidated more than US$43.11 million. The total amount of liquidation on the day reached US$102 million. In the early morning of September 24, Bitcoin fell below $10,200 and hit a two-week low. A total of $66 million was liquidated that day. Between 0:00 and 0:30 in the morning today, Bitcoin quickly rebounded above US$10,700, and its position was sold out to US$43.27 million within half an hour.

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 futures trading volume rebounded slightly . In the past week, it increased by nearly 7% from the previous month to 62.2 billion US dollars. Among them, Bakkt’s trading volume increased by 88% month-on-month last week, and decreased by 25% this week to US$511 million. CME trading volume rebounded 50% in the past week, reaching US$2.7 billion.

Crypto Derivatives Weekly |Daily trading volume of Bitcoin futures contracts, source: Skew

After falling by 30% last week, Ethereum’s trading volume dropped by 9.74% in the past week, with a weekly trading volume of 30.396 billion US dollars.

Crypto Derivatives Weekly |Ethereum futures contract daily trading volume, source: Skew

Open positions

Bitcoin futures open positions returned to a downward trend after a brief rebound last week, falling 7% from a week ago to below US$4 billion, at US$3.748 billion.

Crypto Derivatives Weekly |Daily trading volume of Bitcoin futures contracts, source: Skew

Ethereum holdings once again fell below $1 billion . As of September 24, the value was US$988 million, a decrease of more than 10% from a week ago.

Crypto Derivatives Weekly |Open positions in Ethereum futures, source: Skew

At present, the holding values ​​of Bitcoin and Ethereum have not shown a growth trend.

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.

In the past week, Bitcoin options trading volume increased by 9.53% month-on-month to above $1.1 billion. Among them, after CME’s weekly trading volume increased by nearly 80% last week, it fell more than 73% in the past week to 31.5 million US dollars. At the same time, Deribit’s trading volume surged by more than 80% month-on-month, and its trading volume accounted for 80%.

Crypto Derivatives Weekly |Bitcoin options daily trading volume, source: Skew

The trading volume of Ethereum options declined for two consecutive weeks . The trading volume in the past week was US$192 million, a decrease of nearly 13% from the previous month.

Crypto Derivatives Weekly |Ethereum options daily trading volume, data source: Skew

Open positions

Bitcoin’s open position fully recovered the 27% decline recorded on the last Friday of August, and hit a record high on September 24, reaching $2.272 billion, an increase of nearly 11% from a week ago.

Crypto Derivatives Weekly |Open positions in Bitcoin options, source: Skew

In contrast, the value of Ethereum’s holdings has dropped by nearly 5% from a week ago. As of September 24, the value of the holdings was $481 million.

Crypto Derivatives Weekly |Open positions in Ethereum options, source: Skew

Volatility

Since September, Bitcoin’s one-month realized volatility has basically remained between 54% and 58%, as of September 24, it was 58%. At the same time, the one-month at-the-money option (ATM) implied volatility has been Continue to drop to 44% .

Crypto Derivatives Weekly |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 gradually recovered after hitting a 15-month low (43%) in mid-July, and has now rebounded sharply to 114% . However, the implied volatility of one-month at-the-money options (ATM) has gradually declined since August and is currently 70%.

Crypto Derivatives Weekly |From left to right are the realized volatility of Ethereum one month and the implied volatility of Ethereum one month ATM

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.

Ratio of open interest PCR

The ratio of Bitcoin holdings PCR has continued to rebound since September 14 and reached 0.73 as of yesterday. This means that the market is increasingly competing for long and short positions, but the long-term advantage of many parties has not been shaken. In addition, the Ethereum open interest PCR was 0.88 as of yesterday, a slight increase from a week ago.

Crypto Derivatives Weekly |Bitcoin option open interest PCR ratio

Put/Call Ratio (PCR) is an indicator used to measure the ratio of bearish calls. If the PCR value is greater than 1, it means that the short is greater than the long; if it is less than 1, the short is less than the long.

Option expiration

Today, more than 90,000 Bitcoin option contracts will expire, with a nominal value of nearly $1 billion.

Crypto Derivatives Weekly |Bitcoin option expiration, source: Skew

In terms of Ethereum options, 468,100 contracts will expire today, with a nominal value of approximately US$159 million. More than 440,000 contracts will expire on December 25.

Crypto Derivatives Weekly |Ethereum option expiration status, source: Skew