Crypto Derivatives Weekly | CME becomes the world’s second largest BTC futures trading platform

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With the rise of Bitcoin above 13,000 USD, the trading volume of Bitcoin futures and options both rebounded by nearly 50%. Bitcoin option holdings also set a historical record, reaching nearly $2.6 billion. CME has become the second largest Bitcoin futures exchange, and its holdings are second only to OKEx.

Futures market

Overview of extreme market liquidation

This Wednesday (October 21) around 10.30pm, Bitcoin rose by nearly US$400 in half an hour, during which time it was liquidated by US$160 million. On the same day, Bitcoin surged by more than US$1,000, totaling US$303 million. At around 7 o’clock in the morning on the 22nd, Bitcoin quickly fell back by more than US$500 after surging up to US$13,200. During this period, it liquidated US$39.17 million and a total of US$153 million was liquidated that 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.

In the past week (October 16-22), as the price of Bitcoin has risen sharply, futures trading volume has also increased by nearly 47% from the previous month. The weekly trading volume reached 91.744 billion US dollars, and the single-day trading volume on the 21st reached more than 29.5 billion US dollars. In addition, CME’s trading volume increased by 80% month-on-month, Huobi increased by 66%, and Binance and BitMEX both increased by about 50% month-on-month. OKEx’s weekly futures trading volume increased by 18% month-on-month, but its share of trading volume dropped from 24% last week to around 19% this week.

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

Ethereum’s weekly trading volume also increased by more than 17% from the previous month to 28.454 billion US dollars.

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

Open positions

With the continuous rebound in trading volume, the open position of Bitcoin also increased by nearly 20% from a week ago. As of October 22, the value was 4.969 billion U.S. dollars. Among them, Binance and CME both increased by more than 40%. Open positions amounted to 786 million US dollars, accounting for 15.8% of positions, surpassing BitMEX and Binance, second only to OKEx, and becoming the second largest Bitcoin futures exchange. This shows that institutional investors are increasingly interested in Bitcoin.

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

The value of Ethereum holdings also increased by more than 16% from a week ago, reaching $1.184 billion as of October 22.

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

Both Bitcoin and Ethereum futures trading continued to increase in volume, and the value of open positions continued to climb, indicating that the market is relatively optimistic about the disk. However, investors still need to continue to pay attention to the rebound in position values ​​in the next one or 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.

Consistent with the performance of the futures market, the weekly trading volume of Bitcoin options continued to rebound by more than 48%. It is worth noting that CME’s trading volume rebounded nearly twice in the week (2nd to 8th) in early October, and continued to fall for two consecutive weeks, with a decrease of 34% from the previous week. Bit.com’s trading volume doubled month-on-month, second only to Deribit, accounting for more than 11%.

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

Ethereum’s weekly trading volume also increased by more than 58% from the previous month to nearly 200 million US dollars.

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

Open positions

Bitcoin options holdings once again set historical records. As of October 22, the value was US$2.596 billion, an increase of more than 20% from a week ago.

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

On the other hand, the value of Ethereum holdings also continued to rebound for three consecutive weeks, reaching US$492 million as of the 22nd, a rebound of more than 17% from a week ago.

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

Volatility

With Bitcoin breaking through $13,000, Bitcoin’s one-month realized volatility has risen from about 33% last week to the current nearly 40%. At the same time, the implied volatility of one-month ATM options rebounded to 60% on the 21st and returned to around 50%.

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

Ethereum’s one-month realized volatility rebounded sharply to 114% on September 24, a 5-month high, and then continued to decline, and has now fallen to 60%. At the same time, the current one-month at-the-money option implied volatility is 61%.

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

For option traders, market volatility is very important, but please note that the so-called option volatility actually has nothing to do with option prices, but reflects the price changes of options versus underlying assets. 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

Next Friday (October 30), more than 60,000 Bitcoin options contracts will expire, with a notional value of more than $776 million.

Crypto Derivatives Weekly |Bitcoin option expiration, source: Skew

In terms of Ethereum options, 187,700 contracts will expire next Friday, with a nominal value of approximately US$76.95 million. 495,300 contracts will expire on December 25.

Crypto Derivatives Weekly | The market accelerates, and CME becomes the second largest BTC futures exchangeEthereum option expiration status, source: Skew