The weekly trading volume of Ethereum futures and options both increased by 150% month-on-month, and option holdings increased by 30%, setting a record. Bitcoin futures trading volume increased by 33% month-on-month, and options trading increased by 18%. Futures positions broke the record of seven consecutive weeks of rising. On November 26, it fell by more than 16% in a single day. Bitcoin’s one-month volatility has soared from 30% in early November to the current 71%.
Weekly market dynamics
- Binance Options launched LTC contract.
- OKEx launches ZEN perpetual contract.
- Bybit will launch the 2020 Bitcoin quarterly futures contract BTCUSD1225 on December 25, and BTCUSD0326 on March 26, 2021.
Futures market
Overview of extreme market liquidation
On November 26 (Thursday), Bitcoin fell by more than US$2,800. It rebounded slightly after falling by nearly US$1,000 within half an hour from 11:30. During the period, it liquidated US$200 million and the entire network was US$320 million. Within half an hour from 16:30, Bitcoin once approached US$16,300 and then rebounded by US$500. During this period, it liquidated US$220 million and the entire network liquidated US$300 million. On the same day, Bitcoin liquidated US$713 million. 1.204 billion US dollars.
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.
Along with the intensified high volatility of Bitcoin prices, the Bitcoin futures market has seen a significant increase in trading enthusiasm. Trading volume has risen for seven consecutive weeks, increasing by more than 33% in the past week to nearly 241.5 billion US dollars. Among them, the total trading volume of the top ten trading platforms on November 26 reached more than 63.3 billion U.S. dollars, a historical record in the statistical range. In addition, the weekly volume of OKEx and Huobi both increased by about 40% month-on-month, and Binance increased by nearly 30%.
Daily trading volume of Bitcoin futures contracts, source: Skew
Ethereum once soared to US$620 in the past week, and then fell back to around US$500. The trading volume in the week increased by nearly 150% to US$103.4 billion. Among them, the trading volume on November 26 reached more than 22.5 billion US dollars.
Ethereum futures contract daily trading volume, source: Skew
Open positions
With the fall of Bitcoin’s high on November 26, the open position that day decreased by nearly 16% to US$6.044 billion, a decrease of nearly 6% from a week ago, breaking the record for seven consecutive weeks of rising. However, the position value is still at a historically high level.
Open positions in Bitcoin futures contracts, source: Skew
As of November 26, the open position of Ethereum was US$1.4 billion, a slight drop of 3% from the previous week.
Open positions in Ethereum futures, source: Skew
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 trading volume of Bitcoin options in the past week was US$4.275 billion, an increase of 17.82% from the previous month.
Bitcoin options daily trading volume, source: Skew
Ethereum’s weekly transaction volume also increased by more than 147% from the previous month to 671 million US dollars. Among them, the transaction volume of Deribit and OKEx increased by 151.20% and 115.34% respectively, and the proportion of Deribit’s transaction volume has always remained above 90%.
Ethereum options daily trading volume, source: Skew
Open positions
Bitcoin options positions rose to around US$5 billion on November 25, continuing to brush historical records. As of November 26, it fell slightly to US$4.762 billion, an increase of more than 6% from a week ago.
Open positions in Bitcoin options, source: Skew
Consistent with the performance of trading volume, Ethereum option holdings increased by nearly 30% from a week ago, reaching $829 million as of November 26. Although it has fallen from the historical record on November 24, it still remains at its peak level.
Open positions in Ethereum options, source: Skew
Volatility
With the increase in Bitcoin’s high volatility, the one-month realized volatility rate of Bitcoin has risen from around 38% in early November to the current nearly 69%. At the same time, the implied volatility of one-month at-the-money options (ATM) rose from 57.9% to the current 71.3%.
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 has also increased from 45% at the end of October to the current 84%. The one-month at-the-money option implied volatility has now fallen to 87% after it rose to 114% on November 23.
From left to right are the one-month realized volatility of Ethereum and the one-month ATM implied volatility of Bitcoin
For option traders, market volatility is very important, but please note that the so-called option volatility actually has nothing to do with the price of the option, but reflects the price change 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, 77,800 Bitcoin option contracts will expire, with a nominal value of more than $1.323 billion.
Bitcoin option expiration, source: Skew
In terms of Ethereum options, 307,600 contracts will expire today, with a nominal value of approximately US$154 million. 627,100 contracts will expire on December 25.
Ethereum option expiration status, source: Skew
