Crypto Derivatives Weekly Report | BTC and ETH option holdings hit a record high, ETH trading popularity has dropped significantly

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Bitcoin and Ethereum option holdings both hit record highs. Futures positions rebounded by 15% and 23% respectively from a week ago. After the volume of Ethereum futures and options increased by nearly 150% last week, both fell by about 40% this week. .

Written by: Karen

Weekly market dynamics

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Futures market

Overview of extreme market liquidation

Within two hours starting at around 22 o’clock in the evening of this Monday (November 30), Bitcoin quickly pulled up by more than US$700 to a record high of US$19,800, and then quickly dropped by about US$600. During this period, nearly US$140 million was liquidated. Bitcoin liquidated a total of 240 million US dollars. Within two and a half hours starting at 7pm on Tuesday night, Bitcoin plunged by US$1800 to around US$18,000 after approaching US$19,900. During this period, it liquidated nearly US$190 million. On the same day, Bitcoin liquidated more than US$300 million.

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’s one-week futures trading volume broke the eight-week consecutive increase trend and decreased by more than 21% from the previous week to 190.614 billion US dollars. It is worth noting that while other trading platforms have dropped by about 20% from the previous month, CME’s trading volume has increased by more than 10%.

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

After the volume of Ethereum surged by nearly 150% last week, it fell by 42.6% from the previous week.

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

Open positions

Contrary to the volume performance, Bitcoin futures positions have increased by nearly 15% from a week ago to US$6.945 billion, which has basically rebounded to the level before the delivery last Friday, which is only one step away from the historical high of US$7.3 billion on November 24.

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

Ethereum holdings have also increased by nearly 23% from a week ago, reaching US$1.764 billion as of December 3.

Crypto Derivatives Weekly Report | BTC and ETH option holdings hit a record high, and ETH trading popularity has dropped significantlyOpen positions in Ethereum futures, source: Skew

From the futures data of Bitcoin and Ethereum, it can be seen that the current short-term competition between the long and the short is tending to ease, but the current market trend is biased.

Option market

Trading volume

The scope of Bitcoin options statistics includes Bakkt, Bit.com, CME, Deribit, Huobi, LedgerX and OKEx. The scope of Ethereum options statistics is Deribit, Huobi and OKEx.

The trading volume of Bitcoin options in the past week was US$4.157 billion, which is not much different from last week, only down 2.75%.

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

Similar to the performance of futures trading, the trading volume of Ethereum’s weekly options also rose by nearly 150% last week, and then dropped by nearly 35% to 437 million US dollars this week.

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

Open positions

The value of open positions in Bitcoin options has all recovered the ground lost last week and hit a record high. As of December 3, the value was 5.163 billion US dollars, an increase of 8.41% from a week ago.

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

Ethereum holdings also continued to hit a record high. As of December 3, the open position of Ethereum options was US$925 million, an increase of more than 11% from a week ago.

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

Volatility

Bitcoin’s one-month volatility has continued to rise, from about 38% in early November to the current 74%. At the same time, the implied one-month ATM volatility fell back to 71% after rising to 84% at the beginning of this month.

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 has also increased from 84% last week to the current 91%. The current one-month at-the-money option implied volatility is 86%.

Crypto Derivatives Weekly |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 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, you only need to buy when the volatility is high and sell when the volatility is low, and you can achieve better returns.

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Option expiration

Today, 41,200 Bitcoin option contracts will expire, with a nominal value of nearly $783 million.

Crypto Derivatives Weekly |Bitcoin option expiration, source: Skew

In terms of Ethereum options, 182,300 contracts will expire today, with a nominal value of approximately US$108 million. There will be 669,000 contracts expiring on December 25.

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