Crypto Derivatives Weekly Report | What are the changes in position data before and after the quarterly delivery date?

0

 778 total views

In the past week, there was a net inflow of Bitcoin in the wallets of derivatives exchanges, and a net outflow of over 360,000 in Ethereum. Although the position of Ethereum options set a historical record before the quarterly delivery date, it dropped by 40% after the delivery date. Bitcoin futures positions have not decreased but increased, continuing to brush historical records.

Written by: Karen

Weekly market dynamics

  • Binance contracts will soon list BTC, ETH, BNB, ADA, LINK, BCH, XRP, DOT, LTC, the 0625 currency-based delivery contract for the second quarter.
  • Ethereum options are listed on Bit.com.
  • Huobi launches USDT standard perpetual contracts of ZIL, BAND, ONT, SNX, AVAX and GRT.
  • OKEx launches NEAR margin trading, Yubibao and NEARUSDT perpetual contract.
  • Binance launches GRT perpetual contract.

Overview of Funding Trends in Derivatives Exchanges

In the past week (December 18 to December 24), the number of bitcoins flowing into the wallet of derivatives exchanges reached nearly 250,200, and the net inflow was 14,347. The number of Ethereum flowing into the wallet of the derivatives exchange was 1.426 million, the outflow was 1,788,700, and the net inflow was -362,800. It can be seen that the Bitcoin derivatives market is still attracting new funds to enter the market, while in the Ethereum derivatives market, there are funds that choose to leave the market and wait and see.
Net Bitcoin flow in the wallet of derivatives exchange, source: CryptoQuant

Crypto Derivatives Weekly |Ethereum net traffic in derivatives exchange wallet, source: CryptoQuant

Futures market

Overview of extreme market liquidation

Derivatives Weekly |BitMEX, Binance, Bybit, Huobi and OKEx five exchanges’ Bitcoin futures liquidation data statistics, source: Coin

Over the past week, Bitcoin has fluctuated at high levels. Within two hours starting at 4:30 on Monday morning, Bitcoin quickly fell back by $1,200 from its historical high of 24,300 U.S. dollars. During this period, Bitcoin liquidated a total of 84.79 million U.S. dollars. On the same day, Bitcoin liquidated 312 million U.S. dollars. 480 million US dollars. At around 19:30 on Wednesday, Bitcoin fell by nearly US$800 within half an hour. During this period, Bitcoin liquidated US$44.27 million, and the entire network liquidated US$110 million. On the same day, the entire network liquidated a total of US$335 million.

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.

After last week’s Bitcoin futures trading volume increased by more than 70%, it increased by nearly 20% in the past week, and the weekly trading volume reached 250.863 billion US dollars. It can be seen that the US release of stable currency regulatory guidelines and Ripple’s prosecution by the US Securities and Exchange Commission did not cause a significant negative impact on the cryptocurrency market.

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

Ethereum’s weekly trading volume also increased by nearly 15%, reaching 59.255 billion U.S. dollars. Among them, except for BitMEX, which decreased slightly by less than 1%, other exchanges increased by more than 9%.

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

Open positions

The open position of Bitcoin futures hit a record high again this Tuesday, reaching approximately US$8.6 billion. As of December 24, it was US$8.202 billion, which was unchanged from a week ago, with an increase of within 2%. But what is interesting is that the value of Bitcoin holdings after the quarterly delivery date on December 25 did not decline, but increased slightly, which means that investors are still relatively positive about the Bitcoin market outlook.

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

With the largest drop in the price of Ethereum in the past week reaching nearly 19%, and the lowest falling to around 550 US dollars, the value of Ethereum futures holdings has dropped significantly after setting a record high (2.2 billion US dollars) on December 19, as of December 24 It was US$1.6 billion, a decrease of nearly 20% from a week ago. Positions after the quarterly delivery date are $1.5 billion.

Crypto derivatives weekly report | ETH option holdings plummeted by 40% after quarterly deliveryOpen positions in Ethereum futures contracts, source: Skew

Funding rate

Funding rate is a cyclical fee transferred between long and short traders in a perpetual contract to keep the price of the perpetual contract close to the value of the underlying asset, aiming to balance supply and demand between longs and shorts. The fund rate is positive, which means that the long position is dominant and the long position pays to the short position. On the contrary, it means that the short position is more than the long position, and the short position is paid to the long position.

Although the fund rate of exchanges dropped slightly in the past week, in the medium and long term, the first half of the week was at a relatively high level, resulting in a positive weekly fund rate of all exchanges including Bitfinex. Among them, OKEx and Bybit And Deribit broke through 0.035%, Binance and FTX are also close to 0.03%.

Derivatives Weekly |Comparison of Bitcoin Perpetual Contract Funding Rates of Various Exchanges

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 includes Deribit, Huobi, OKEx and Bit.com (launched on December 21, 2020).

After the Bitcoin options trading volume increased by more than 80% last week, the growth rate in the past week has slowed down. The weekly trading volume reached 4.386 billion US dollars, an increase of 5.44% from the previous week.

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

Ethereum’s weekly trading volume also increased by nearly 7% to $467 million. It is worth noting that Deribit’s trading volume has stabilized at around 95%. At the same time, the trading volume of Bit.com, which newly launched Ethereum options on December 21, was US$12.8 million, exceeding the weekly total of OKEx and Huobi. Trading volume.

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

Open positions

The open position of Bitcoin options continued to increase and hit a record high, reaching $6.755 billion as of December 24, an increase of 2.78% from a week ago. However, after the quarterly delivery date, the data on Bitcoin options holdings has not been updated.

Crypto Derivatives Weekly |

The Ethereum option holdings also hit a record high on the day before the quarterly delivery date, reaching $1.072 billion, but after the quarterly delivery day they decreased by 40% to $636.3 million. Investors need to observe the rebound in the value of option holdings in the last few weeks.

Crypto derivatives weekly report | ETH option holdings plummeted by 40% after quarterly delivery

Ratio of open interest PCR

Put/Call 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.

In the medium and long term, since August, the ratio of Bitcoin’s open interest PCR has always fluctuated between 0.6 and 0.8, which means that in 2020, after Bitcoin broke through $12,000 in August, many parties have maintained their advantage. , But it has been stuck.

Crypto Derivatives Weekly |Bitcoin option open interest PCR ratio

Volatility

The one-month realized volatility of Bitcoin and Ethereum continues to be at a high level. As of December 25, they were 75% and 91%, respectively, and the implied volatility of one-month at-the-money options was 76.9% and 86%.

Crypto Derivatives Weekly Report | After the quarterly delivery date, BTC futures holdings continue to increase, while ETH options holdings plummet by 40%From left to right are the realized volatility of Bitcoin one month and the implied volatility of Bitcoin one month ATM

Crypto Derivatives Weekly Report | After the quarterly delivery date, BTC futures holdings continue to increase, while ETH options holdings plummet by 40%From left to right are the one-month realized volatility of Ethereum and the one-month ATM implied volatility of Bitcoin