The market is now ‘rising’… Differentiating returns by stock

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Aim Rich Investment Strategy (2021.06.15)
<Figure 1-1=Market trend score as of 14:00 on the 15th (based on 100 points, left)/Market up/down intensity (right)/Data=Aimrich Institute of Financial Engineering and Technology>

◆Cryptocurrency market conditions <strong>

The cryptocurrency market is rising along with the rise in the Bitcoin price. Bitcoin has moved in the narrow range of $30,000 to $40,000 over the past month, but following Tesla CEO Elon Musk’s re-allowance of bitcoin trading on the 13th, hedge fund manager Paul Tudor’s positive remarks and MicroStrategy The cryptocurrency market is again leading to optimism, with news that up to $488 million of the $500 million in the proceeds from the bond sale on the 14th will be used to buy Bitcoin.

As of 14:00 on the 15th, Bitcoin (BTC), the No. 1 cryptocurrency by coin market cap, is rising to $40,511.90, with a 24-hour trading volume of about $46.8 billion and a market cap of about $758.9 billion. The total cryptocurrency market capitalization is $1.748 trillion, with a share of 43.4% in Bitcoin and 17.4% in Ethereum. As Bitcoin, which had risen a lot until the previous day, showed a slight correction, altcoins including Ethereum (ETH) are rising on the same day. As of this time, the main rising stocks are Chainlink (LINK, +4.24%), Enjincoin (ENJ, +1.84%), Bitcoin Cash (BCH, +2.14%), Litecoin (LTC, +1.80%), and Binance. Coins (BNB, +1.37%), etc.

The US stock market last night saw growth stocks as 10-year US Treasury yields remained stable as investors waited and waited ahead of the Federal Reserve’s June Federal Market Open Committee (FOMC) regular meeting to be held on the 15th-16th. supported the upward trend of On the New York Stock Exchange (NYSE) on the 14th (local time), the Dow Jones Industrial Average fell 0.25% from the previous trading day and the S&P 500 rose 0.18%. The Nasdaq index, which focuses on technology stocks, closed 0.74% higher than the previous record set on April 26 for the first time in a month and a half.

On the other hand, according to the Weiss Crypto Index, the market has been mixed since the opening, but in the afternoon, strong buying of mid-cap stocks inflows and the overall market is rising. As of 14:00, W50, the cryptocurrency market index including Bitcoin, was +0.95%, W50X, the cryptocurrency market index excluding Bitcoin, was +1.26%, WLC, an index centered on large stocks, was +0.91%, and index centered on medium stocks. WMC, which is +1.16%, WSC, a small stock index, recorded +0.59%.

<Figure 1-3= Longs/Shorts cumulative trading volume ratio of major exchanges in the past 24 hours/Data= Aimrich Institute of Financial Engineering and Technology>
<Table 1 = Longs/Shorts trading volume ratio of major exchanges as of 14:00 on the 15th / Source = Aimrich Institute of Financial Engineering and Technology>

As of 14:00 on the 15th, the cumulative buy/sell volume ratio of major cryptocurrency exchanges for the past 24 hours was 50%:50%, which was generally similar, and it was analyzed that the long/short ratio of each exchange as of 14:00 showed strong selling. (See Table 1)

At the same time, on the cryptocurrency derivatives exchange BitMEX, the basis of Bitcoin futures is around -7.0 in backwardation, and the basis of Ethereum futures is around +1.80, maintaining contango. The price of Bitcoin futures on the Chicago Mercantile Exchange (CME) is rising. Futures June waters traded at $40,397.5, up $687.5 (+1.73%) from the previous day.

◆Main cryptocurrency price status <strong>

As of 14:00 on the 15th, upbit, the cryptocurrency price is rising. The domestic Bitcoin (BTC) price is 46.5 million won, up 0.01% from the previous day, and Ethereum (ETH) is trading at 3,014,000 won, up 1.89%. The prices of major stocks are as follows.

<Figure 2-1= Price/Data of Upbit Major Stocks=Upbit>

At the same time, based on CoinMarketCap, the global cryptocurrency market, as of the last 24 hours, the top 10 stocks by market capitalization are all rising. The international Bitcoin (BTC) price rose 3.42% to $40,511.90 from the same time the previous day, and Ethereum (ETH) rose 5.56% to $2,616.93. Please refer to Figure 2-2 for the price of major stocks.

<Figure 2-2=Top 10 coin price (as of 14:00 on June 15)/Image=Coin Market Cap>

Analysis of major media and market experts <Neutral>

Bitcoin price predictions are mixed by market experts. With the recent improvement in Bitcoin’s short-term trend, positives believe that a successful breakout of the $40,000-$42,000 resistance area could lead to further upside towards $50,000, while maintaining support near the $34,000 midpoint of the recent short-term range. A clear break above the $42,000 mark could reverse the downward trend that started in May. On the other hand, uncertainty about Bitcoin as an asset still remains, weighing on the optimistic outlook. In fact, in a report published yesterday, Goldman Sachs also mentioned that “cryptocurrency is not a viable investment vehicle” and “does not recommend investment to customers.”

(Positive comments)

① American billionaire and hedge fund manager Paul Tudor-Jones expressed his view that Bitcoin is good for portfolio diversification. “I like it because it allows me to diversify my portfolio with bitcoin,” he said. “Bitcoin is enough for 5% of the portfolio.” He began to take a favorable stance on Bitcoin last year, saying that if Bitcoin could be the new gold, altcoins are closer to copper.

② CNBC CryptoTrader Show host Lan Neuner said on his Twitter account that “Bitcoin will reach $45,000 by Friday, otherwise we will delete this tweet.” Earlier on the 9th (local time), Lan Neuner stated that “Bitcoin will reach $40,000 by Monday, otherwise we will delete this tweet.”

③ Mike McGlon, a senior commodity strategist at Bloomberg Intelligence, a branch of Bloomberg, said, “The secret weapon for achieving $100,000 Bitcoin is a decrease in supply. Bitcoin supply is decreasing this year. If the past pattern is maintained, the Bitcoin price will rise. It is highly likely to happen,” he said.

④ In a recent report, Decentrader said, “On-chain data suggests that Bitcoin is preparing for a recovery as in December 2018 and March 2020. can be recorded.”

⑤ Planby, the first analyst to apply the ‘stock to flow’ (S2F) model to bitcoin, predicted that the bitcoin bull market would continue, saying, “Bitcoin is still heading towards $288,000.”

(Negative Opinion)

① Barry Silbert, founder of Digital Currency Group, said, “Cryptocurrency is 99% overvalued. The VIX index is an index that represents the market’s expectations for volatility. He said, “I chose to hedge against volatility because I didn’t know what kind of spark.” “I like food prices, oil prices, investor complacency, excessive speculation, lack of trust in the Federal Reserve, normalization of interest rates, meme stocks, cryptocurrencies, etc. ” explained.

Comprehensive analysis of bitcoin price <strong>

As a result of successive good news, the daily price of Bitcoin (see Figure 5-1) is rising. The buying trend for Bitcoin is clearly different from the previous upward trend of 50,000 to 60,000 dollars, but in terms of technical patterns, it is a section that rises beyond triangular convergence, so you have to respond with buying. For reference, the technical target is calculated to be about $43,087, and it seems that there will be differentiation in the rise of individual stocks in this section, so it is necessary to boldly discard those that do not rise and take only those that rise and recommend wisdom.

Positive factors are also observed in on-chain data. Exchange balances (refer to the on-chain indicator ‘Bitcoin Price and Korea Premium Index Trend Analysis’ on page 13) continue to decrease, and although slow, spot trading volume (refer to the on-chain indicator ‘Daily trading volume trend analysis’ on page 12) also It is positive for the price of Bitcoin and Ethereum.

<Figure 5-1=BTC/USDT (Binance) Daily Price (as of 14:00 on the 15th)/Chart=Trading View>

Today is the expiration date of daily options for Bitcoin and Ethereum on the DRBT exchange. As a result of simulations as of 14:00, the expected payment price for both options is predicted to be $38,000 and $2,500 in the morning, which is lower than the current price. level was analyzed. However, when analyzing the positions of option market participants, it seems that they are more optimistic about their positions on the day. Of course, it is expected that an attempt to close the position at the current price level rather than an additional rise will be stronger for the position part on the same day, which reflects the part regarding maturity settlement, so that a full-fledged upward movement is expected to start again after the expiration time of 17:00. Accordingly, the afternoon is expected to be a buying opportunity for individual stocks at the trough. (For details, see ‘Bitcoin options open interest weight analysis for the day’ on page 15)

<Figure 5-3=Derivit (DRBT) BTC Option Expected price of water settlement on June 15th simulation result (as of 14:00)/Source=Aimrich Institute of Financial Engineering and Technology>

Binance BTC/USDT’s daily significant price change calculated by our quant program is $40,103. Since the current bitcoin price is located between the market price of the day and $40,103, the conditions for buying on the day are 1) when the $40,103 support is confirmed 2) when the market price recovers on the day. However, even if you bought it, if you deviate from the purchase conditions, it is recommended to adjust the purchased quantity or sell and wait and see depending on the market conditions. A more detailed analysis based on market data can be found in ‘7. Please refer to the ‘Quantitative Analysis’ section.

◆Technical analysis <strong>

As of 14:00 on the 15th, the technical analysis of the daily price movement of Bitcoin at Upbit, a domestic cryptocurrency exchange and Binance, an overseas exchange, was found to be ‘buy’ and ‘neutral’, respectively. Looking at the detailed evaluation items, 6 ‘buy’, 1 ‘sell’, and 1 ‘sell’ opinions out of Upbit’s oscillator indicators resulted in a ‘active buy’ opinion, and the moving average indicator showed 6 ‘buy’ and ‘sell’ opinions. It was summarized as a ‘neutral’ opinion with 6 ‘sells’.

<Figure 6-1=Upbit BTC/KRW (daily) technical analysis summary table/source=Investing.com>

On the other hand, if you look at Binance’s detailed items, 5 ‘buy’, 1 ‘sell’, and 2 ‘neutral’ oscillator indicators are sending a ‘buy’ signal, while the moving average indicator has 6 ‘buy’ signals. , ‘sell’ was summarized as ‘neutral’ with 6 cases.

<Figure 6-2=Binance BTC/USDT (daily) Technical Analysis Summary Table/Source=Investing.com>

Quantitative analysis

◇Crypto Fear & Greed Index < bearish >

Cryptocurrency data provider Alternative’s self-estimated ‘fear and greed index’ rose 10 points from the previous day (28) to 38, indicating the same ‘fear’ stage as the day before. The index closer to 0 indicates extreme fear in the market, and closer to 100 indicates extreme optimism. The fear and greed index is based on volatility (25%), transaction volume (25%), SNS mentions (15%), surveys (15%), Bitcoin market cap share (10%), Google search volume (10%), etc. is calculated as

<Figure 7=Crypto Fear and Greed Index/Data=Alternative.Me>

◆Comparison of returns by asset (%) compared to the beginning of the year (as of 14:00 on June 15) <strong>

The yield on the 10-year U.S. Treasury bond fell to 1.43%, the lowest in the past three months, during the day, but rose to around 1.50% and closed at a low level, leading to an uptrend in the stock market and bitcoin price. As of 14:00 on the 15th, the U.S. CME Bitcoin futures yield compared to the beginning of the year was 25.86%, up 10.57% from last Tuesday. fell 1.52%.

The day before, the international oil price remained at the $70 level amid expectations of an improvement in demand. On the 14th (local time) on the New York Mercantile Exchange, the price of West Texas Intermediate (WTI) crude oil for July ended at $70.88 per barrel, down 3 cents (0.04%) from the battlefield. Oil prices have been strong in the early stages, as the global economic recovery trend is becoming clear and the demand for crude oil is expected to increase in the second half of the year. Oil prices closed weakly flat on take-for-profit listings ahead of the U.S. Federal Open Market Committee’s (FOMC) regular meeting scheduled for this week in the absence of any clear material. The detailed growth rate and return breakdown of the comparative asset class is as follows.

<Table 2= Current status of increase/decrease in returns by asset sector/Source= Chicago Mercantile Exchange, USA>
<Figure 8= Year-over-year rate of return by asset category/Data=Trading View>

◇Comparison of returns by cryptocurrency (%) compared to the beginning of the year (as of 14:00 on June 15) <weakness>

Although the price of Bitcoin is rising, most of the top 10 cryptocurrencies by market capitalization are trying to recover their prices, but they still have maintained a downward trend compared to last week. As of 14:00 on the 15th, compared to the beginning of the year, Dogecoin (DOGE) ranked first with 5,633.45%, Binance Coin (BNB) came in second with 879.06%, Cardano (ADA) came in third with 792.23%, and Uniswap ( UNI) ranked fourth with 410.46% and Ripple (XRP) ranked fifth with 270.60%.

<Figure 9= Ranking of the top 10 cryptocurrencies by market capitalization compared to the beginning of the year/Data=Trading View>

◇On-chain indicator analysis

① Analysis of the day’s trading volume <strong>

By analyzing the daily trading volume of on-chain data of BTC/USD and ETH/USD, it is easy to check the direction of the Bitcoin price and respond. Indices 1 and 3 in Figure 10 show the spot trading volumes of 10 major exchanges (Binance, Bitfinex, Poloniex, Bittrex, Coinbase, Bitstamp, Kraken, HitBTC, Gemini), numbers 2 and 4 The indicator shows the direction of the market trend by calculating the total buying and selling quantity in real time and displaying the price volatility according to the rise and fall.

<Figure 10= (Left) BTC on-chain trading volume indicator of major exchanges/(Right) ETH on-chain trading volume indicator of major exchanges/Data= Aimrich Institute of Financial Engineering and Technology>

Looking at indicator 1 (BTC spot trading volume) in Figure 10, the selling volume is decreasing and the buying volume of indicator 2 (ETH spot trading volume) is increasing, but the trend is not strong. In addition, when looking at indicators 3 and 4, they are showing strength due to the higher net selling volume on the day, but the price volatility of both stocks is not large, so it is expected to rise gradually.

②Bitcoin price and Korea premium index trend analysis <strong>

As the Bitcoin price continues to rise due to the continued good news, the Ethereum price is also turning upward, and the Kimchi premium index for both stocks is also falling. Bitcoin is not an interval enough to affect the price drop right away, and Ethereum also maintains a fairly distant level, so it is expected that the upward trend of the two stocks will continue.

<Figure 11-1=Bitcoin Price and Bitcoin Kimchi Premium Index Trend Comparison/Data=Cryptoquant>
<Figure 11-2=Ethereum price and Bitcoin Kimchi premium index trend comparison/Data=Cryptoquant>

③Bitcoin holding balance analysis of all exchanges <strong>

Figure 12 shows the trend of the Bitcoin balance held by all exchanges, and the smaller the balance, the more stable the Bitcoin price. It was found that the balances of both stocks on major exchanges continued to decrease. In particular, as Ethereum continues to fall below the low on May 18, a trend upward trend is expected.

<Figure 12-1=Comparison of Bitcoin (BTC) price and Bitcoin balance held at major exchanges/Data=Cryptoquant>
<Figure 12-2=Comparison of Ethereum (ETH) price and Ethereum balances held by major exchanges/Data=Cryptoquant>

◇ Analysis of the share of open interest in Bitcoin options on the day <strong>

As a result of analyzing the percentage of open interest aggregated from all Bitcoin options issued by major cryptocurrency exchanges (Derribit, OKEx, Bit.com) (see Figure 13-1), the number of contracts rose by 7.58% at 10:00 am The position weight increased to 11.09% at 14:00, and on a premium basis, at 10:00 (buy call option) 2.64% (rise): (sell put option) at 12.57% (rise) at 14:00 (long call option) 6.54 % (Rising): (Sell put options) increased by 11.40% (Up), which was analyzed to suggest that option market participants expected the Bitcoin price to continue rising on the day.

<Figure 13-1= Analysis data/data of open interest in Bitcoin options of major exchanges as of 10:00 (top) and 14:00 (bottom) on the 15th= Aimrich Institute of Financial Engineering and Technology>

In the same way, as a result of analyzing the percentage of open interest aggregated from bitcoin options that expire on the same day issued by the DRBT exchange (see Figure 13-2), the percentage of bullish positions that was 19.61% at 10:00 It decreased to 9.07% at 14:00, and on a premium basis, 10.81% (up) at 10:00 (buy call option): (buy put option) 1.41% (down) at 14:00 (buy call option) 6.71% (up) ): (sell put option) changed to 7.48% (up), and it was expected that the market would show a sideways movement in the locked section without further rising until the expiry settlement time (17:00).

<Figure 13-2= Analysis data/data of open interest in Bitcoin options of the Deribit Exchange as of 10 o’clock (up) and 14:00 (down) on the 15th = Aimrich Institute of Financial Engineering and Technology>

◆Main Bitcoin futures status (as of 14:00 on the 15th)

Deribit Bitcoin option status (as of 14:00 on the 15th)

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