The volatility dropped sharply before the quarterly delivery, and the short-term biggest risk is about to be lifted? | Crypto Derivatives Weekly

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Bitcoin futures trading volume turned down, and Ethereum trading volume and open positions continued to fall. Both Bitcoin and Ethereum’s one-month realized volatility and the implied volatility of value options fell sharply. As of March 25, among the open positions of options, the open positions in Bitcoin with an exercise price of US$44,000 and open positions with an exercise price of approximately US$1,600 were the most.

Written by: Karen

Weekly market dynamics

  1. Today (March 26) is the quarterly delivery date, and nearly $6.3 billion worth of Bitcoin options and $1.1 billion worth of Ethereum options expire.
  2. The Chicago Board Options Exchange (CBOE) may once again offer Bitcoin futures contracts.

Futures market

Overview of extreme market liquidation

Within an hour starting at 6 o’clock on Thursday this week, Bitcoin plummeted by more than $2,000. During this period, the entire network broke out of $870 million, and the number of people who broke out exceeded 110,000. Among them, Bitcoin broke out of $300 million; around 20 o’clock, Bitcoin once again plummeted to nearly 50,000 U.S. dollars. Within one hour, the entire network broke out of 280 million U.S. dollars, of which Bitcoin broke out of 220 million U.S. dollars. A total of over 1.9 billion U.S. dollars in liquidation on the entire network that day.

Futures liquidation statistics on BitMEX, Binance, Bybit, Huobi, MXC, OKEx, source: Coin

Trading volume and open positions

The statistical scope of Bitcoin futures includes BitMEX, Binance, Bitfinex, Bakkt, Bybit, CME, Deribit, FTX, Huobi and OKEx. The scope of Ethereum futures statistics includes BitMEX, Binance, Bitfinex, Bybit, CME (launched on February 7), Deribit, FTX, Huobi and OKEx.

For example, the bearish sentiment revealed in the market in last week’s weekly report. In the past week (March 19-25), the price of Bitcoin once fell by nearly 50,000 U.S. dollars, and the weekly futures volume fell by nearly 13% from the previous month to about 487.8 billion U.S. dollars. The value dropped by nearly 8%.

| Crypto Derivatives WeeklyBitcoin futures contract trading volume, source: Skew

| Crypto Derivatives WeeklyBitcoin futures open positions, source: Skew

The trading volume of Ethereum also dropped sharply in a week, dropping by nearly 25% month-on-month, and holding positions decreased by nearly 13% month-on-month. It is worth noting that the trading volume of Ethereum futures on CME increased by 50% from the previous week to 438 million U.S. dollars. As of yesterday, the position value was approximately 5.1 billion U.S. dollars, down more than 20% from the previous week.

| Crypto Derivatives WeeklyEthereum option contract trading volume, source: Skew

| Crypto Derivatives WeeklyOpen positions in Ethereum options, source: Skew

As the prices of Bitcoin and Ethereum have fallen by nearly 15% and 20% respectively from their historical highs, transactions have also shrunk. Although open positions are still at a relatively high level, they have shown signs of weakening in the short term. In the next one to two weeks, investors can pay attention to the rebound in trading volume and whether the open positions return to strength or remain stable.

Option market

Trading volume and open positions

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

In contrast, the weekly option volume of Bitcoin increased by more than 13% month-on-month, reaching nearly $8.6 billion. The open positions did not change much from last week, and the position of Ethereum options increased by nearly 10% month-on-month.

| Crypto Derivatives WeeklyBitcoin options contract trading volume, source: Skew

| Crypto Derivatives WeeklyOpen positions in Bitcoin options, source: Skew

| Crypto Derivatives WeeklyOpen positions in Ethereum options, source: Skew

Volatility

From a six-month period, the realized volatility and implied volatility of Bitcoin and Ethereum both fell sharply from their peaks in January and February this year. Among them, the realized volatility of Bitcoin has fallen from 114% in early February. The implied volatility of one-month at-the-money options dropped from 143% in mid-January to about 70% at present; the realized volatility of Ethereum and the implied volatility of the flat-value options dropped to 90%. about.

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

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

Ratio of open interest PCR

Currently, the ratio of Bitcoin holdings PCR remains above 0.9, showing the degree of stalemate between the long and the short. The 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.

| Crypto Derivatives WeeklyRatio of Bitcoin options open interest and trading volume PCR

Option exercise

As of March 25, among the open positions of bitcoin options, the open positions with an exercise price of US$44,000 were the most, reaching 21,400 bitcoins. Among Ethereum, open positions with an exercise price of about $1,600 are the largest, reaching 95,200 Ethereum.

| Crypto Derivatives WeeklyBitcoin option exercise

| Crypto Derivatives WeeklyEthereum option exercise

Option expiration

Today, nearly $6.3 billion worth of Bitcoin options and $1.1 billion worth of Ethereum options expire.

| Crypto Derivatives WeeklyBitcoin option expiration, source: Skew

| Crypto Derivatives WeeklyEthereum option expiration status, source: Skew

Disclaimer: As a blockchain information platform, the articles published on this site only represent the author’s personal views, and have nothing to do with the position of ChainNews. The information, opinions, etc. in the article are for reference only, and are not intended as or regarded as actual investment advice.

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