Trading volume surges, and Bitcoin implied volatility hits a new high | Crypto Derivatives Weekly

Bitcoin’s weekly futures and options trading volume rebounded by 40% and 34%, respectively, and open interest fell by 33% and 38%, respectively, at a higher point. In contrast, the value of open positions in Ethereum derivatives has not dropped significantly. The implied volatility of Bitcoin’s three-month at-the-money option jumped to above 150% today, hitting a record high for a short time, and is currently falling slightly to around 120%.

Futures market

Overview of extreme market liquidation

Starting at 8 o’clock on May 13th, Bitcoin plunged over $5,000 to $45,500 within half an hour and then rebounded slightly. During this period, the entire network was liquidated by $1.83 billion, and a total of more than $3.8 billion was liquidated on the same day. Bitcoin liquidated 530 million U.S. dollars within one and a half hours starting at 11 o’clock this morning.

Futures liquidation data statistics of 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 statistical scope of Ethereum futures includes BitMEX, Binance, Bitfinex, Bybit, CME, Deribit, FTX, Huobi and OKEx.

In the past week (May 10-16), Bitcoin experienced a correction of over 20%, which caused the trading volume to rebound by nearly 40% from the previous month to USD 577 billion. On the other hand, due to the continuation of the downward trend, investors’ sentiment to lighten up their positions has spread. Open positions have fallen by more than 10% in the past week. 33%.

Bitcoin futures contract trading volume, source: Skew

Bitcoin futures open positions, source: Skew

In Ethereum, after reaching a historical high of 4370 US dollars in the past week, it pulled back nearly 800 US dollars, and the trading volume rebounded more than 32% in a week, setting a single-week record high. What is more surprising is that when the price fell by 17%, the open positions were still near the peak, and there was only a less than 5% correction compared to last week.

Ethereum futures contract trading volume, source: Skew

Open positions in Ethereum futures, source: Skew

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.

The weekly trading volume of Bitcoin options was approximately US$7.7 billion, an increase of over 34% from the previous month, and the open position decreased by nearly 20% from a week ago, reaching US$9.14 billion as of yesterday.

Bitcoin options contract trading volume, source: Skew

Open positions in Bitcoin options, source: Skew

In Ethereum, although the weekly trading volume decreased by nearly 19%, the single-week trading volume was still the second highest in history, and the decrease in open positions was no more than 2% compared with the previous week.

Ethereum option contract trading volume, source: Skew

Open positions in Ethereum options, source: Skew

In summary, the decline in prices has led to an increase in the popularity of Bitcoin futures and options trading, but the decline in higher positions has been between 33% and 38%. In contrast, the value of open positions in Ethereum derivatives has not dropped significantly, reflecting the great interest of investors in holding positions. However, due to the recent increase in volatility, investors need to continue to pay attention to transactions and holdings. To make reference to market trends.

Volatility

The realized volatility and implied volatility of Bitcoin and Ethereum both rebounded sharply. Among them, the one-month realized volatility of Bitcoin gradually rebounded from 55% in mid-April to the current nearly 90%. The implied volatility of at-the-money options jumped to above 150% today, hitting a record high in a short time, and is currently falling slightly to around 120%. Ethereum’s realized volatility and implied volatility both rose to around 120%.

From left to right are the realized volatility of Bitcoin one month and the implied volatility of Bitcoin one month ATM

From left to right are the one-month realized volatility of Ethereum and the one-month ATM implied volatility of Bitcoin

Ratio of open interest PCR

The ratio of Bitcoin holdings PCR has now returned to around 0.85 after falling to 0.8 last Thursday. It is worth noting that the ratio of Ethereum open interest PCR has now fallen to around 0.85 after reaching a high of 0.91 on May 3.

Ratio of Bitcoin open interest and trading volume PCR

The exercise and expiration of Ethereum options, source: Skew

Option exercise and expiration

Currently, among the open positions of Bitcoin options, the open positions with exercise prices of USD 50,000 and USD 40,000 are the most, with nearly 16,000 Bitcoins and 14,000 Bitcoins respectively. In addition, 48,000 bitcoins will expire on May 28.

Bitcoin option exercise and expiration, source: Skew

In Ethereum, the open positions with exercise prices of US$3,200 and US$5,000 are the largest, both exceeding 90,000 yuan. Nearly 320,000 ETH will expire on May 28, and over 550,000 ETH will expire on June 25.

The exercise and expiration of Ethereum options, source: Skew

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