U.S. Treasury yields continue to rise… Beware of increased market volatility


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Aim Rich Investment Strategy (2021.06.17)
<Figure 1-1=Market trend score as of 14:00 on the 17th (based on 100 points, left)/ Market ups and downs (right)/Data=Aimrich Institute of Financial Engineering and Technology>

◆Cryptocurrency market conditions <strong>

Bitcoin (BTC), the No. 1 cryptocurrency by market capitalization, failed to recover $40,000 in the aftermath of the US Federal Reserve (Fed) hinting at an early interest rate hike at the Federal Open Market Committee (FOMC). Although this has declined, most cryptocurrencies are rising as buying momentum has been strong since the opening on the same day. However, as the US Treasury bond yield, which surged the day before, remains at a high level, it is necessary to respond to short-term buying when it rises but to confirm whether the rebound trend continues.

As of 14:00 on the 17th, Bitcoin (BTC), the No. 1 cryptocurrency by coin market cap, is rising to $39,024.05, with a 24-hour trading volume of about $40.6 billion and a market cap of about $731.8 billion. The total cryptocurrency market capitalization is $1.62 trillion, with a share of 45.1% of the bitcoin market cap and 17.5% of the market cap of Ethereum.

As of this time, Ethereum (ETH) is rising more than 3.00%, Chainlink (LINK, +4.81%), Enjincoin (ENJ, +4.86%), Theta Token (THETA, +4.65%), Uniswap (UNI) , +4.20%), AAVE (+3.71%), and Binance Coin (BNB, +3.42%), most of the major altcoins in the top market capitalization are on the rise.

U.S. stocks last night fell unanimously on the prospect of an early 2023 interest rate hike from the Federal Open Market Committee (FOMC) amid inflation. The Dow Jones Industrial Average of the New York Stock Exchange on the 16th (local time) fell 265.66 points (0.77%) to 34,033.67, down 265.66 points (0.77%) from the battlefield, and the S&P 500 index fell 22.89 points (0.54%) to 4223.70. The Nasdaq index, which focuses on technology stocks, fell 33.17 points (0.24%) to close at 14,039.68, respectively.

On the other hand, according to the Weiss Crypto Index, it is analyzed that the market that started out strong is expanding its upward trend based on the continuous inflow of buying. As of 14:00, W50, a cryptocurrency market index including bitcoin, +2.56%, W50X, a cryptocurrency market index excluding bitcoin, +2.91%, WLC, an index centered on large stocks, +2.47%, index centered on medium stocks WMC, which is a +3.15% small stock index, WSC, recorded +3.03%.

<Figure 1-3= Longs/Shorts cumulative trading volume ratio of major exchanges in the last 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 17th / Source = Aimrich Institute of Financial Engineering and Technology>

As of 14:00 on the 17th, the cumulative buy/sell volume ratio of major cryptocurrency exchanges in the past 24 hours was 51%:49%, indicating that the buying trend was strong, and the long/short ratio of each exchange as of 14:00 was analyzed to have a strong selling trend. . (See Table 1)

At the same time, on the cryptocurrency derivatives exchange BitMEX, the basis of Bitcoin futures is around -32.0 in backwardation, and the basis of Ethereum futures is around +0.60, maintaining contango. The price of Bitcoin futures on the Chicago Mercantile Exchange (CME) is rising. Futures June waters traded at $38,937.5, up $372.5 (+0.97%) from the previous day.

◆Main cryptocurrency price status <Neutral>

As of 14:00 on the 17th, the cryptocurrency price is rising as of Upbit. Domestic Bitcoin (BTC) price is trading at 45,523,000 won, up 0.50% from the previous day, and Ethereum (ETH) at 2.84 million won, up 1.39%. The prices of major stocks are as follows.

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

At the same time, in the global cryptocurrency market based on CoinMarketCap, all of the top 10 stocks by market cap are falling as of the last 24 hours. The international Bitcoin (BTC) price fell 2.43% from the same time the previous day to $39,024.05, and Ethereum (ETH) fell 3.29% to $2,439.31. 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 17th)/Image=Coin Market Cap>

Analysis of major media and market experts <Neutral>

Despite the market weakness, many market experts’ long-term outlook for the cryptocurrency market, including Bitcoin, was positive. However, in relation to the US interest rate hike, which is currently emerging as an issue in the market, risky assets such as cryptocurrency will decline in the short term due to inflation concerns. They are concerned that inflation will come under pressure and that inflation-induced inflation could act as a catalyst for tapering implementation.

(Positive comments)

① According to Sentiment, a cryptocurrency market analysis company, addresses with 1 to 10,000 BTC have accumulated (accumulated) 90,000 BTC over the past 25 days. “These addresses hold a total of 9.11 million BTC,” Sentiment tweeted on the 16th. “This is the highest in seven weeks since April 23, and accounts for 48.7% of the total Bitcoin volume.”

② Venture investor Tim Draper predicts that the price of Bitcoin will rise to $250,000 by the end of 2022 or early 2023. “It will turn out that I am right on this matter,” he said. “The outlook may be correct or it may be completely wrong. However, I am convinced that Bitcoin is heading in this direction.” “Give Bitcoin a year and a half, retailers will adopt open nodes, and everyone will accept Bitcoin as a payment method,” he said.

③ Cryptoquant, a cryptocurrency analysis company, said, “After the recent correction, the fear of Bitcoin investors is gradually improving.” “The funding ratio is neutral, and open interest and leveraged transactions are increasing.”

④ Data company IntoTheBlock also recently tweeted, “This year, the number of addresses holding Bitcoin for more than one year has increased by 3.9%. (58.52%)” he said.

⑤ Crypto analyst PlanB tweeted, “Both S2FX (Stock-to-Flow Cross-Asset, in-house developed Bitcoin price prediction model) and on-chain signal points are bull market (bully market) second run. pointing,” he said. Earlier, he said that the conventional view that the price of Bitcoin will break through $288,000 within three years is still valid.

⑥Cryptocurrency analyst Tyler Swope said, “Ahead of that, BlackRock Chief Investment Officer Rick Rieder recognized that BlackRock had continued to tinker with Bitcoin, and that Bitcoin was a part of its portfolio. and acceptance has improved,” he said. “The fact that BlackRock executives such as Brian Deeds and Wally Adeyemo hold key positions in the Biden administration and exert influence over economic policy could also be a boon to the cryptocurrency industry,” he said. “BlackRock also owns a partial stake in Marathon Digital Holdings, the largest Bitcoin miner in the United States. People may not know that BlackRock is infiltrating the cryptocurrency industry,” he said.

⑦ Tegan Kline, co-founder of Edge & Node, a blockchain software company, said, “Institutional demand for Ethereum and dominance (share of market capitalization) are increasing, such as ‘King Coin’ (Bitcoin). ), it is performing quite well.” He predicted that “Ethereum, which is relatively superior in terms of innovation and developer interest, etc., will surpass Bitcoin at some point.”

⑧ Jensen Huang, the CEO of Nvidia, the world’s No. 1 graphic processing unit (CPU) producer, said Jensen Huang, the CEO of Nvidia, the world’s number one graphic processing unit (CPU) manufacturer. Huang) “It has now been proven that Ethereum will be quite valuable. There is a future where the processing of transactions can be much faster, and Ethereum will be valuable because there are so many people built on it,” he predicted.

⑨Cryptocurrency media NewsBTC analyst Aayush Jindal said, “Ethereum did not cross $2,650 and started a downward correction. However, the ETH/USD pair maintained above $2,500 and crossed the $2,600 resistance level. There is a possibility of resuming a new rally in writing.”

⑩ Global cryptocurrency derivatives exchange Wisebitcoin Research Center analyst Shadi said, “ETHUSDT perpetual futures could drop to $2,250 to test the support level. Currently, it is trading above the strong support level of $2,300 and a bullish perspective prevails. The long (buy) target is $2,800. Conversely, if the $2,300 level breaks down, it could drop to $2,200 or $2,100.”

(Negative Opinion)

① Steve Hanke, a professor at Johns Hopkins University in the United States, who won the Nobel Prize in Economics, warned that “Bitcoin could completely disrupt El Salvador’s economy.” “Bitcoin ‘Hodlers’ (HODLers) in regions such as Russia and China can target El Salvador and monetize their holdings, which could deplete El Salvador’s dollar reserves,” he explained. He also questioned how Bitcoin could function as a fiat currency in everyday transactions. He also argued that there must be some dark forces behind it that are trying to get their hands on the dollar using Bitcoin.

Comprehensive analysis of bitcoin price <bearish>

The daily price of Bitcoin (see Figure 5-1), which did not have many investors buying despite successive good news, seems to have turned downward due to the impact of the US FOMC’s early interest rate hike remarks the day before. Technically, it started between the 5-day and 10-day moving averages and then rebounded to the 5-day moving average as a low-priced buying trend came in. However, further rises seem difficult, as can be seen from the indicator at the bottom of the chart, miners are continuing to sell. .

<Figure 5-1=BTC/USDT (Binance) Daily Price (as of 14:00 on the 17th)/Chart=Trading View>

In addition, the US dollar index and the US 10-year Treasury bond yield (refer to Figure 5-2), which surged when the interest rate hike was announced yesterday, are still at their highs, so the selling trend is expected to strengthen over time. The potential weakness in the market can also be seen in the Bitcoin and Ethereum options markets on the same day (see Analysis of the Share of Open Bitcoin Options Open on the Day, page 15).

<Figure 5-2= US Dollar Index 5-Minute Market Price (Left) / US 10-Year Treasury Bond Yield Trend (Daily) (As of 14:00 on the 17th) / Source = Trading View, Ycharts>

On the other hand, 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 prices for Bitcoin and Ethereum options are predicted to be $39,000 and $2,500, respectively. analyzed to be somewhat higher. However, since the price has already been reached, the expiration price may vary more than expected because the entities holding the position have sufficient time to change their positions. This is because it is reasonable to use the mobilized funds to pursue the maximum profit within a set time. If you look at the option premium situation as of 14:00, all put options below equal strike price in Bitcoin are turning bullish, and in Ethereum, put options are already strong overall and the market is expected to decline by the closing time. It is time to manage returns by realizing early returns on stocks. (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 17th 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 $38,997. The current bitcoin price is above the market price of the day and $38,997, and it is possible to buy when the market price rises. see. The liquidation time for purchases is 1) when the $38,997 breakout occurs and 2) when the market price on the same day breaks. However, once the market recovers the liquidation conditions and most stocks are confirmed to rise, they may try to buy again. A more detailed analysis based on market data can be found in ‘7. Please refer to the ‘Quantitative Analysis’ section.

◆Technical Analysis <Neutral>

As of 14:00 on the 17th, technical analysis of the daily price movement of Bitcoin on Upbit, a domestic cryptocurrency exchange and Binance, an overseas exchange, was found to be ‘neutral’. Looking at the detailed evaluation items, 4 ‘buy’, 3 ‘sell’, and 1 ‘sell’ opinions out of the oscillator indicators in Upbit resulted in a ‘buy’ opinion, and the moving average indicator showed 5 ‘buy’ and 7 opinions. It was summarized as a ‘sell’ opinion as a ‘sell’ suggestion.

<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, 4 ‘buy’, 2 ‘sell’, and 2 ‘neutral’ oscillator indicators are sending a ‘buy’ signal, while the moving average indicator has 4 ‘buy’ signals. , ‘sell’ was summarized as ‘sell’ with 8 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 7 points from the previous day (26) to 33, 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 weighting (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 17) <weakness>

The 10-year Treasury yield rose to 1.594%, the highest since the 4th, and the dollar index, which shows the value of the dollar against major currencies, rose 0.63% to 91.103, due to the impact of the US FOMC’s remarks on interest rate hike the day before. , the Bitcoin price fell all at once. Oil prices rose slightly on the news of the US FOMC meeting and the news that crude inventories declined for the fourth week in a row. On the New York Mercantile Exchange on the 16th (local time), the price of West Texas Intermediate (WTI) for July water closed at $72.15 per barrel, up 3 cents (0.04%) from the battlefield, and the highest since October 2018.

As of 14:00 on the 17th, the U.S. CME Bitcoin futures yield compared to the beginning of the year was 22.23%, down 3.63% from last Tuesday, while Gold futures and the S&P 500 also fell by 0.23% and 0.85%, respectively, but the Dollar Index and Oil futures were 1.00, respectively. %, and increased by 2.66%. 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/Data= Chicago Mercantile Exchange, USA>
<Figure 8= Year-over-year return trend by asset category/Data = Trading View>

◇Comparison of returns by cryptocurrency (%) compared to the beginning of the year (as of 14:00 on June 17) <weakness>

The price of most cryptocurrencies, including Bitcoin, continues to fall. There has been no change in its ranking in the top 10 by market cap since last Tuesday. As of 14:00 on the 17th, compared to the beginning of the year, Dogecoin (DOGE) ranked first with 5,395%, Binance Coin (BNB) came in second with 832.65%, Cardano (ADA) came in third with 763.78%, and Uniswap ( UNI) ranked fourth with 372.05%, and Ripple (XRP) ranked fifth with 259.20%.

<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 <bearish>

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 still not strong. In addition, when looking at indicators 3 and 4, the market price is falling due to the higher net selling volume on the day, and both stocks are facing downwards in a state where price volatility is not large, so the market price on the day is expected to decrease gradually.

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

As the price of bitcoin and ethereum fell and the kimchi premium rose, the gap between the two stocks reached a level that was very close to the kimchi premium. This is attributed to the fact that, despite the recent good news, the buying force did not flow properly. You don’t have to worry about the market going down ahead of time, but it’s not a bull market, so both stocks should periodically check for crosses to prepare for a decline.

<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 <Neutral>

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 analyzed that while the prices of Bitcoin and Ethereum are falling, the balances of the two stocks on major exchanges are not decreasing, but not increasing. Therefore, it seems necessary to periodically check that the balances of these stocks do not increase again.

<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 balance held by major exchanges/Data=Cryptoquant>

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

As a result of analyzing the percentage of open interest aggregated from all Bitcoin options issued by major cryptocurrency exchanges (Derrybit, OKEx, Bit.com) (refer to Figure 13-1), the number of contracts fell by 9.95% at 10:00 The position weight decreased slightly to 5.35% at 14:00, but on a premium basis, 8.72% (up): (buy put option) at 10 o’clock (long call option): 6.72% (downward) at 14:00 (long call option) 7.06% (up): (Buy put options) There was no significant change at 6.78% (down), so option market participants were analyzed to expect a weakening of the bitcoin price on the day.

<Figure 13-1= Analysis data of open interest in Bitcoin options of major exchanges as of 10:00 (top) and 14:00 (bottom) on the 17th/Data=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 bearish positions that was 14.16% at 10:00 There was no significant change to 13.20% at 14:00, but on a premium basis, 7.55% (down) at 10:00 (sell call option): (sell put option) 0.66% (down) at 14:00 (sell call) 14.49% (Down): (Buy put options) 1.93% (down), which led to a lot of call option selling, and the market was expected to continue to descend until the settlement time (17:00).

<Figure 13-2= Analysis data of open interest in Bitcoin options of Deribit Exchange as of 10:00 (top) and 14:00 (bottom) on the 17th/Data=Aimrich Institute of Financial Engineering and Technology>

◆Main Bitcoin futures status (as of 14:00 on 17th)

◆Deribit Bitcoin option status (as of 14:00 on the 17th)

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