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The liquidation data can intuitively show that the contract position is liquidated when the market fluctuates rapidly. Although the size of this data is theoretically simple and positively correlated with the magnitude of the price fluctuations in the corresponding period, there are still some data in this data. The details deserve attention.
First, a very extreme concentration of a large number of positions and liquidation often means that under the premise of high market participation enthusiasm, prices have experienced reverse fluctuations that are contrary to the “mainstream view”. In this case, we need to be alert to the possibility of unilateral market trend reversal. Sex. And if the currency price fluctuates sharply in a short period of time, but the liquidation value is relatively limited, this situation generally occurs in the middle and late stages of a bear market with extremely low market participation, and this situation may also be an aid to confirm the bottom. Reference.
However, this kind of result needs to be judged against the historical performance, and can not be judged by using the liquidation value after a certain big rise/fall. Therefore, in the future, we will try to keep track of the liquidation data.
Regardless of whether it is futures or options, the position value directly reflects the willingness to participate in the market. However, considering that the long and short two-way data will not be strictly distinguished when the total position is counted, it is not possible to simply make “too large” through the growth of the position. Judgment. Generally speaking, the activeness of the derivatives market in the bull market stage when the currency price is better will indeed increase, but as the number of mature participants in the market gradually increases, as long as the market maintains sufficient volatility, the total open interest will be ” It is reasonable to maintain the momentum of benign growth, and if the market goes down and then drops sharply, it should still be understood that the market is still immature.
Trading volume is a data that can more intuitively reflect market enthusiasm. Compared with position data, this data is more “simple and rude”. However, large-scale centralized liquidation of the market will often lead to a peak in trading volume, so from a short-term perspective From a perspective, the reference value of transaction volume data is limited. However, from a mid-to-long-term perspective, trading volume is also a key indicator of overheating or extreme downturn in the market. The average volume of daily and even weekly trading levels compared to long-term historical performance can intuitively reflect what stage the market is in. .
Futures contract basis
Basis is the difference between the spot price and the futures price at a specific point in time. If the spot price is lower than the futures price, the basis is negative; if the spot price is higher than the futures price, the basis is positive.
Under normal circumstances, the basis will be negative, that is, the spot price will generally be lower than the futures price, and this situation is also called a positive market. This “premium” of futures prices is mainly due to the “time cost” of unexpired contracts. Conversely, if the basis is positive, it is called a reverse market. In this case, it means that the market’s expectation of the near-term price is higher than the forward price. Generally speaking, the absolute value of the basis of the quarterly contract is larger, and the price of the perpetual contract is more synchronized with the spot due to its non-delivery feature.
The quarterly contract basis value is a point worthy of attention for the crossing of the 0-axis, which means that most market participants’ judgments on short-term and long-term relative prices have changed. In other words, it can also be understood as a trend The judgment has changed, which may be a sign of a trend reversal. In addition, the rare maximum value of the absolute value of the basis in a long period may also be a signal of a short-term inflection point.
Although the existence of basis spreads gives market participants theoretical arbitrage opportunities, considering that the current transaction fees of derivatives exchanges are not low, coupled with the time wear and tear in the manual transaction process, without extreme basis spreads , The feasibility of manual arbitrage (such as buying spot in the positive market while shorting futures) is not very feasible.
(Realized) Volatility and Implied Volatility
The so-called realized volatility is the price fluctuation performance of the asset in the past period of time, so the realized volatility depends entirely on the historical price fluctuation of the underlying asset.
The implied volatility is calculated by bringing part of the option data back into the BS formula, which is an indicator that reflects the expectation of asset price fluctuations in the future. In other words, a factor in the implied volatility is the known information of the existing options, which is not calculated by using the data of the underlying asset, and can and can only reflect the future volatility level of the market participants for the underlying asset The general expectation.
Although implied volatility is forward-looking, it is mainly aimed at “volatility” expectations, so it cannot directly guide transactions, and there is no long-short unilateral tendency. However, in unilateral market, if the implied volatility changes by a large margin, it should be regarded as an early warning signal of the change.
In addition, it is worth adding that although the volatility value does not have much regularity to speak of, the data has a very strong deviation from the expected return. Once there is an extreme rise and fall and it is out of the mid-to-long-term main movement range, it tends to be quickly Carrying out index correction is also a potential reference method.
The put-to-call ratio in the options market is also called the PCR value. Common PCR values include trading volume PCR and open interest PCR, which represent the ratio of the volume (or open interest) of a corresponding put option contract to a call option contract, and are generally used to predict market sentiment and the trend of the underlying asset.
If the PCR value climbs to an extreme high, it indicates that the market is oversold, which is actually a bullish signal; on the other hand, if the value is extremely low, it is a bearish warning signal, indicating that the market may be overbought. State, bearish on the outlook.
For the two PCR indicators of volume and open interest, volume PCR only considers the number of options traded in a certain period of time, which has high timeliness and can quickly reflect changes in market sentiment and style, and is more suitable for short-term forward-looking expectations. . The open interest PCR is calculated based on the total open interest at each point in time, and has high numerical stability, so it is more suitable for capturing long-term trend changes.
At present, most of the BTC/ETH option contract products provided by platforms are divided into several types: current week, next week, current quarter, and next quarter.
The current week contract refers to the contract that is delivered on the Friday closest to the current trading day. The next week is the contract that is delivered on the Friday next week of the current trading day. The delivery date of the quarterly contract is relatively complicated to understand.
The current quarter contract means that the delivery date is the last Friday of the nearest month in March, June, September, and December, and the delivery date of this contract does not coincide with the delivery date of the current week/next week contract that has not yet been delivered ; The second quarter contract refers to the last Friday of the month that is the second closest to the current in March, June, September, and December, and the delivery date of this contract is not the same as that of the current week / next week / current quarter contract that has not yet been delivered The delivery date coincides.
Regarding the so-called “delivery date does not coincide” above, you can give an example for easy understanding. Under normal circumstances, after settlement is completed every Friday, a new next week contract will be generated, and the previous next week contract will become the current week contract. However, after the settlement on the third-to-last Friday of March, there are only two weeks left for the current quarter contract to expire. This is actually a next-week contract, so the next-week contract will not be generated at this time, but a new one will be generated. At the same time, the original second quarter contract will become the current quarter contract, and the original current quarter contract will become the next week contract. But in fact, it is not a big problem to not understand. After all, the delivery date is confirmed when buying an option contract, and it will not change because of the above-mentioned changes.
Considering that the current share of the cryptocurrency options market is not large, and that the share of options that can be exercised only accounts for a part of the expiring contract, there are not many cases of extreme volatility in the market on the delivery day, but with the option market For further development, the quarterly contract delivery date should indeed be regarded as a potential risk point. Since the specific delivery time of option products provided by most centralized exchanges is at 16:00 Beijing time on the day of delivery, this time point also needs to be paid attention to.
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