Key points:
- Despite the sharp decline in market trading enthusiasm, the interest in futures positions in Bitcoin and Ethereum showed no signs of abating after the sharp drop in mid-May.
- Both the realized volatility and the ATM implied volatility have fallen, showing that the market’s worries have been eased to some extent.
- The ratio of Bitcoin and Ethereum’s option holdings PCR both dropped from around 0.85 a month ago to around 0.7, indicating that multiple parties have a clear advantage.
- The open positions of options in Bitcoin and Ethereum fell by 60% and 45%, respectively, from historical highs.
- On June 25 (the last Friday of the second quarter) 72,200 BTC will expire, and over 630,000 ETH will expire. US$100,000 is the largest call option holding price of Bitcoin, and US$5,000 is the largest call option holding of Ethereum. Price.
Written by: Karen
Futures market
Overview of extreme market liquidation
In the past week (May 31 to June 6), the volatility of Bitcoin and Ethereum both narrowed, mainly fluctuating between 34,000 and 40,000. Within half an hour from 9 a.m. on June 6, Bitcoin fell by more than US$1100 in a short-term, and the entire network was liquidated by US$86.85 million. A total of about US$700 million was liquidated on 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 statistical scope of Ethereum futures includes BitMEX, Binance, Bitfinex, Bybit, CME, Deribit, FTX, Huobi and OKEx.
The trading popularity of Bitcoin and Ethereum has dropped to a greater extent than the week when the market plunged in mid-May, returning to the previous level. In the past half month, the futures trading volume of Bitcoin and Ethereum both declined to a large extent, with an average decrease of over 45% in the previous week, and a decrease of nearly 24% and 20% respectively in the past week.
However, it is worth noting that after the open positions of Bitcoin and Ethereum decreased by more than 30% on May 19, there was no significant decline. The value of Bitcoin holdings has always remained at around 11 billion U.S. dollars, and Ethereum has remained at around 11 billion U.S. dollars. At around US$6 billion, interest in futures positions has not shown signs of abating after the sharp drop.
Bitcoin futures open positions, 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 popularity of options trading in Bitcoin and Ethereum also dropped to a greater extent, with a decrease of 24% and 50% respectively from the previous month.
In terms of open positions, Bitcoin open positions fell all the way after hitting a record high in mid-April, with a decline of 60%, and once dropped to a new year-end low, reaching 5.8 billion US dollars as of yesterday. But relatively speaking, although Ethereum has fallen 45% from its historical high, it is still at a relatively high level around mid-April.
Open positions in Bitcoin options, source: Skew
Open positions in Ethereum options, source: Skew
Volatility
Bitcoin’s one-month realized volatility has been above 110% after it rose to 120% in mid-to-late May. On the 10th, the volatility dropped from 150% at the end of May to around 80%, and the one-month implied volatility also increased from 120%. Fall back to around 90%. Similarly, the short-term volatility and implied volatility of Ethereum’s volatility have also declined to a certain extent, showing that the market’s worries have been eased to a certain extent.
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 and Ethereum’s open interest PCR both dropped from around 0.85 a month ago to below 0.7 and has gradually stabilized. This indicates that while the short side sentiment has been greatly released, many parties have regained the dominant position in the market.
Bitcoin holdings PCR ratio
Ethereum warehouse volume PCR ratio
Option exercise and expiration
Among the open positions of bitcoin options, the open positions with exercise prices of US$40,000 and US$50,000 are the largest, with 11,200 bitcoins and 10,800 bitcoins, respectively. The largest put option holdings are at the price of US$40,000 , The largest call option position is at a price of $100,000. In addition, 72,200 bitcoins will expire on June 25 (the last Friday of the second quarter), with a nominal value of over US$2.6 billion.
Bitcoin option exercise and expiration, source: Skew
In Ethereum, the largest number of open positions with an exercise price of $5,000, reaching over 70,000, is the largest call option holding price, and the second largest call option holding price is 3,200 US dollars. In addition, more than 630,000 Ethereum will expire on June 25, with a nominal value of nearly US$1.7 billion.
Exercise and expiration of Ethereum options, source: Skew
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