Data Reading: The Cryptocurrency Market After the 5·19 Plunge: Futures Spread Returns, Options Volatility Soars
From the options positions of Bitcoin and Ethereum, the market is more optimistic about Ethereum's rebound.This article is from ChainNews, author: Ian Wu, DFG Pre-Investment Head.
Abstract:
- Coinbase's recent trading volume has not reached new annual highs like Binance.
- The futures basis has accelerated its return, benefiting arbitrage.
- BTC bearish options are concentrated at the $40,000 and $50,000 strike prices, while ETH bullish options are concentrated at the $3,200 and $5,000 strike prices.
- The market may be more optimistic about ETH's rebound compared to BTC.
- Recently (within one month), there have been two instances of a surge in volatility; options sellers/market makers need to pay attention to IV risk avoidance and liquidity risk, and be wary of volatility clustering risks.
Recent BTC Spot Trading Volume Performance
- Binance BTC/USDT saw its largest annual trading volume on May 19, significantly exceeding January 11, with the average trading volume on the 14th reaching its annual peak.
- On May 19, Coinbase BTC/USD trading volume did not surpass that of January 11, while the trading volume on the 14th was close to the highest levels of January and February.
- Comparing the trading turnover rates of Coinbase and Binance, both reached their highest levels in a year. With Binance's main site currently not serving U.S. users, it may indicate that U.S. users are not as eager to bottom-fish and are more inclined to wait and see.
Recent BTC Quarterly Futures Annualized Basis
The annualized basis of BTC quarterly futures has narrowed from 25% to about 5% within one month. Recent market sentiment towards BTC has significantly declined. However, the accelerated return of the basis benefits arbitrage and improves the efficiency of capital recovery.
Recent BTC Options Volatility and Positioning
The peak implied volatility for standard expiration on May 19 and 23:
- 1-month and 30-day implied volatility both reached 153%.
- 3-month implied volatility was 157% and 130%, respectively.
- 6-month implied volatility was 149% and 122%, respectively.
BTC volatility has not quickly returned as it did on the 19th; implied volatility across various maturities has remained high, indicating that market concerns are significantly higher than on the 19th. Traders employing volatility regression strategies and market makers need to be cautious of market VEGA exposure and liquidity risks in quotes.
- The largest options open interest is around the $50,000 mark.
- Recent maximum bearish options open interest is at the $40,000 and $50,000 strike prices.
- The main open interest for out-of-the-money bullish options is at the $80,000 and $100,000 strike prices.
Currently, the distribution of BTC options open interest reflects the market's concerns about BTC's decline and the protective demand at the $40,000 price level. It is speculated that $40,000 and $50,000 may serve as resistance levels for Bitcoin's rebound, corresponding to the volume accumulation in the technical analysis shown in the chart below around the $40,000 and $50,000 levels.
Recent ETH Spot Trading Volume Performance
Overall, the situation is similar to that of BTC.
In the Binance ETH/USDT trading pair, the maximum trading volume on May 19 reached the largest single-day trading volume of January 11. The recent average trading volume on the 14th is very close to the highest average trading volume of January 11.
In the Coinbase ETH/USD trading pair, the trading volume on May 19 fell far short of the largest single-day trading volume of January 11. The recent average trading volume on the 14th also significantly lags behind the highest average trading volume of January 11.
Recent ETH Quarterly Futures Annualized Basis
In the past month, the ETH quarterly basis has gradually narrowed from 25% at the end of April.
However, the futures basis rate is slightly higher than that of BTC, indicating that the short-term market expectations for ETH's rebound may be higher than for BTC.
ETH Options Volatility and Positioning
The peak implied volatility for standard expiration on May 19 and 23:
- 1-month implied volatility was 197% and 198%, respectively.
- 3-month implied volatility was 189% and 171%, respectively.
- 6-month implied volatility was 162% and 159%, respectively.
Similarly, ETH volatility has not quickly returned as it did on the 19th; implied volatility across various maturities has remained high, indicating that market concerns are significantly higher than on the 19th. Traders employing volatility regression strategies and selling strategies need to pay particular attention to VEGA exposure and liquidity risks in the order book.
The largest open interest for bullish ETH options is at the $5,000 strike price. The second-largest open interest for bullish options and the second-largest options open interest are both at the $3,200 strike price. This indicates that the current market expects ETH's rebound to be around $3,000-$3,200, showing a more optimistic and bullish sentiment compared to BTC options open interest.
