TI Weekly Options Market : Cold
From the options market data last week, we find that:
- Bitcoin broke through $40,000, and market sentiment remains negative.
- The trading volume of options continued to fall, and the trading enthusiasm of investors declined very obviously.
- Ethereum flowed out of $12 million in a single week, and institutional investors began to diverge.
- The open interest of futures continued to decline, and investment in crypto assets gradually became rational.
Bitcoin
In the second week of June, Bitcoin successfully broke through $40,000 and drove other crypto assets to rise together. For the crypto asset market, which was constantly falling, the 10% increase was not small. After all, the last time Bitcoin was above $40,000, it was in mid-May. The transaction of Bitcoin options did not respond significantly to this rebound. Regardless of whether it was from contract or from premium, the activity in the Bitcoin options market was very general.
Bitcoin options premium turnover (left) and Bitcoin options contract turnover (right), as of 18:00 on June 15, data source: gvol.io
It is not surprising for this state of the options market. After the adjustment in May, the crypto asset derivatives market has shrunk significantly. According to data released by Glassnode, Bitcoin futures contracts have shrunk by more than 60% from their highs. More importantly, there is no rebound trend in the decay of open interest. It is an indisputable fact that the market is cooling off. Investors are reminded that the continued decline in futures positions is not a good thing for spot prices.
Bitcoin futures open interest, data source: Glassnode
In the implied volatility surface of Bitcoin in the short and medium term, investors are still pessimistic about the short-term market performance despite the substantial increase in spot prices, and the premium for put options still exists.
Changes in the mid-term and short-term implied volatility surface of Bitcoin options, as of 18:00 on June 15th, data source: gvol.io
In the forward implied volatility surface of Bitcoin, the positive structure is obviously showing the strong confidence of investors in the forward value of Bitcoin. At the same time, the premium of implied volatility of in-value options has disappeared, and investors' bets on forward volatility have been completed.
Bitcoin options forward implied volatility surface, as of 18:00 on June 14th, data source: gvol.io
From the Bitcoin term curve, it can be seen that the rise in spot prices has raised the short-term implied volatility, but on the whole, the implied volatility term curve still presents a premium. It should be reminded that the flat slope indicates that the curve is not stable.
The term structure of the implied volatility of Bitcoin options, as of 18:00 on June 15th, data source: gvol.io
From high-level data, the implied volatility of Bitcoin in-value options has not changed significantly. Musk’s tweet on Bitcoin's spot price cannot have a sufficient impact on investors. The deserted market will not change due to event shocks. However, it is true that options skewness has increased and the rise in coin prices has weakened the premium of put options to a certain extent.
Changes in Bitcoin options implied volatility (left) and skewness (right) in the past month, as of 18:00 on June 15th, data source: gvol.io
Although price changes cannot provide us with much effective information, it is true that long-term holders have increased their holdings. According to the data released by Glassnode, the coin holdings of new coin holding addresses gradually decreased within three months, while long-term holders have been accumulating a large amount of spots.
Bitcoin holdings as of 18:00 on June 15th, data source: Glassnode
Through the historical quantile chart, the realized volatility is not actually influenced by the upward Bitcoin spot price, and it ranges around 75% in most windows. In addition, the fluctuation of each term is still falling.
Realized volatility historical quantile chart, as of 18:00 on June 15th, data source: gvol.io
Observing the changes in the realized volatility, it has fallen back to the same range as the implied volatility. Participants currently lack judgment on the direction of the market, and it is expected that the volatility will fall further in the future.
Comparison of realized volatility and implied volatility, as of 18:00 on June 15th, data source: gvol.io
Ethereum
Compared with Bitcoin, the Ethereum spot price fluctuates little in June. Like Bitcoin, Ethereum's options trading volume is also very deserted. Under the terms of the premium, the daily trading volume of Ethereum options has shrunk by nearly ten times compared with the peak in May.
Ethereum options premium turnover (left) and Ethereum options contract turnover (right), as of 18:00 on June 15, data source: gvol.io
The medium- and short-term implied volatility surface of Ethereum is the same as last week just like Bitcoin, and still maintains a left-biased form.
The medium and short-term implied volatility surface of Ethereum options, as of 18:00 on June 15th, data source: gvol.io
From the forward implied volatility surface, investors are still very optimistic about the forward value of Ethereum.
Ethereum options forward implied volatility, as of 18:00 on June 15th, data source: gvol.io
According to the latest data from Coinshares, the crypto asset fund still had a net outflow last week. The crypto asset fund with Bitcoin as the underlying asset outflowed $10 million. What surprised us is that Ethereum had the largest outflow of funds on record last week, and the redemption amount reached $12 million. From this, it seems that institutional investors have certain differences in the valuation of Ethereum.
Crypto asset fund inflows, as of 18:00 on June 15th, data source: Coinshares
The term curve of implied volatility of Ethereum shows a hump shape. Investors are reminded that the EIP-1559 upgrade will begin in July.
The term structure of the implied volatility of Ethereum options, as of 18:00 on June 15th, data source: gvol.io
Observing high-level data, the implied volatility of Ethereum continues to decline slowly. At present, the implied volatility of Ethereum in-value options has fallen below 120. At the same time, Ethereum's skewness is gradually rising again.
Changes in the implied volatility (left) and skewness (right) of Ethereum options in the past month, as of 18:00 on June 15th, data source: gvol.io
In terms of the historical quantile chart, the realized volatility of Ethereum has fallen below 75%.
Realized volatility historical quantile chart, as of 18:00 on June 15th, data source: gvol.io
As for the changes in the volatility of Ethereum, the realized volatility of Ethereum has driven the implied volatility to fall.
Comparison of realized volatility and implied volatility, as of 18:00 on June 15th, data source: gvol.io
Conclusion
After the sharp downward adjustment of spot prices in May, the options market gradually became deserted. In addition, the open interest and trading volume of futures and other derivatives have also been greatly affected. The market is fading, which is detrimental to most parts.
Bitcoin
Ethereum
Options