Chart of the Week: Futures Basis Drops to New Lows
- The futures annualised rolling basis (3-month) for both BTC and ETH plunged at the end of July 2022, and both are now printing at new lows in negative territory. This is typically interpreted as an indication of positioning tilt to the short side (e.g. for hedging) and cautious sentiment.
- The 3-month annualised futures rolling basis measures the annualised yield (percent return) that can be had from buying at spot and simultaneously selling a futures contract that expires in 3 months.
Fund Flow Tracker
- Aggregated exchange balance of BTC continued to fall during the past week, marking another new low, while ETH’s has been relatively stable.
- Implied vols were mostly flat during the past week. 1-week implied vol currently stands at 65.3% (vs. 74.1% a week ago) and 98.9% (vs. 104.8% a week ago) for BTC and ETH, respectively. BTC and ETH puts continue to be bid up, as indicated by the spikes in front-end (1-week and 1-month) skews (puts minus calls), which are now at the highest levels since end-July.
- BTC and ETH perpetual futures funding rates saw a continuation of negative prints during the past week.
- Asset managers’ net-long position in CME Bitcoin futures remains at an elevated level, and leveraged traders’ net-short position continues to reduce.
- Leveraged traders are typically hedge funds and various types of money managers, including commodity trading advisors and commodity pool operators. The traders may be engaged in managing and conducting proprietary futures trading, and trading on behalf of speculative clients.
- The asset manager category consists of institutional investors, including pension funds, endowments, insurance companies, mutual funds, and those portfolio/investment managers whose clients are predominantly institutional.
- The dealer category consists of participants typically described as the “sell-side” of the market. These include large banks and dealers in securities, swaps, and other derivatives. The other reportable category consists of traders mostly using markets to hedge business risk, and includes amongst others corporate treasuries.
- For ETH, we take a look at the Fibonacci retracement levels for some short-term support and resistance levels. ETH has currently broken through the lowest floor level to the downside.
- Crypto.com successfully completed the Service Organization Control (SOC) 2 Type II Compliance audit, demonstrating best-in-class security and data privacy practices. The audit was carried out by Deloitte.
- Chicago Board Options Exchange (CBOE) said it is in talks with several potential equity partners, including Robinhood Markets Inc, Interactive Brokers, Virtu Financial, Jane Street, and Jump Crypto, about taking strategic stakes in its digital asset exchange Cboe Digital.
- Bitcoin Depot, a cryptocurrency ATM firm, will go public by merging with a special-purpose acquisition company (SPAC), at a valuation of US$885M.
- U.S. Fed Chairman Jerome Powell said that he expects the central bank will continue to raise interest rates and that it will “cause some pain” for the U.S. economy, in his annual policy speech at Jackson Hole.
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Research and Insights Team
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