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Market Pulse (29/08/2022)

BTC and ETH futures annualised rolling basis at new lows. ETH options skews keep rising as puts are being bid up. BTC perpetual futures funding rates are printing negative.

Aug 29, 2022
Market Pulse 300ppi

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.  
Crypto.com Market Pulse Futures Annualised Rolling Basis
  • 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.
Crypto.com Market Pulse BTC ETH Aggregated Exchange Balances
Crypto.com Market Pulse BTC OTC Desks Balance and Spot Price

Derivatives Pulse

  • 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.
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  • BTC and ETH perpetual futures funding rates saw a continuation of negative prints during the past week.
Crypto.com Market Pulse BTC Spot Price and Perpetual Futures Funding Rate
Crypto.com Market Pulse ETH Spot Price and Perpetual Futures Funding Rate
  • Asset managers’ net-long position in CME Bitcoin futures remains at an elevated level, and leveraged traders’ net-short position continues to reduce.
Crypto.com Market Pulse CME Bitcoin Futures - Net Position by Trader Category
  • 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.

Technically Speaking

  • 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 Market Pulse ETH Fibonacci Retracement Levels

Price Movements

Screen Shot 2022 08 29 At 6.07.25 Pm
As of 28 Aug 2022     Source: CoinGecko.com, Crypto.com Research
Screen Shot 2022 08 29 At 6.07.49 Pm
Source: Crypto.com

News Highlights

  • 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.

Catalyst Calendar

Screen Shot 2022 08 29 At 6.10.35 Pm
Screen Shot 2022 08 29 At 6.11.41 Pm
Screen Shot 2022 08 29 At 6.12.29 Pm

Disclaimer:

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Author

Research and Insights Team


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