Market Pulse – Weekly Market Insights Newsletter (16/05/2022)

Tokens outperform ETH in the market sell-off. BTC exchange balance rebounds. Options implied vols spiking: market in risk-off mode.

May 16, 2022
Market Pulse Yoyo

Chart of the Week: Drawdown Outperformers

  • Our recent institutional-focused report Alpha Navigator attempted to screen for tokens that are outperforming ETH in the current drawdown. Given the speed and size of market moves since then, we revisit drawdown outperformers here with refreshed data.

  • Since the peak on 9 November 2021, ETH has fallen -58.25%, compared to -44.25% average return of the tokens in our drawdown outperformers basket.
  • Our drawdown outperformers basket screens for tokens that are outperforming ETH in the current drawdown, selected from top tokens by market cap in each of the Layers 1 & 2, DeFi, GameFi, and NFT categories. 
  • Other thematic baskets, style factor screens, market-neutral pair trading, macro trends, and event driven ideas can be found in our report Alpha Navigator.

Fund Flow Tracker

  • BTC and ETH balances held on exchanges saw a rebound over the past week, a reversal of the downtrend in place since a year ago, potentially implying increased inclination to sell by investors. 
  • In the past week, aggregated exchanges saw net inflows of  88.1K and 454.0K for BTC and ETH respectively.

  • BTC balance held on OTC desks continues to rise from the yearly low established in March 2022.

Derivatives Pulse

  • Options front-end implied volatilities (vol) for BTC have been on a rollercoaster, exceeding back-end implied vols, reflecting the heightened fear mode in markets. 1-week implied vol currently stands at 83.0%, compared to 53.6% a week ago.

  • A similar situation is unfolding in ETH implied vols, with front-end spiking significantly above back-end. 1-week implied vol currently is at 96.5% compared to 58.0% last week.

  • The options open interest put-call ratio for BTC has risen over the past week, potentially implying increased exposure hedging by investors as the market sell-off continues. However, BTC has already fallen -34.0% YTD and -53.9% from its peak in November 2021 – bottom-fishers could perhaps see a glimmer of a contrarian signal (another case of buying protection too late)?

  • BTC perpetual futures funding rates regime remains in positive territory overall despite flashes of red during the past week.

  • ETH perpetual futures funding rates are positive since the start of May, reversing the trend of predominantly negative prints during the end of April, potentially signalling some shifting to long positioning.

Technically Speaking

  • The RSI for both BTC and ETH is near oversold levels, although the old adage ‘beware of catching falling knives’ comes to mind.

Price Movements

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As of 15 May 2022 Source:
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News Highlights

Catalyst Calendar

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The information in this report is provided as general market commentary by and its affiliates, and does not constitute any financial, investment, legal, tax, or any other advice. This report is not intended to offer or recommend any access to products and/or services. While we endeavour to publish and maintain accurate information, we do not guarantee the accuracy, completeness, or usefulness of any information in this report nor do we adopt nor endorse, nor are we responsible for, the accuracy or reliability of any information submitted by other parties.

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