BTC continues to trade as a high-beta risk asset and is moving in lockstep with the equity high-beta to low-beta ratio. The ratio rolled over at the start of the year as high-beta started to underperform low-beta, and BTC is following closely. Reversal of this trend will be challenging given the unfavourable economic growth cycle and liquidity outlook.
The current risk-off macro environment favours low-beta risk assets. Low-beta equities are outperforming, up +2.79%, compared to their high-beta counterparts that are down -22.61%, during the past 1-year. High-beta equities are more volatile than the broader market and are mainly in cyclical sectors such as Tech, Consumer Discretionary, and Financials, whereas low-beta is dominated in weighting by sectors with more stable and predictable earnings, such as Utilities and Consumer Staples.
Fund Flow Tracker
Aggregated exchange balance for BTC has fallen since mid-June 2022, while that of ETH’s increased. The past week saw net inflows of +4.1K for BTC and +212.2K for ETH. BTC balance held on OTC desks fell during the past week.
Derivatives Pulse
Options implied volatilities (vol) for BTC and ETH have settled for now, while term-structure remains inverted as near-term risks continue to lurk. 1-week implied vol currently stands at 81.9% (vs. 77.6% a week ago) and 106.5% (vs. 99.2% a week ago) for BTC and ETH, respectively.
ETH’s put-call ratio has been falling since May 2022, in contrast to BTC’s put-call ratio rising. However, the past week saw a dip in the put-call ratio for BTC.
1-week options skews saw a notable bounce for both BTC and ETH, while back-end skews have remained more or less flat, during the past week – reflecting higher bidding intensity for near-term puts.
Perpetual futures funding rates continue to print negative for both BTC and ETH, implying increasing build up in short positioning.
Asset managers’ and other reportables’ (which includes corporate treasuries) net-long positions in CME Bitcoin futures have been crawling up recently.
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
BTC’s downward trend is confirmed by the majority of technical indicators. We take a look at the Fibonacci retracement levels for some near-term potential support and resistance zones. BTC is currently near the Fibonacci floor of US$17,567. The Fibonacci levels and corresponding BTC prices (in brackets) are: 0 (US$17,567), 0.236 (US$21,064), 0.382 (US$23,227), 0.5 (US$24,975), 0.618 (US$26,724), 0.786 (US$29,213), 1 (US$32,383).
Bank of America’s number of active cryptocurrency users declined by 50% according to the bank’s internal customer data.
Michael Saylor’s Microstrategyannounced it has acquired an additional amount of Bitcoins. Similarly, El Salvador’s President Nayib Bukele tweeted that additional Bitcoins were acquired as well.
Catalyst Calendar
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BTC moves in lockstep with high-beta equities. Near-term ETH options skews spike as puts are in demand. Negative prints in $BTC perps funding rates imply build-up of shorts.
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