AI Summary
Show More
Quickly grasp the article's content and gauge market sentiment in just 30 seconds!
Key Highlights:
Our weekly crypto derivatives analytics report dives into the current state of crypto, macro events, and trading signals from spot trading volume, futures, options, and perpetual.
From this week, ETH derivatives continue to reflect different positioning when compared to BTC, which may be linked to hopes and expectations of the imminent launch of its first Spot ETFs in the U.S. However, ETH’s volatility premium above BTC is not a new phenomenon, and is also reflected in the increased realized volatility for much of the past month.
BlackScholes’s Senti-Meter Index, a gauge of investors' risk preferences embedded in fund rates, yields, and volatility, suggests investors have a more bullish sentiment toward ETH than BTC.
While annualized yields slipped lower during the selloff in spot prices earlier in the week, both BTC and ETH futures have since recovered, although now trade at slightly lower levels. We also see a steeper term structure of yields in both markets as short-tenor futures trade much closer to the spot, while longer-tenor futures trade higher.
The expiration of June’s futures on June 28, 2024, didn’t see an explosive increase in trade volumes, but since then, we’ve seen open interest increase faster for ETH than for BTC, indicating a stronger narrative that’s focused on the launch of its ETF.
The larger trade volume activity in ETH suggests that traders were caught in larger long positions, possibly due to positioning ahead of an expected ETF start-of-trading date.
TON has shown a persistently negative funding rate which means that short positions have been willing to pay a premium for leveraged short exposure to the underlying. This stands out relative to other altcoins, whose funding rates have otherwise followed the trajectory of the majors since the weekend crash.
Options markets have had a relatively tame response to the most recent sell-off, with volatility levels rising at the front end to meet longer-dated levels. They’ve failed to meaningfully invert the term structure as we’ve seen them do in previous Spot price crashes. However, BTC’s volatility smile skewed further toward OTM puts at shorter tenors, indicating that markets are seeking protection against further downside price action.
The open interest in ETH calls is notably higher than puts following the June 28, 2024 expiration date. This corresponds with a high trade volume in calls that began around the beginning of the month and has continued until today. It’s reflected in the more bullish skew toward OTM calls, which is in stark contrast to the bearish positioning seen in BTC’s markets.
ETH retains its volatility premium above BTC options, as all eyes turn to the launch announcement of several U.S. Spot ETFs.