Volatility down PCR back down, market panic easing? | Weekly Crypto Derivatives Report

Despite a sharp drop in market trading fervor, futures interest in bitcoin and ethereum shows no sign of abating after the mid-May selloff.

Key Points.

Futures interest in bitcoin and ethereum futures positions showed no signs of waning after the mid-May selloff, despite a sharp drop in trading activity.

Realized volatility and ATM implied volatility both eased, suggesting some relief from market concerns.

The PCR ratio of options positions in both bitcoin and ethereum fell to around 0.7 from around 0.85 a month ago, suggesting a clear re-emphasis on the long side.

Open positions in bitcoin and ethereum options fell 60% and 45% respectively from their all-time highs.

On June 25 (the last Friday of the second quarter) 72,200 BTC will expire and over 630,000 ETH will expire, with $100,000 being the largest call option position in Bitcoin and $5,000 being the largest call option position in Ether.

Futures Market

Extreme Market Explosion Overview
Over the past week (May 31-June 6), bitcoin and ethereum volatility narrowed, mainly between 34,000 and 40,000. within a half-hour period starting at 9 a.m. on June 6, bitcoin briefly dropped more than $1,100, blowing $86.85 million in positions across the network, for a total of about $700 million on the day.

Trading Volume and Open Positions
Bitcoin futures are available on BitMEX, Cryptocurrency, Bitfinex, Bakkt, Bybit, CME, Deribit, FTX, Hotcoin and OKEx. Ether futures are available on BitMEX, Cryptocurrency, Bitfinex, Bybit, CME, Deribit, FTX, Hotcoin and OKEx. OKEx.

Bitcoin and ethereum are trading at a much lower level than the week of the market crash in mid-May, returning to previous levels. Both bitcoin and ethereum futures volumes have fallen back considerably over the past half month, with both down over 45% YoY in the previous week and down nearly 24% and 20% YoY in the past week, respectively.

However, it is worth noting that the open positions in bitcoin and ethereum did not drop significantly after decreasing by more than 30% on May 19, with the value of bitcoin positions remaining around $11 billion and ethereum remaining near $6 billion, thus not showing signs of weakening interest in futures after the big drop.

Volatility down PCR back down, market panic easing? | Weekly Crypto Derivatives Report

Bitcoin futures open positions, source: Skew

Volatility down PCR back down, market panic easing? | Weekly Crypto Derivatives Report

Open positions in Ether futures, source: Skew

Options Market
Trading Volume and Open Positions
Bitcoin options statistics include Cryptocurrency, Bakkt, Bit.com, CME, Deribit, Firecoin, LedgerX and OKEx, while ethereum options statistics include Bit.com, Deribit, Firecoin and OKEx.

Bitcoin and ethereum options trading activity also declined significantly, by 24% and 50%, respectively, year-over-year.

In terms of open positions, bitcoin’s open positions fell after hitting a record high in mid-April, dropping by 60% to a new year-end low of $5.8 billion as of yesterday. Ether, however, has fallen 45% from its all-time high and is still at a high level around mid-April.

Volatility down PCR back down, market panic easing? | Weekly Crypto Derivatives Report

Bitcoin options open positions, source: Skew

Volatility down PCR back down, market panic easing? | Weekly Crypto Derivatives Report

Ether options open positions, source: Skew

Volatility
Bitcoin one-month realized volatility remained above 110% after rising to 120% in mid-to-late May, with 10-day volatility falling back to near 80% from 150% in late May, and one-month implied volatility falling back to near 90% from 120%. Similarly, Ether volatility short-term volatility and implied volatility also declined to some extent, indicating that market concerns have been eased to some extent.

Volatility down PCR back down, market panic easing? | Weekly Crypto Derivatives Report

From left to right, Bitcoin One Month Realized Volatility and Bitcoin One Month ATM Implied Volatility

Volatility down PCR back down, market panic easing? | Weekly Crypto Derivatives Report

From left to right, one-month realized volatility for ethereum and one-month ATM implied volatility for bitcoin

Position PCR Ratio
Both bitcoin and ethereum position PCR ratios have fallen from near 0.85 a month ago to below 0.7 and are stabilizing, indicating that while short-side sentiment has been released significantly, the long side has regained dominance of the market.

Volatility down PCR back down, market panic easing? | Weekly Crypto Derivatives Report

Bitcoin Position PCR Ratio

Volatility down PCR back down, market panic easing? | Weekly Crypto Derivatives Report

Ether position volume PCR ratio

Options Exercise and Expiration
The largest open positions in bitcoin options are at $40,000 and $50,000, with 11.2k bitcoins and 10.8k bitcoins respectively, while the largest put position is at $40,000 and the largest call position is at $100,000. Also, on June 25 (the last Friday of the second quarter) there will be 72,200 bitcoins expiring, with a notional value of over $2.6 billion.

Volatility down PCR back down, market panic easing? | Weekly Crypto Derivatives Report

Bitcoin option strikes and expirations, source: Skew

In Ether, the largest open position with a strike price of $5,000 is over 70,000 and is the largest call option position, while the second largest call option position is at $3,200. In addition, there will be over 630,000 Ether expiring on June 25, with a notional value of nearly $1.7 billion.

Volatility down PCR back down, market panic easing? | Weekly Crypto Derivatives Report

Ether options exercise and expiration, source: Skew

Posted by:CoinYuppie,Reprinted with attribution to:https://coinyuppie.com/volatility-down-pcr-back-down-market-panic-easing-weekly-crypto-derivatives-report/
Coinyuppie is an open information publishing platform, all information provided is not related to the views and positions of coinyuppie, and does not constitute any investment and financial advice. Users are expected to carefully screen and prevent risks.

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