Bybit X Block Scholes Crypto Derivatives Analytics Report (Dec 5, 2024): After BTC Turns $100K, Investors Are Still More Bullish on ETH

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Crypto Insights
blockscholes
Dec 6, 2024
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Our weekly crypto derivatives analytics report delves into macro events, the current state of crypto and trading signals from spot trading volume, and futures, options and perpetual contracts.

BTC has finally surpassed the $100K mark, leading to increased bullish positioning in derivatives markets. This reflects strong sentiment and a desire for upside exposure in perpetual swaps and futures. Short-term implied volatility has risen as traders seek options to capitalize on the rally.

  • Futures: A significant portion of BTC open interest expired without rollover at the end of November 2024, resulting in muted trading activity due to lower realized volatility.

  • Perpetuals: Funding rates remain high, and open interest has shifted toward ETH contracts during BTC's pause above $100K.

  • Options: BTC's volatility term structure has inverted again, while ETH maintains its prior inversion, indicating strong bullish sentiment in both markets.

Please check out the report’s highlights.

Perp Traders Shift to ETH Exposure

Intro_to_Crypto_Derivatives_Report_(Dec_4_2024)_1.png

BTC's successful breach of the $100K barrier has led to a noticeable return of perpetual swap markets to all-time high open interest levels, although the response has been somewhat muted. Earlier in the week, perpetual swap markets shifted their focus to ETH after BTC's repeated failures to break through $100K. While funding rates for both derivatives remained high and positive, open interest in ETH contracts increased at the expense of BTC positions prior to the breakthrough. Additionally, ETH trade volumes have constituted a larger-than-usual market share.

BTC Calls See No Significant Influx Post-$100K

Intro_to_Crypto_Derivatives_Report_(Dec_4_2024)_2.png

Sources: Bybit, Block Scholes

The sudden rise in spot prices has triggered a sharp increase in demand for short-tenor options, as traders seek exposure to the upward movement. BTC's term structure inversion has driven short-tenor implied volatility levels above realized volatility. Although implied volatility for BTC is lower than that of ETH, open interest data shows that the influx of call option open interest in BTC markets wasn’t as significant as for ETH. Nevertheless, BTC's volatility skew remains strongly bullish.

ETH Options More Bullish Than BTC’s

Intro_to_Crypto_Derivatives_Report_(Dec_4_2024)_3.png

Sources: Bybit, Block Scholes

ETH's options market showed the most bullish positioning ahead of the overnight spot move, while the perpetual swap markets for both major cryptocurrencies reflected strong positive sentiment. Open interest is heavily weighted toward OTM calls, signaling a robust preference for upside exposure as realized volatility starts to catch up to implied volatility. This demand for upside exposure is evident for both tokens, particularly with ETH's remarkable increase in call option open interest over the past 24 hours.

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