Andrew Melville
Research Analyst
Last Updated:
November 19, 2024
•
2 min read
Crypto Markets Daily Nov 19 2024
Derivatives markets retain the bullish trend of the past weeks. Spot yields are almost reaching the positive highs of the past week, skew levels and funding rates remain strongly positive. The term structure of implied volatility is still inverted – but not as extremely as during the pre-election frenzy. The level of inversion has followed spot upward frequently since the election. The BTC Spot ETFs recorded inflows of $254.8 million yesterday, as the SEC approved the listing of options settling to BTC Spot ETFs – first BlackRock’s IBIT on the Nasdaq exchange, and then others on the NYSE and CBOE respectively. This isn’t the first US offering of crypto options – CME currently offer options on BTC and ETH that settle to the futures on their same market. However, we expect that it will open the floodgates to a growing interest in structured products, and for those structured products to have an impact on the supply and demand of volatility in existing crypto options markets.
The ETF Option
Derivatives markets retain the bullish trend of the past weeks. Spot yields are almost reaching the positive highs of the past week, skew levels and funding rates remain strongly positive. The term structure of implied volatility is still inverted – but not as extremely as during the pre-election frenzy. The level of inversion has followed spot upward frequently since the election.
BTC is still underperforming its returns path post-halving compared to previous cycles. However, this cycle’s reduced supply effect from the halving is also being met by aggressive institutional interest via the Spot ETFs (averaging $123M inflows per day in 2024 so far) and corporations like MicroStrategy, which further add to the potential supply squeeze.
MicroStrategy, the largest corporate holder of Bitcoin, announced an intended plan to raise $1.75 billion through 0% convertible bonds due in 2029 to buy more bitcoins. The company also purchased an additional 51,780 Bitcoin on Nov 18, bringing its current total BTC holdings to 331,200.
The BTC Spot ETFs recorded inflows of $254.8 million yesterday, as the SEC approved the listing of options settling to BTC Spot ETFs – first BlackRock’s IBIT on the Nasdaq exchange, and then others on the NYSE and CBOE respectively. This isn’t the first US offering of crypto options – CME currently offer options on BTC and ETH that settle to the futures on their same market. However, we expect that it will open the floodgates to a growing interest in structured products, and for those structured products to have an impact on the supply and demand of volatility in existing crypto options markets.
While it followed the ETF news, BTC’s rally on Tuesday has coincided with a rebound in gold prices – after cutting its correlation to it on election night as BTC rallied. The metal’s rally is partially attributed to the pause in the dollar rally, as well as increased uncertainty around the Russia-Ukraine conflict. Gold prices have been dropping since President Trump’s election victory – largely due to the anticipation of Trump’s policies causing a stronger dollar and the event risk uncertainty having passed.
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Crypto Markets Daily Nov 20 2024
The term structure of volatility has re-inverted once again – and again in tandem with a rally higher in spot, continuing the spot-volatility correlation that we’ve been repeatedly highlighting in previous daily comments. This time, however, the longer-dated stuff has started to rally too. See that in the chart below, where the 180d tenor (with June the closest listed expiry) meaningfully followed shorter-dated vols higher for the first time.
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Crypto Markets Daily Nov 19 2024
Derivatives markets retain the bullish trend of the past weeks. Spot yields are almost reaching the positive highs of the past week, skew levels and funding rates remain strongly positive. The term structure of implied volatility is still inverted – but not as extremely as during the pre-election frenzy. The level of inversion has followed spot upward frequently since the election. The BTC Spot ETFs recorded inflows of $254.8 million yesterday, as the SEC approved the listing of options settling to BTC Spot ETFs – first BlackRock’s IBIT on the Nasdaq exchange, and then others on the NYSE and CBOE respectively. This isn’t the first US offering of crypto options – CME currently offer options on BTC and ETH that settle to the futures on their same market. However, we expect that it will open the floodgates to a growing interest in structured products, and for those structured products to have an impact on the supply and demand of volatility in existing crypto options markets.
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PREMIUM
Institutional
Crypto Markets Daily Nov 18 2024
Derivatives markets reflect the start-of-week bullishness. Sentiment indicators have been growing more bullish alongside the growth in short-tenor vols. Market participants are seeking exposure to upward price movements through call options and futures yields have been on the rise just as perp funding rates are strongly positive, indicating leverage buildup for both tokens.