Thahbib Rahman
Research Analyst
Last Updated:
November 20, 2024
•
2 min read
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.
Re-Inversion Again
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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BlackRock’s Bitcoin ETF-settled options (launched on Nasdaq yesterday) opened the floodgates to further institutional interest in structured products. As of yesterday, BlackRock’s ETF options saw $1.9B in trade volumes, with a larger volume of bullish positioning via call options. This outpaced all-but-one crypto-native options exchange: Deribit. The launch also coincided with a surge in Spot ETF inflows, as BTC Spot ETFs pulled in another $829.5M – their 7th-best day since launch.
While geopolitical tensions have historically been bullish for bullion, but not always for Bitcoin (consider the drop in BTC price in Feb 2022 when Russia first invaded Ukraine, or during various moments of the Iran-Israel conflict), the escalation in the Russia-Ukraine conflict has not impacted overall bullish sentiment. BTC indeed rose to new ATHs above $94,000 on Tuesday. This could be early signs of Bitcoin becoming a more consistent macroeconomic safe-haven, bolstered by its institutional adoption.
In DeFi – Solana open interest across futures and options reached new all-time highs of $5.55B, as SOL continues towards its all-time high spot price – note that it's already surpassed its all-time high market cap in 2021. The number of Active addresses on Solana's network (daily) has spiked since August and reached a new all time of 6.16m on Nov 19, 2024. Percentage of ETH staked remains steady at all time highs, fluctuating above 28%, following the drawdown on 5th Nov, election day. This comes alongside the increase in meme coin trading and secondary site, pump.fun, a Solana based memecoin generator, also spiking in November, reaching record daily revenue of $4.5M.
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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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PREMIUM
Institutional
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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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.