Digital Derivatives is a weekly newsletter bringing you the latest research, information and analytics from the cryptocurrency derivatives space brought to you byDelta Exchange.
This weekly letter includes our analysis of recent developments in this space, including trends, conversations, exchange developments and everything in between.
Market Sentiment Plummets As Bitcoin Drops 48% In 24 Hours
Cryptocurrency market sentiment looks bleak amid broader equity sell-off as the world struggles to manage oil price wars and the spread of COVID-19.
In just over 24 hours, the price of Bitcoin stumbled 48%, hitting a one-year low as over $90 billion were wiped off the value of the digital asset market.
To put this into perspective:
The drop represents the biggest ever 24-hour price drop for Bitcoin on record, to a low not seen since March 2019.
Bitcoin Futures are trading at discount for the first time since January 2019.
Over $500m worth of XBT longs were liquidated on BitMEX.
Trading volume on XBT/USD reached an all-time high, with nearly $50 billion worth of Bitcoin Futures contracts traded in less than 24 hours.
Implied volatility spiked 50 points reflecting the increased market volatility. This was a 10 standard deviation event relative to what was priced in (i.e. something normal distribution modelling renders impossible.)
March 12th was an unparalleled day across digital asset markets and the outlook remains discouraging. We expect the trend to continue for the foreseeable future, albeit on a less significant scale, as global uncertainty grows.
Market Moves
Bitcoin (BTC) – $5,660.82 (-18.07%)
Ethereum (ETH) – $132.32 (-15.74%)
Ripple (XRP) – $0.157 (-11.71%)
Bitcoin Cash (BCH) – $173.32 (-21.62%)
Litecoin (LTC) – $35.37 (-11.12%)
EOS (EOS) – $2.04 (-16.81%)
Tezos (XTZ) – $1.66 (-12.92%)
Derivatives Insights
BitMEX Open Interest On XBTUSD Drops 45% In 12 Hours
Over the last 24 hours, Open Interest (OI) on the XBTUSD pair on BitMEX has dropped from $840 million to $433 million as the price of Bitcoin fell to $5,620.
Open Interest refers to the number of outstanding derivatives contracts that have yet to be settled. Open Interest provides an interesting insight into derivatives market activity, with decreasing OI representing a significant outflow of money from market.
The Open Interest on the XBTUSD pair on BitMEX reached an all time high of $1.06 billion one month ago, on February 15th, and is now at its lowest value since May 2019.
CBOE Volatility Index (VIX) Reaches 75
The CBOE Volatility Index (VIX) is currently sitting at 75 and is now at the highest it has been since November 2008, quoting a higher 24-hour trade volume than Bitcoin.
The CBOE VIX is an index representing investors expectations of 30-day forward-looking market volatility. Also known as the ‘Fear Index‘, the VIX provides an insight into market risk and sentiment, representing current levels of investor fear.
Established in 1993, it is only the second time in its history that the CBOE VIX has gone above 50, representing significant uncertainty surrounding the future of the US equity markets. Specifically, VIX is up over 390% in the past 30 days, and up 430% in the previous 3 months.
Bitcoin Futures At Discount – Fall From 3% To -3%
Bitcoin Futures are currently trading at a discount to spot prices for the first time in 2020 – falling from +3% in January 2020 to -3% – signalling a bearish outlook on things to come.
Futures contracts represent agreements between parties to buy or sell BTC at a specific price and date in the future, allowing for hedging or speculation of the underlying asset. As such, prices trading at a discount to spot prices (referred to as market inversion) is a clear indication of bearish expectations.
On Delta, Bitcoin March 2020 Futures are currently trading at $5221.5, representing nearly a 4% discount to spot prices. CME Bitcoin March 2020 Futures are trading at $5385.0, a 0.7% discount, with CME April 2020 Futures trading at $5380.0, a 0.87% discount.
Delta Exchange Developments
Launch of BTC & ETH MOVE Contracts
We’re excited to announce the launch of BTC & ETH MOVE Contracts as the first exchange in the digital asset space to do so.
MOVE contracts are an exciting new class of derivatives contracts, where the price is proportional to the absolute value of a movement in the price of the underlying asset (BTC or ETH), over a certain time period. As such, the direction of movement of the asset becomes irrelevant, allowing traders to bet on the underlying movement and volatility of the contract.
Deep Dive Into The World of CryptocurrenciesDelta Exchange Cofounder and CEO sat down with MaiCoin Group – Taiwan’s largest and longest-running digital asset trading platform – to discuss digital asset and the derivative trading space. Topics covered include:
The background and vision of Delta;
What makes the derivative space important;
The difficulties & opportunities associated with running a derivatives trading platform.
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