Is a retail frenzy causing the Bitcoin futuresmarkets excessive leverage?

Bitcoin (BTC) has breached the $50,000 level on Feb. 16. But while failing to cleanly break the psychological barrier, it undoubtedly displayed the potential for even higher valuations.

mientras tanto, futures and options indicators are misaligned, signaling excessive buyers’ apalancamiento, while options markets remain calm. After analyzing both markets, one might theorize what has caused this apparent incongruence.

Options skew remained neutral-to-positive

When analyzing options, la 25% delta skew is the single-most relevant gauge. This indicator compares similar call (comprar) and put (vender) options side-by-side.

It will turn negative when the put options premium is higher than similar-risk call options. A negative skew translates to a higher cost of downside protection, indicating bullishness.

The opposite holds when market makers are bearish, causing the 25% delta skew indicator to gain positive ground.

Deribit 30-day BTC options 25% delta skew. Fuente:

A skew indicator between negative 10% (slightly bullish) and positive 10% (somewhat bearish) is considered normal. Over the past three months, there hasn’t been a single occurrence of a 10% or higher 30-day skew, which is usually considered a bearish event.

This data is very encouraging, considering that Bitcoin saw a 24% correction on Jan. 11, in addition to a 19% sell-off ten days later. Todavía, there is no evidence that options traders demanded more significant premiums for downside protection.

Futures premium held excessive-optimistic levels

Midiendo la brecha de gastos entre los futuros y el mercado spot regular, un comerciante puede medir el nivel de optimismo en el mercado.

Los futuros a 3 meses normalmente deberían negociarse con un 6% a 20% prima anualizada (base) versus los intercambios al contado regulares. Siempre que este indicador se desvanezca o se vuelva negativo, esta es una alarmante bandera roja. Esta situación se conoce como backwardation e indica que el mercado se está volviendo bajista..

Por otra parte, una base sostenible arriba 20% señala un apalancamiento excesivo de los compradores, creando el potencial de liquidaciones masivas y eventuales caídas del mercado.

mar. 2021 Prima de futuros de BTC. Fuente: Datos de activos digitales de NYDIG

The above chart shows that the indicator bottomed at 1.5% el ene. 27 but later reverted to 4.5% and higher as Bitcoin rebounded above $35,000. Even during its darkest periods, the futures premium held above 10% annualized rate, indicating optimism from professional traders.

mientras tanto, the current 5.5% nivel, equivalent to a 50% annualized rate, indicates excessive buyers’ apalancamiento. Perpetual futures (inverse swaps) could be the root of this issue, and retail traders more widely use those contracts.

Weekly BTC perpetual futures funding rate. Fuente: Datos de activos digitales de NYDIG

Take notice as the funding rate has exceeded 2.5% por semana, thus more than compensating the 50% annualized premium of the March contracts.

Por lo tanto, arbitrage desks and market makers are likely happy to pay such a hefty premium on fixed-month contracts while simultaneously shorting the perpetual future and profit from the rate difference.

Para concluir, this movement perfectly explains why options markets are relatively neutral while futures markets show excessive buyers’ apalancamiento. While institutional clients and whales dominate options volumes, retail traders seem to be the root of such mismatch.

Los puntos de vista y opiniones expresados ​​aquí son únicamente los de la autorr y no reflejan necesariamente las opiniones de Cointelegraph. Cada inversión y movimiento comercial implica un riesgo. Debe realizar su propia investigación al tomar una decisión.

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Fuente: Cointelegraph