Is a retail frenzy causing the Bitcoin futuresmarkets excessive leverage?

ビットコイン (BTC) has breached the $50,000 2月のレベル. 16. But while failing to cleanly break the psychological barrier, it undoubtedly displayed the potential for even higher valuations.

その間, futures and options indicators are misaligned, signaling excessive buyers’ レバレッジ, 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, インクルード 25% delta skew is the single-most relevant gauge. This indicator compares similar call (購入) and put (売る) 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, 原因 25% delta skew indicator to gain positive ground.

Deribit 30-day BTC options 25% デルタスキュー. ソース: laevitas.ch

A skew indicator between negative 10% (slightly bullish) and positive 10% (somewhat bearish) is considered normal. 過去3か月間, there hasn’t been a single occurrence of a 10% or higher 30-day skew, which is usually considered a bearish event.

このデータは非常に励みになります, considering that Bitcoin saw a 24% correction on Jan. 11, in addition to a 19% sell-off ten days later. まだ, there is no evidence that options traders demanded more significant premiums for downside protection.

Futures premium held excessive-optimistic levels

先物と通常のスポット市場との間の費用ギャップを測定することによって, トレーダーは市場の強気のレベルを測定することができます.

3か月先物は通常、 6% に 20% 年間保険料 (基礎) versus regular spot exchanges. このインジケーターがフェードまたはマイナスになるときはいつでも, これは憂慮すべき赤い旗です. この状況はバックワーディションとして知られており、市場が弱気に転じていることを示しています.

一方, a sustainable basis above 20% signals excessive leverage from buyers, creating the potential for massive liquidations and eventual market crashes.

3月. 2021 BTC futures premium. ソース: NYDIGデジタル資産データ

The above chart shows that the indicator bottomed at 1.5% 1月に. 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% 年率, プロのトレーダーからの楽観主義を示しています.

その間, the current 5.5% レベル, に相当 50% 年率, indicates excessive buyers’ レバレッジ. 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. ソース: NYDIGデジタル資産データ

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

したがって、, 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.

結論として, this movement perfectly explains why options markets are relatively neutral while futures markets show excessive buyers’ レバレッジ. While institutional clients and whales dominate options volumes, retail traders seem to be the root of such mismatch.

ここに記載されている見解や意見は、 author 必ずしもコインテレグラフの見解を反映しているわけではありません. すべての投資と取引の動きにはリスクが伴います. 決定を下すときは、独自の調査を行う必要があります.

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ソース: コインテレグラフ

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