Bybit X Block Scholes Crypto Derivatives Analytics Report (Nov 27, 2024): Signal on ETH Outperformance Against BTC Surfaces on Long-Term Contracts

Key Highlights:

Our weekly crypto derivatives analytics report delves into macro events, the current state of crypto and trading signals from spot trading volume, and futures, options and perpetual contracts.

ETH has outperformed, bolstered by SEC Chair Gary Gensler's announcement of his Jan 20, 2025 departure, and suggested by growing open interest in ETH perpetual. This positive momentum extends to several large-cap altcoins previously scrutinized by the SEC, as indicated by bullish funding rates for long positions.

• Futures: Open interest remains concentrated on short-dated expirations, but has halted its growth alongside a dip in spot prices.

• Perpetuals: Funding rates are still bullish. BTC contract open interest is declining, while ETH contracts are on the rise.

• Options: BTC’s term structure has steepened as front-end volatility falls below 60%. Meanwhile, ETH’s inverted term structure signals a shift in focus toward ETH this week.

Please check out the report’s highlights.

ETH Open Interest Grows While BTC’s Declines

Sources: Bybit, Block Scholes

ETH is outperforming BTC following the announcement of SEC Chair Gary Gensler’s departure, as evidenced in perpetual swap markets. BTC open interest has decreased from last week's highs, while ETH contracts have increased. Additionally, ETH trade volumes constitute a larger share of daily trading as compared to much of the past six months, despite an overall dip in trade volumes this week. The gradual decline in BTC open interest, without a surge in trading activity, indicates a strategic repositioning, rather than a wave of liquidations.

BTC Option Curve Inversion Deepens as Price Retreats

Sources: Bybit, Block Scholes

The pullback in the spot BTC price from the $100K target has led to a flat ATM volatility term structure, with short-tenor options dropping below 60%. This trend continues the correlation between term structure inversion and BTC spot price returns observed since the U.S. election on November 5, 2024. The decline in front-end volatility aligns with lower realized volatility levels. While demand for short-tenor options has moderated, there hasn't been a notable change in open interest for calls or puts. Instead, their growth has stalled at the week's start.

ETH Options More Bullish Than BTC’s

Sources: Bybit, Block Scholes

Sentiment in ETH options markets seems moderately more bullish than in BTC's during the recent decline in momentum from the post-election rally. Call options lead in both trading volumes and open interest. 

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