Bybit X Block Scholes Crypto Derivatives Analytics Report (Dec 11, 2024): ETH Perp Positions Fall as ETH Options Still More Bullish Than BTC Options

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.

BTC’s rejection of prices above $100K and ETH’s downward bounce near $4K have had a significant impact on derivatives markets. The pullback in spot prices intensified due to liquidations of overleveraged long positions in perpetual swaps, leading to a decline in open interest, particularly in ETH, and a reset of previously high funding rates to lower, yet still positive, levels. 

In the futures market, open interest remains below pre-November 2024 expiration levels, with positions concentrated in the December end-of-year contract. Meanwhile, perpetuals funding rates have been recalibrated following the liquidation wave. In options, ETH’s term structure is inverted, contrasting with BTC’s flat shape, as realized volatility has exceeded forward-looking expectations for the second time since late September.

Please check out the report’s highlights.