July Review

Thursday 31st July 2019




Bitcoin increasingly trading sideways & consolidating around $10k - down 10% in July, up 170% YtD.

No alt season - altcoins are high beta on the way down - Ethereum down 26%, up 60% YtD.


BTC moved on average 5.5% daily.
Two very distinct regimes:

Nearly record high volatility into the Facebook hearings ~8% a day.
Nearly record low volatility in the last two weeks ~2.6% a day.


Expectations of options traders for future volatility is starting to sell off against this backdrop.

Expecting a 4.8% daily move over the next three months - still high by recent historical standards.

4/. VOLumes

Volumes retreated compared to  record June numbers with open interesting also contracting.

Average daily volumes at the CME were ~$400mln.

5/. VOLumes

BitMEX's XBTUSD perpetual swap traded on average $4.46bln daily.

6/. VOLumes

The options market continues to grow nicely with average daily volumes slightly below $40mln notional.

8/. Key Developments - Libra

Cryptos were in the spotlight in DC in July.
There will be no move fast and break things this time around.

The government pressure was probably more intense and earlier than Facebook expected.

10/. Key Developments - Global Easing

Against this backdrop, the Gold and Bitcoin bulls are getting more vocal by the day.

11/. Key Developments - BitMEX / CFTC

The largest crypto derivatives exchange is being probed by the US CFTC on whether US traders are allowed on the platform.

The platform saw 15% outflows of its total BTC holdings this month.

12/. Key Developments - BitMEX / CFTC

Liquidity was unaffected - order book depth actually gradually improved throughout the month - a function of reduced volatility in the market.

Currently 39bps b/o spread to trade 1,000 BTC futures.

13/. Key Developments - Deutsche BANk

Banks are increasingly feeling the pain of a decade of increased regulation, low volatility, low rates & limited innovation.

The 18k employees Deutsche Bank layoff was an earthquake in the City but failed to convince markets.

14/. seasonality & correlations

Not an unusual pattern to see a softer Q3 before a Q4 run up!

17/. seasonality & correlations

The new stable coin projects have failed so far to derail Tether as a systemic force behind crypto markets.

USDT total market cap the bitcoin price seem correlated.

18/. seasonality & correlations

Bitcoin is flatlining but ratio of longs liquidated to shorts on Bitmex is 2x.

Longs seems to be structurally more leveraged overall.

19/. seasonality & correlations

Funding is an important indicator of market's positioning. Currently flashing neutral.

20/. More data on sk3w.co

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➜  careers@sk3w.co

16/. seasonality & correlations

In July, crypto markets stopped playing with traders' free time & resumed with quiet weekends.

9/. Key Developments - Global Easing

$14tln+ of sovereign debt is now negative yielding.
The entire Swiss rates curve is in negative territories.

The Fed cut interest rates for the first time in 10y.
UBS is starting to charge its HNW customers 75bps on their cash deposits.

7/. Key Developments - Libra

Facebook's ambitions with Libra is not making everyone happy to say the least.

It's clear the United States will fight any attempt that could threaten the supremacy of the US Dollar.


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15/. seasonality & correlations

SPX, Gold and Bitcoin returned in the same direction the last four years.

2019 seems to be a good vintage year for global assets or a bad one for fiat currencies!