Liquidation data
The liquidation data can intuitively show the situation that the contract position is liquidated when the market fluctuates rapidly. Although in theory, the size of this data is simply positively correlated with the range of price fluctuations in the corresponding period, there are still some problems in this data. Details deserve attention.
One is that the extreme concentrated liquidation of a large number of positions often means that under the premise of high market participation enthusiasm, the price has experienced reverse fluctuations that are contrary to the "mainstream view". In this case, we need to be alert to the possibility of a unilateral market trend reversal sex. And if the currency price fluctuates sharply in a short period of time, but the value of liquidation is relatively limited, this situation generally occurs in the middle and late stages of a bear market with extremely low market participation, and this situation may also become an auxiliary for confirming the bottom Reference.
However, this kind of result needs to be judged against historical performance, and cannot be judged by using the liquidation value after a certain surge/slump alone, so we will try to continuously track the liquidation data in the future.
Position data
Trading volume
Trading volume
Trading volume is a data that can more intuitively reflect the heat of the market. Compared with position data, this data is more "simple and rough", and when there is a large-scale concentrated liquidation in the market, it will often bring the peak of trading volume, so in the short term From a perspective, the transaction volume data has limited reference value. However, from a mid- to long-term perspective, trading volume is also a key indicator for measuring market overheating or extreme downturn. Compared with the average daily and weekly level of trading volume compared with long-term historical performance, it can intuitively reflect what stage the market is in .
futures contract basis
Basis is the difference between the spot price and the futures price at a specific point in time. If the spot price is lower than the futures price, the basis is negative; if the spot price is higher than the futures price, the basis is positive.
Under normal circumstances, the basis will be negative, that is, the spot price is generally lower than the futures price, and this situation is also called a positive market. This "premium" in futures prices is mainly due to the "time cost" of unexpired contracts. Conversely, if the basis is positive, it is called an inverse market. In this case, it means that the market's expectations for the near-term price are higher than the forward price. Generally speaking, the absolute value of the basis difference of the quarterly contract is relatively large, while the price of the perpetual contract is more synchronized with the spot price due to its non-delivery feature.
The crossing of the quarterly contract basis value to the 0 axis is a point worthy of attention, which means that most market participants have changed their judgments on short-term and long-term relative prices. In other words, it can also be understood as the direction of the trend A change in judgment could be a signal of a trend reversal. In addition, the rare maximum value of the absolute value of the basis in a long period may also be a signal of a short-term inflection point.
Although the existence of the basis difference gives market participants theoretical arbitrage opportunities, considering the relatively low handling fees of the current derivatives exchanges and the time wear and tear in the manual trading process, in the absence of extreme basis difference , the feasibility of manual arbitrage (such as shorting futures while buying spot in the forward market) is not high.
(realized) volatility and implied volatility
The so-called realized volatility refers to the price fluctuation performance of an asset in the past period of time, so the realized volatility depends entirely on the historical price fluctuation of the underlying asset.
The implied volatility is calculated by bringing back part of the option data into the BS formula, and it is an indicator that reflects the expectation of asset price fluctuations for a period of time in the future. That is to say, one of the factors in the implied volatility is the known information of the existing options, which is not calculated using the data of the underlying asset, and can and can only reflect market participants’ expectations of the future volatility level of the underlying asset generally expected.
Although the implied volatility is forward-looking to a certain extent, it is mainly aimed at the expectation of "volatility", so it cannot directly guide transactions, and there is no tendency to be long-short or unilateral. However, in a unilateral market, if there is a particularly large change in the implied volatility, it should be regarded as an early warning signal of a change in the market.
In addition, it is worth adding that although there are not many regularities in the volatility value, the data has a very strong deviation from the return expectation. Index correction is also a potential reference method.
PCR
The put-to-call ratio in the options market is also called the PCR value. Common PCR values include volume PCR and open interest PCR, which represent the ratio of the trading volume (or open interest) of a put option contract corresponding to a certain target to a call option contract, and are generally used to predict market sentiment and the trend of the underlying asset.
If the PCR value climbs to an extreme high, it indicates that the market is oversold, which is actually a bullish signal; conversely, if the value is extremely low, it is a bearish warning signal, indicating that the market may be overbought State, bearish on the market outlook.
For the two PCR indicators of trading volume and open interest, trading volume PCR only considers the number of options traded within a certain period of time, which has high timeliness and can quickly reflect changes in market sentiment and style, and is more suitable for short-term forward-looking expectations . The open interest PCR is calculated based on the total open interest at each time point, and has high numerical stability, so it is more suitable for capturing long-term trend changes.
Option expiration
At present, the BTC/ETH option contract products provided by most platforms are divided into several types: current week, next week, current quarter and second quarter.
The weekly contract refers to the contract that is delivered on the Friday closest to the current trading day, and the next week is the contract that is delivered on the next Friday of the current trading day. The delivery date of the quarterly contract is relatively complicated to understand.
The quarterly contract means that the delivery date is the last Friday of the month closest to the current month in March, June, September, and December, and the delivery date of this contract does not coincide with the delivery date of the undelivered weekly/next-weekly contract ; and the second-quarter contract refers to the last Friday of the month that is the second closest to the current month in March, June, September, and December. The delivery date coincides.
Regarding the above-mentioned so-called "delivery dates do not coincide", an example can be given to facilitate understanding. Under normal circumstances, after the settlement is completed every Friday, a new next-week contract will be generated, and the previous next-week contract will become the current-week contract. However, after the settlement is completed on the penultimate Friday of March, there are only two weeks left for the quarterly contract to expire. This is actually a sub-weekly contract, so at this time no sub-weekly contract will be generated, but a new one will be generated. At the same time, the original second-season contract will become a current-season contract, and the original current-season contract will become a next-week contract. But in fact, it’s not a big problem if you don’t understand it. After all, the delivery date is confirmed when buying option contracts, and it will not change because of the above-mentioned changes.
Considering that the current share of the cryptocurrency options market is not large, and the share of options that can be exercised only accounts for a part of the expiring contract, there are not many cases of extreme fluctuations in the market on the delivery day. Further development, quarterly contract delivery date should indeed be regarded as a potential risk point. Since the specific delivery time of option products provided by most centralized exchanges is at 16:00 Beijing time on the delivery day, this time point also needs to be paid attention to.
