Qume Market Mondays- 22 June 2020

Welcome to another edition of Qume Market Mondays!

Beijing has registered new cases of COVID-19 and worries mount in the US over the effect of the virus under the massive ongoing protests in the states. The investors are caught up between choosing market recovery figures and crosschecking market rallies with economic reality. However, stocks surged this week even amongst all uncertainty and the week saw both crypto and traditional markets alternate between closing in losses followed by gains and so on.

Last week saw Bitcoin rally up to $9,600 then fall back to $9,200, registering sideways movement for the most part with similar movements seen in indices worldwide. With the Fed aid still going strong, we expect the US markets to recover further and with the S&P 500 and BTC 1-month realized correlation being mostly positive since 13 May, we expect BTC to follow suit.

Bitcoin registered 44.39% returns in the 2nd quarter, which makes up for 10.33% loss in the last quarter. With aggregated open interest volumes increasing both in futures and options markets, we expect the second quarter returns to consolidate around 45%.

$930mn worth of options will expire this month, and as the aggregated open interest of options has risen remarkably, it should cross the $2bn mark (now at $1.8bn) before the expirations.

Options market has been mostly bullish with put to call ratios less than 1, for a month but bitcoin does not appear to be crossing the $10,000-$11,000 mark soon enough for some long on call options to be exercised. A good idea for investors will be to roll on to out of the money calls mounting to bullish expectations of the market.

3-month implied and realized volatility of bitcoin are converging down to 3%-4% range for the first time since March. This is good news for market expectations as 3-month realized volatility fell to almost 50% after the events of June 11 and has been falling ever since to meet investors’ expectations.

The ratio of BTC held in the top100 wallets to the total has been declining since April with a huge decline noted on 18 June. A dispersion of BTC among wallets implies a more mature accumulation rather than whale accumulation, which is usually bullish.


Other data sourced from www.skew.com

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