A distorted market
The 3mth futures basis on CME has plunged to -7.2% over the last week, as CME futures trades at a record-high discount to spot, as elaborated in detail further below.Preview
CME in major backwardation
The annualized futures basis on CME is exceptionally negative. To add to the negative flows on CME, we note that the futures term structure is in a state of extreme backwardation.Preview
ProShares’ short BTC ETF exposure at ATH
The short exposure of BITI has grown by 120% since November 7 and sits at an all-time high short exposure equivalent to 6,785 BTC, up from 3,065 BTC.Preview
Massive growth in open interest, non-ETF contribution surges
Apart from ETFs, organic activity in CME’s BTC futures surged last week. Open interest has grown past 90,000 BTC, and the surge is far from caused by ETFs alone.Preview
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A deteriorated market structure
Bitcoin derivatives have not been similarly distressed since the aftermath of March 12, 2020. The charts above elaborate on the massively bearish positioning across all BTC-related instruments. To provide context, we illustrate the actual, unannualized discount of CME’s BTC futures versus the spot market below. CME’s November contract has traded at an extreme discount to spot in the last week. On average, CME traded 3% below spot in the last few days. These discounts are broader than what we saw in the days following the March 12, 2020, collapse in crypto markets, and CME’s futures currently trade at an all-time high discount to spot.Preview
Institutions are back – But they are positioned extremely bearish
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