A Brief Look at Market Structure
AUG 26, 2021 • 4 Min Read


Disclosure: Delphi Ventures and members of our team have invested in BTC and ETH. This statement is intended to disclose any conflict of interest and should not be misconstrued as a recommendation to purchase any token. This content is for informational purposes only and you should not make decisions based solely on it. This is not investment advice.
Key Takeaways
A useful metric to gauge leverage is the ratio between BTC’s open interest across futures and perps, and its total market cap. When the ratio is rising, open interest is growing faster than market cap and vice versa. On its own, this probably isn’t a very useful data point. But with the added context of price and trend structure, we can actually pull away some useful insights.
Implied volatility for near-term BTC options have been trending down for a couple of weeks now. Realized volatility, or actual volatility, has been a lot lower for the same time horizon.
CME’s open interest increased over the last few days, while open interest on crypto-native exchanges took a tiny hit. With price moving down on shorter time frames and open interest on CME ticking up, this is a sign that institutional players on CME might be positioning for further downside.
Ethereum DEX volume has fallen significantly relative to spot volumes on the big three centralized exchanges. The highest readings are from DeFi summer, where the mania was more or less contained to on-chain primitives. But as the market took off in late 2020, the ratio DEX to CEX volume fell despite an exponential increase in DEX volume (because CEXes were doing much more volume too).
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