Bitcoin Volatility Spikes as CME Basis Falls to 2022 Lows
The recent Bitcoin market has seen a significant increase in volatility, with realized volatility reaching 39.5 on September 4, exceeding the market charge of 39.15. This surge in volatility led to a decrease in volatility-selling positions after a single day moved Bitcoin by 3.8%, causing a price rise of 3.4%. The weekly low was marked at $77,534 on September 2, following Brent oil's increase to $95 due to US strikes hitting Iranian targets.
The ETH/BTC ratio remained stable at 0.0313, while most calls on the board concentrated at the $80k strike with 20,000 contracts. A break below $78.5k would meet fewer buyers as protective puts underneath thinned out all week. The CME Bitcoin annualized basis fell to -2.35%, marking the deepest backwardation since the November 2022 FTX collapse, indicating that traders expect lower prices in the future.
According to Alex Blume, CEO of Two Prime, the combination of a large directional buyer and exiting hedged yield farmers creates an unusual market structure, with the basis trade largely finished. CME Bitcoin open interest recently fell below $10 billion, while Strategy purchased 4,603 BTC at an average price of $80,318 using $603M of ATM proceeds.