0/ What’s happening since Friday’s flash crash?
In today’s Delphi Daily, a full post-mortem on the recent volatility. We examine the data on open interest, bid-ask spreads, and funding rates.
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1/ Leveraged longs took a senseless beating over the last week and it was perhaps overdue.
BTC’s open interest on perps/futures fell from just under $30B in late November to just over $15B today.
Sentiment has taken a turn for the worse.
2/ From the November peak to today, $BTC open interest is down a whopping 50%.
Too many leveraged longs and a lack of spot buying is a sign that a market is peaking. When there’s nobody left to buy/long, price momentum to the upside is severely limited.
3/ What really caused prices to fall so quickly?
The answer is an utter collapse in market microstructure.
The bid-ask spread for a $5M order in perp markets ranges from 0.1% to 0.5% (on bad days). On this occasion, spreads for a $5M order momentarily rose as high as 2-11%.
4/ Funding rates turned negative as levered longs were wiped out, and sentiment has been understandably poor since.
Crypto markets are sensitive to behavioral factors, so a mid-term collapse in sentiment would not be surprising if things don’t pick up soon.
5/ $LUNA looks to be a moon mission as the only top 10 coin in the green over the last two weeks.
Despite erratic performance across the market, $ETH and $BNB are holding much better than other large caps.
6/ Tweets of the day
How to survive crypto winters
7/ What’s popping with DeFi?
8/ An interesting read on NFTs, IP ownership, and copyright laws
9/ For the full report that inspired today’s thread
members.delphidigital.io/reports/a-post…
10/ Crypto moves fast. Delphi has you covered. Sign up here to get Delphi's free daily newsletter delivered right to your inbox every weekday
delphidigital.io/daily/
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