Bitcoin Returns, Volatility Expectations, and Basis Trading in 1H 2023
Summary
The release summarizes an institutional analysis of Bitcoin spot and derivatives markets during the first half of 2023. It reports that 98% of Bitcoin’s returns for the period occurred on eight of 180 trading days, illustrating how concentrated returns can make attempts to time long exposure difficult. It also says at-the-money options implied volatility indicated expectations of higher future spot volatility. For basis trading, it names instrument preferences, sentiment, supply and demand imbalances, liquidity, and interest-rate differences as potential sources of price differences among spot, futures, and perpetual swaps.
The text frames market-neutral basis strategies as one response to sideways conditions and mentions a tool designed to execute such trades, but it does not explain a specific strategy, provide trade examples, or report strategy performance. Its findings are summarized in a company announcement, and the underlying data, calculations, and assumptions are not included here. The return concentration and volatility expectations refer only to the stated period and should not be generalized to other markets or regimes.
Key ideas
- The release reports that eight trading days accounted for 98% of Bitcoin returns in the first half of 2023.
- It says at-the-money options implied volatility pointed to expectations of greater future Bitcoin volatility.
- Spot, futures, and perpetual swap basis differences may reflect liquidity, sentiment, rates, and supply-demand conditions.
- Market-neutral basis trades are presented as an approach institutions may use in sideways markets.
- The announcement omits the underlying methodology and does not demonstrate basis-strategy returns.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.