Charts of the month:

Figure 1: Event-driven price action in October, with a noticeable number of news items having a direct impact on price. Among the negatives, a number of regulatory and legal actions against derivative exchanges, while among the positives we see increasing Bitcoin adoption among traditional companies as a treasury management tool, and easier access to the market for hundreds of millions of retail customers with PayPal allowing crypto transactions from next year. Source: TradingView

Commentary:

Figure 2: Relative Value trades among Bitcoin and four of the most representative FTX index products: ALTPERP tracks the most well-capitalised currencies ex-BTC (ETH, EOS, XRP, BCH, BSV, LTC, BNB), MIDPERP tracks more than 20 mid-cap coins (ALGO, CRO, DASH, NEO, XTZ, COMP, UNI, MKR, …), SHITPERP tracks 50 low-cap currencies, DEFIPERP tracks more than 25 DeFi coins. Source: TradingView
Figure 3: Focus on the one-year performance of Bitcoin vs ALTPERP and MIDPERP. In both cases, we reached a rejection/breakout level, which could indicate a cyclical comeback of the “Alt-season” in the coming months. Source: TradingView
Figure 4: Comparison of the 3-month rolling basis for Bitcoin Futures on FTX and BitMex. It is interesting to note how the futures curve has remained below the levels seen in August, despite the price reaching higher. Moreover, it can be observed how BitMex contracts have lost most of their future value, trading close to zero premium. We expect this to remain the case until more regulatory/legal clarity is provided. Source: Skew.com
Figure 5: Weekly Moving Average of the variable borrowing rate on the p2p DeFi platform Aave for USDC overcollateralized loans. Rates have remained low throughout September and October, only to rally towards month-end. Source: Messari
Figure 6: The short-term, 1-month, skew has moved from positive to negative during October, signalling an increasing interest in upside optionality, and more in line with the longer-term (2-month and 3-month) skew measurements. Source: Skew.com
Figure 7: Open Interest on three representative venues: Huobi, BitMex and CME. The first has seen a small increase YTD but overall quite volatile; the second has lost its dominance due to the severe mispricing during March 12th; the third showcases the increasing interest of institutional investors to include Bitcoin in their portfolio, with a relatively stable growth throughout the year CME now rival. Source: Skew
Figure 8: Number of Bitcoin held in centralised exchanges has shrunk by approximately 15% since March. Source: glassnode

Disclaimer

Market neutral quantitative approach to investing in cryptoassets.