In a recently published post on LinkedIn, David Duong, CFA, Head of Institutional Research at Coinbase, provided a detailed analysis of the crypto futures market, focusing on perpetual futures contracts (perps), trading volumes, and open interest across various exchanges.
Perpetual Futures Contracts on Coinbase:
- Volume Normalization: Duong notes that the volumes in perps on Coinbase’s international exchange have normalized to a daily average of around $120M over the last five days, down from $165M the previous week (August 13-19).
- Two-Day Surge: A significant two-day surge in volumes to $260M and $287M on August 17 and 18 occurred amid what Duong views as a primarily liquidation-driven market.
- Month-to-Date Comparison: The daily perp trading volumes on Coinbase’s International Exchange have averaged $127M in August, a 64% increase over the last two months compared to $92M and $63M in June and July.
Disparity with Non-US Exchanges:
- Declining Volumes: In contrast to Coinbase, non-US exchanges have seen a decline in net daily trading volumes in BTC and ETH perps by over 31% between June and August.
- Reasons for Disparity: Duong explains that the growth disparity can be attributed to Coinbase International Exchange’s recent launch in May, and a lack of volatility in recent months has also kept market players on the sidelines.
- Open Interest Decline: The total open interest (OI) for BTC and ETH perps across non-US exchanges has declined from a notional value of $17.8B prior to last week’s liquidation cascade to under $12.2B as of August 24.
- Limited Large Liquidations: Duong believes that additional large liquidations should be limited as OI weighted funding rates have returned to positive territory for both Bitcoin and Ether, averaging +0.20% and +0.33% respectively over the last three days.
Institutional Participation in Traditional Futures:
- CME ETH Contracts Increase: Duong observes an increase in institutional participation in CME ETH contracts, with a 10.8% increase in OI between August 17 and August 23 to a notional value of $348M.
- Non-US Exchanges Decline: A 2.5% decline was observed on non-US exchanges (excluding Coinbase) to $482M, though this figure is nevertheless above the YTD notional average of $452M.