On BitMEX, in the early hours of Friday 13 March, a whale moved on board with $200 million worth of BTC and a few minutes later a DDoS attack drove the price of bitcoin down to 3,600 USD.(see our article on this) But unusual events were unfolding already, the day before…

Figure 1: Minute-Level Prices of Major Bitcoin USD Derivatives, 09:30 to 12:00 UTC, 12 March 2020

Currency traders have recently been fined billions of US dollars for collusion using on-line chat rooms to share sensitive information and manipulate trades. Could BitMEX research’s channels on the lightning network be providing a more private venue to chat? And why does a ‘research’ network have channels with over 250,000 dollars on account?

Figure 1: BitMEX Research Lightning Network @ 18:00 UTC on 15 March 2020

There are 600+ BitMEX Research channels on the Bitcoin lightning network shown in Figure 1.[1] Full details of the node activities are given here.[2] What can the extent of this global ‘research’ communication be… they are blogging, but are BitMEX planning to publish a book?[3]

Officially, US…

$370 million worth of bitcoin and tether were sent to BitMEX, Huobi and OKEx on the same day that bitcoin’s price spiraled down to $3,800.

The distribution of crypto assets is often uneven, resulting in some entities holding large proportions of a crypto asset’s total supply. For instance, each one of approximately 9,000 addresses currently hold bitcoin (XBT) that is worth at least $1 million.[1] Such entities are called ‘whales’ because they have the potential to cause sudden and massive price moves. …

Option market makers are among the most knowledgeable and highly-informed traders on any underlying. We describe some simple indices for monitoring and learning from their behaviour.

Figure 1: Deribit OTM Bitcoin Put-Call Ratio and Daily Option Contracts Volume

Deep out-of-the-money (OTM) put options are an insurance against a price fall. On the maturity date, which for bitcoin weekly options on Deribit could be just a few days away, one has the option to sell at a much lower price level than now. So you’ll only exercise the option if there is a crash, i.e. the market price goes below the option strike.

Otherwise, the option expires unexercised. The market maker pockets a…

Bitcoin VIX indices recently hit all-time highs. What sort of sums will the issuers of bitcoin variance swaps be paying to the lucky few who purchased them recently?

Figure 1: VXBT — Bitcoin Volatility Indices for Different Maturities

The greatest bitcoin bashing so far occurred in the early hours of 12 March during a coordinated sell-off on bitcoin futures and perpetuals exchanges, Huobi and BitMeX in particular (see our article on this). Options followed suit, as we can see from the CryptoMarketRisk ticker x.VXBT shown above, which represents the bitcoin VIX of maturity x days for x = 7, 14, 21 and 28.[1]

US stocks are crashing so the prices of ‘safe-haven’ assets like gold should be going up. Except they are not.

Figure 1: Spot Price of Gold and the S&P 500 Index, 19 February to 13 March 2020

Purchasing gold is the tried and tested solution to a global market meltdown and it worked just fine last time. During the worst month of the 2008 financial crisis the correlation between daily returns on the S&P 500 and gold was minus 41%. That is, when US stocks go down gold goes up.

But during the past month, indeed the worst month for the US stock market since 2008, gold’s correlation with the S&P 500 has been plus 20% (see…

Global equity markets have fallen by 30% since the S&P500 plummeted from its all-time high in mid-February. This is already far worse than during the banking crisis on 2008/9.[1] But safe-haven assets like gold and bitcoin are falling too. What can explain this bizarre behaviour?

S&P 500 index (blue), gold spot price (orange) and the price of bitcoin (yellow) 19 February to 13 March 2020

Historically, investors protect their returns during times of turmoil by switching into safe-haven assets, so-called because they normally have low or negative correlation with equities. For instance, between 15 September and 15 October 2008 the correlations between the S&P 500 index and gold, or the Swiss Franc, or US Treasuries were all around minus 40%.

US equity profits since Trump’s reign began have been wiped out in a few weeks. Still, fueled by despicable greed, we are witnessing financial market manipulations on a scale and frequency that have never been seen before. The lack of integrity by a few powerful banker and asset managers is causing a major financial market melt-down from which the current form of our global economy may never recover.

Notes: The Market Abuse Directive (MAD) of the EU is not enforced on the US. Instead, oversight of the tactics deployed to move asset prices by manipulating financial derivatives is the responsibility of the Commodity and Futures Trading Commission (CFTC). To be as “MAD as a March hare” is an English idiom derived from the observed antics during the March breeding season of the Lepus Europaeus. March Madness is an allusion that can refer to any other similarly excitable and unpredictable manner of behaviour.

As Spring emerges on the northern hemisphere, an epidemic of misconduct has developed in financial markets. Under the various international laws about market abuse,[1] surveillance teams in trading companies all over the…

There’s been a lot of hype about a bitcoin fear index.[1] And even a ‘fear and greed’ index.[2] So be careful of a name.

The original ‘investor’s fear gauge’ is the VIX index

The VIX is derived entirely from a snapshot of current prices of standard European puts and calls on the S&P 500. It is an index, commonly known as the stock market fear gauge.

The index formula is the fair-value swap rate for realized volatility over the next 30-days.[3] As such it represents informed traders’ views about S&P stock price volatility over the next month. …

Since 15 January 2015 Bitfinex credited tether (USDT) deposits 1:1 for USD but this parity ended on 27 November 2018 as Bitfinex introduced trading on the USDT/USD cross-rate. On 21 December 2018 the exchange introduced margin trading on that pair with up to 3.3x leverage. On 11 March 2019 they listed BTC/USDT but until then BTC on Bitfinex was effectively denominated in USDT. On 24 April the New York Attorney General (NYAG) office alleged that crypto exchange Bitfinex lost $850 million and subsequently used funds from the very closely-affiliated USDT operator company, Tether, to secretly cover the shortfall. A positive…


The Medium account for the CryptoMarketRisk team in the Quant.FinTech research group at the University of Sussex Business School. Views are those of the authors

Get the Medium app

A button that says 'Download on the App Store', and if clicked it will lead you to the iOS App store
A button that says 'Get it on, Google Play', and if clicked it will lead you to the Google Play store