11 Oct 2021
Futures premiums reaches highest levels since Mid May
The 3-month annualized basis climbs further across all derivative exchanges, reaching levels not seen since May 15th.
While CME’s front-month contract trades at a premium to the other front-month futures, the 3-month contract trades substantially lower than the other quarterly futures contracts. With bitcoin’s strength, bullish traders have entered. Now, the futures basis is climbing across all platforms, with the basis premiums on most exchanges trailing above the peak of El Salvador’s legal tender day. This, accompanied by increased open interest, suggests that leverage towards the upside is picking up.
Nevertheless, the current 3-month rolling basis is still substantially lower than its levels throughout March and April this year, where the basis mostly fluctuated between 25-45%. We are thus far away from the same levels of hope and hype in the futures market as we saw the last time bitcoin traded at these price levels. Still, it’s worth monitoring this situation closely. High basis premiums on the futures and a rising open interest have previously been a recipe for long liquidations.