Contents

Summary
March Spotlight: Crypto Seasonality - Quantifying the Calendar Edge
1. Performance
   1.1 Top 10 Coins by Market Cap
   1.2 Returns by Timezone
   1.3 BTC Monthly Returns Matrix
   1.4 BTC and ETH monthly returns YTD
   1.5 Fear-Greed Index
   1.6 BTC dominance
2. ETF Flows
   2.1 Aggregate BTC ETF Flows
   2.2 BTC ETF Flows in November
   2.3 BTC ETF Share by Product
3. Basis & Funding Rates
   3.1 CME Futures Basis (Monthly)
   3.2 CME Futures Basis
   3.3 OI-Weighted Funding APR
   3.4 Futures Basis
4. Liquidity, Volumes, Liquidations
   4.1 Spot BTC Order Book Depth
   4.2 Spot Order Book Ask-Bid Difference
   4.3 Total Derivatives Volume
   4.4 Perpetual Futures Liquidations
5. Options
   5.1. BTC and ETH Put/Call Ratio
   5.2. Skew
   5.3. Risk Reversals
   5.4. Butterfly
   5.5. IV
   5.6. RV
   5.7. IV-RV
   5.8. Term Structure
   5.9. ETH-BTC IV Spread
All March Spotlight charts (Page 34)
Appendix
Data Partners

Summary

• This month’s spotlight is on seasonality in crypto markets - the report takes a deeper dive into dissecting seasonality patterns in crypto, looking beyond simple returns. 

• ETH continued its underperformance last month with the worst return amongst the top 10 market cap coins, while TON led the pack (Figure 1.1).

• This was the first March since 2020 that BTC was down (Figure 1.3)

• BTC dominance continued to climb, surpassing the February high of 62% (Figure 1.6)

• With BTC’s slight retreat in mindshare since the start of the year, the monthly ETF flow was not interesting (Figure 2.1). There was a single 400+ BTC outflow day at the start of March, followed by two consecutive 350+ BTC outflow days, but this was slightly offset by 10 consecutive inflow days, albeit at smaller sizes (Figure 2.2)

• There was a general decline in global derivatives trading volumes across last month (Figure 4.3) as well as smaller magnitudes of liquidations, perhaps due to whipsawing markets and a malaise across traders that is suppressing risk appetite.

• There was a sudden pop in both BTC and ETH’s put/call ratio at the end of the month, with the latter going up from 0.5 to 0.7, suggesting increasingly defensive positioning (Figure 5.1). This came with a notable dip in short-term risk reversals (Figure 5.3) and also an increase in butterflies (Figure 5.4).  Implied Volatility was consistently higher than realised volatility for both assets (Figure 5.7).