Contents

Summary
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 Total Derivatives Volume
   4.2 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
6. On-Chain
   6.1. Chain TVL Change
Appendix
Data Partners

Summary

Markets entered June in a risk-sensitive but balanced posture, navigating a volatile mix of geopolitical tension, trade negotiations, and dovish data surprises. Ceasefire optimism in the Middle East and traction on the Geneva trade agreement tempered early spikes in oil and gold, while soft CPI and PCE prints alongside a split Fed dot plot sent real yields lower and risk assets higher. The S&P 500 and Nasdaq closed at new all-time highs, and the 10Y Treasury rallied from 4.5% to below 4.2% as markets leaned into a Q3 cut. Despite the swirl of headline risk, volatility compressed across the board: equity skew, rate vol, and FX ranges all narrowed materially into quarter-end.

Crypto traded tactically and without clear directional conviction. BTC briefly pushed through $110k on 10 June, buoyed by steady ETF inflows and corporate treasury headlines, but the move failed to stick. Spot faded back into the $107k range by month-end, mirroring a broader pause across majors. ETH initially extended its ETF-fuelled rally to highs above $2,800 but retraced steadily into quarter-end, closing around $2,400. The ETHBTC cross gave back most of its May gains, reversing from 0.026 to sub-0.023, and timezone returns were more balanced than the previous month (Figure 1.2a/b).

Structural flows offered little support. BTC options briefly flipped to call-heavy positioning early in the month before reverting, while ETH saw persistent strangle and call spread selling. Skew and risk reversals flattened out (Figures 5.2, 5.3), and implied vols saw a mild compression on the month across tenors (Figure 5.5). ETH 1M IVs, which spiked above 70v mid-month, retreated to the low 60s, while BTC 1M implieds trended into the high 30s. Neither the $15B BTC options expiry on 28 June nor ETH ETF approvals materially repriced risk. Basis remained healthy, with Sep BTC futures closing near 5% annualised (Figure 3.4a), and funding remained neutral to modestly positive (Figure 3.3). Liquidations in perpetual futures were notable, with multiple $200MM days on both the long and short sides, including some $500MM long liquidations (Figure 4.2).

Overall, June marked a reset in positioning and volatility. Spot flows cooled, option demand turned defensive, and the vol surface flattened. Crypto held firm but lacked the conviction of May’s trend breakout.