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 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
6. On-Chain
   6.1. Chain TVL Change
Appendix
Data Partners

Summary

Markets entered May on the back foot, still digesting April’s trade-driven volatility. While early signs pointed to de-escalation - tariff rollbacks and a temporary negotiation pause - policy signals remained erratic. In macro, equities retraced most of April’s losses, but rates remained unsettled, with poor auction coverage and sticky inflation keeping long-end yields elevated. Gold plateaued near record highs, and the dollar traded defensively throughout. Despite pockets of tactical strength in macro assets, cross-asset vol stayed high, with headline risk dominating day-to-day price action.

Crypto decisively outperformed. Bitcoin rallied to a new all-time-high of $111,965 on 22 May, ultimately closing the month at ~$110k: up 11.07% on the month (Figure 1.3). BTC dominance hit the highest level since January 2021 before ETH’s outperformance dragged it lower (Figure 1.6). It was promising to see that this rally was underpinned by strong structural follow-through as ETF flows reaccelerated mid-month with multiple +600 BTC days, including a 900+ day (Figure 2.2). Realised vol spiked mid-month as BTC’s sharp move drew in gamma buyers and forced liquidations (Figure 5.5a). Bearish positions were caught offside in the initial rally, with over $400MM short perp positions liquidated; after this positioning reset, leveraged traders continued to chase the rally to the upside, allowing another $400MM+ liquidation this time on long perp positions, a few days after BTC hit an all-time-high (Figure 4.4). 

The talk of the month was ETH as it had a breakout moment early in the month, jumping from ~$1,800 to over $2,600 in three days and finishing the month as the best performing large market-cap coin (Figure 1.1). The ETHBTC cross rebounded from sub-0.019 levels to peak above 0.026, before settling around 0.024 into month-end. ETH returns by timezone showed strength throughout all timezones, but largely concentrated strength during US hours (Figure 1.2b), and options markets reflected the move: 1W ETH implied vols spiked to ~85v (Figure 5.5b), with realised volatility running hotter than implied for most of the month (Figure 5.7b), and short-term ETH skews flipped negative (Figure 5.2b), suggesting demand for upside convexity returned. 

Overall, May marked a transition back to directional strength and structural conviction across digital assets.