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Block Scholes Platform Introduction for BitBNS Users

March 20, 2023

Block Scholes’s data and analytics platform provides access to both observed derivatives market data and derived data analytics for BTC and ETH, for a range of frequencies and source markets. In addition, it offers a complete suite of tools to both monitor current market data and analyse historical market conditions.

Futures Prices

Our tool allows you to plot and monitor BTC and ETH future prices at several market-implied, constant maturities. These series are constructed from the set of constant expiry futures listed and traded on exchanges at each timestamp.

In this chart you are able to add up to 8 different maturities on a single chart and display the price history of those implied BTC and ETH forwards going back to 1st Jan 2020.

instead of “tenor” to see a list of all traded futures contracts that will appear for you to choose for analysis.

Term Structures

In addition to implied and observed market pricing data, we also offer plots showing the futures price term structure, which shows the forward price as a function of tenor in days. This term structure can be displayed both in market price and in spot-yields, implied by the future prices’ premium/discount to spot prices.

The utility of this chart is in the comparison of futures markets conditions across historical timestamps: plotting the curve at multiple dates in the past allows users to see how the curve has reshaped over time.

Those institutional grade futures price metrics are complemented by a wealth of historical ancillary data, including trading volumes and open interest broken down by contract, spanning the lifetime of its trading on the exchange.

The “Spreads Heat Map” feature allows users to get a sense of how the futures curve is reshaping at a glance. Each cell in the heatmap represents the spread between two future prices on the future curve, showing the difference between the expiry on the y and x axes. The spread’s cell is coloured based on the z-score of each of those spreads against its own 30-day history: bright red indicates it is higher compared to its recent history, whilst a deep blue indicates that it is lower.

Perpetual Swaps

Similar tools are available to help users monitor and analyse the Perpetual swaps contracts, highlighting the open interest, traded volume, and price of each coin’s swap contract. 

Crucially, this also includes the continuous funding rate paid from long perpetual swap positions to short positions in order to maintain the peg of the contract to the underlying spot price. This can be used as a measure of the relative demand for the perpetual swap’s exposure compared to holding the coin itself.

Historical Analyser

All of our data is available to be pulled into the “Historical Analyser” tool to perform bespoke analysis on any of the assets or time series that we offer, accessible using the “Data Search”. This allows users to browse the library of data we have available, and pull in data series for analysis by double clicking on any time series of interest. Once selected, it will appear in the workbook below the chart ready for plotting or further analysis.

Use this tool to add as many data series as you wish, before clicking on the “Functions” button to open a list of functions that can be used to analyse and manipulate the data of each of the time added to the workbook. Like each data time series, each function lives in a new row of the workbook, allowing functions to be composed with data time series or other functions alike to create advanced analytical tools directly in the “Historical Analyser”.

In the example below we have pulled in the spot price for BTC in row A and spot price for ETH in row B by either using the “Data Search” function and navigating to the spot price index for each coin, or directly typing in the name of the series into the “Expression” field in the workbook.

Then, in row C, we use the “regress” function (regress(A,B)) to regress BTC’s spot price against ETH’s spot price at the same timestamp. This function is available by double-clicking it’s description in the “Functions” tab, or available to be entered directly into the workbook.

This produces a regression of row B (ETH’s spot price) onto row A (BTC’s spot price), with the fitted regression line plotted in blue and the latest timestamp plotted using a red triangle.