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Executive Summary
1. Market
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BTC at $73.7K (46th percentile, down from 72nd last week) fell -4.7% on the week; ETH at $2.0K (9th percentile, near a 90-day low) dropped -5%. RV stayed compressed: BTC 7D RV 19.2%, 30D 24.9%, RV ratio 0.77x. ETH VWAP spread at -19.4bps flagged persistent intraday selling. BTC spot volume at $21B is a 90-day low; deriv/spot ratio dropped from 4.59x to 2.41x as derivatives volume normalised alongside spot.
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2. Liquidity
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BTC spread widened to 0.5bps with level percentile back at the 96th (was 34th last week): liquidity stress returning. Bid imbalance dropped to 48.0% (25th) with depth concentration at 23.8% (25th): sellers leaning in and book fragmenting near mid. ETH spread held at 0.7bps with depth at $186M (75th+) but bid imbalance also weak at 49.0%. The asymmetry is visible: BTC stress, ETH stable on the surface.
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3. Rates
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Funding stayed elevated with longs paying carry into falling spot. BTC at +5.6% APR (94th percentile), ETH at +7.5% (98th, 90-day high), SOL at +7.6% (94th, flipped positive from -0.8%). BNB the lone exception at -5.6% APR. Basis improved: BTC 30D basis at 2.4% APR (75th+) and ETH at 3.1%; delta-neutral carry trade returning. Term spreads negative across the cohort: backwardation in the back end.
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4. Positioning
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BTC L/S at 1.52x (75th+, up from 1.31x) and longPct at 60.3%: BTC positioning extended too. ETH L/S at 2.49x (90-day high), longPct 71.3%. SOL at 3.09x and XRP at 3.08x mark broad alt-long stretching. BNB the outlier at 1.45x (25th). Liquidations spiked sharply on BTC and elevated on ETH, confirming forced deleveraging on the long side as spot fell.
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5. ETF Flows
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BTC ETFs marked a -4-day negative streak with -$1.1B over 7 days (worse than last week's -$867M). Daily flow at -$136M. ETH on a -2-session streak with -$146M over 7 days. AUM dropped sharply: BTC at $101.4B (from $108B last week); ETH at $9.0B at the 0th percentile (a 90-day low). Last week's +1/+2 streak inflection has fully reversed; the regime change was rejected.
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6. Stablecoin
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USDC supply held at a 90-day low ($65.2B, 0th percentile) with -$437M over 7 days, still deeply contracting. The new standout is PYUSD: -$535M over 7 days dropping the level from the 31st percentile last week to the 1st (90-day low). USDT supply steady at $188B (89th, 90-day high) but velocity at 1.59x (25th percentile, lower than last week). USDe and USDS roughly stable. US-regulated stables in retreat across the board.
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7. DeFi Lending
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Total DeFi lending TVL at $27.3B (4th percentile), near flat from last week's 7th. Utilization at AaveV3 at 41.1%. The headline shift continues: all-protocol borrow APR up to 5.7% (from 4.7% last week and 2.3% the week before), with compoundv3 borrow APR spiking to 67.0% (from 49.5%) at the 90-day high. Liquidations contained at $1.9M; revenue at $2.7M flat. Borrow costs repricing despite stable utilization.
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Methodology
Universe. Spot and derivatives data cover BTC, ETH, SOL, XRP, BNB, DOGE, AVAX, LINK, UNI, AAVE and WLFI across the major institutional venues: Binance, Bybit and OKX. Stablecoin coverage spans USDT, USDC, DAI, USDS, USDe and the long tail across Ethereum, Tron, Arbitrum, Optimism, Avalanche, Polygon, BNB Chain and Base. DeFi lending metrics aggregate Aave v2/v3, Compound v2/v3 and MakerDAO across EVM chains.
Price construction. The headline close on each asset references the highest-volume instrument on each day, typically the Binance perpetual for BTC and ETH. VWAP is volume-weighted across all instruments and venues for the day, computed as the sum of close times volume divided by total volume. All return-based metrics, including realized volatility, rolling correlation, skewness and kurtosis, derive from the cross-venue VWAP series rather than any single venue's last print. Using VWAP avoids non-deterministic aggregation noise that would otherwise contaminate rolling windows.
Realized volatility. Annualised standard deviation of daily log returns, scaled by sqrt(365). 7D RVol uses a 7-day trailing window, 30D uses 30. The RV ratio (7D divided by 30D) flags acceleration when above 1 and deceleration when below.
Cross-asset correlation. Rolling Pearson on daily log returns of VWAP. 30D and 90D windows reported on the BTC and ETH series.
Polarity. Every metric carries a polarity flag describing whether higher values are positive, negative or neutral for the asset or market. Bullish metrics (polarity +1) include net flows, holdings, volumes and TVL, where higher is better. Bearish metrics (polarity -1) include liquidations and funding rates, where higher signals stress (positive funding means longs are paying shorts). Neutral metrics (polarity 0) cover supply levels, dominance, chain share, options Greeks, macro reference series, and most positioning and rates context fields, where direction has no inherent good or bad interpretation. Polarity is set per metric in the catalog and feeds the colour rules below.
Percentile rankings and colouring. Every "90D Pctl" indicator computes the rank of the current value within its trailing 90-day distribution. The colour applied to a cell combines polarity with percentile rank. For bullish-polarity metrics, values near the recent high tint green and values near the recent low tint red. For bearish-polarity metrics the mapping inverts: values near the recent high tint red, values near the recent low tint green. Neutral-polarity metrics tint amber throughout, with deeper amber near the high and low extremes of the distribution; the colour conveys position in the 90-day range without implying good or bad. Across all polarities, shade intensity (light versus dark) scales with proximity to the distribution edge.
Sign-aware flow colouring. Flow-type metrics (ETF daily flows, stablecoin net mints) apply an additional sign-aware rule on top of the percentile-rank colour. On a bullish-polarity flow metric, negative values always tint red and positive values always tint green, with intensity still drawn from the percentile rank. This prevents a "less negative than usual" outflow from rendering green just because the 90-day distribution skews negative.
ETF flow streak. Signed consecutive days of same-direction flow, counted only over days with non-zero reported flow. Weekend rows and any rows preceding a delayed source refresh carry the prior streak forward without incrementing.
Liquidity. Spot order-book depth measured at 5, 10, 20, 50, 100 and 200 basis points from mid-price, summed across the covered venues. Depth values are USD-equivalent at the venue's mid. Spread metrics report the bid-ask spread in basis points; lower readings reflect tighter, more liquid markets.
Funding and basis. Perpetual swap funding rates are sampled at the venue's reporting interval (typically 8 hours) and annualised. Cumulative funding sums the realised rate over 7, 30 and 90-day rolling windows. Term basis (7D, 30D, 90D, 180D) is derived from the quarterly futures premium to spot, annualised to APR. The term spread captures the slope across the front-month and back-month basis curves.
DeFi. Lending metrics (TVL, total borrowed, utilization, borrow APR, liquidations, protocol revenue) sourced from on-chain protocol contracts via daily aggregations. The ETH borrow-vs-staking spread compares the cross-protocol weighted-average ETH borrow APR against the 7-day staking APY for ETH-collateral liquid staking tokens including ankrETH, cbETH, lsETH, oETH, sfrxETH, stETH, swETH and wbETH.
Refresh cadence. Reports build T+1 from end-of-day data. ETF flow data refreshes on US trading days only; weekend rows reflect the Friday close. Source freshness is verified at build time, and sections drawing on delayed upstream data carry an explicit "As of [date]" label in the panel title.
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Links & Resources
Platform
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ETF Cost Basis Series
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- Part 2/3: Who Breaks First (ETF Cost Basis)
- Part 3/3: The Stress Test (ETF Cost Basis)
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