1)We was interested in testing if Asia session was more negative delta than other sessions,collected data going back to July for Bybit and the CME, and November for Bitmex. Each dataset looks like the following: https://twitter.com/ISilico/status/1346319291830984706

2)The Asia, London, CME, and PreClose sessions are all dummy variables and I’m testing whether they have significantly different time effects on Volume and Delta % (which controls for volume: Delta % = Delta/Volume).
Start with CME

3)CME shows some predictable but very interesting results – so from 9 am – 2pm, we’d expect around 39 contracts per hour traded on the CME, the preclose is slightly lower 26 contracts, the Asia session is not statistically significant, and surprisingly the London session

4)from 2 am – 9 am has the most expected volume with an expected 54 contracts traded per hour.
When controlling for Volume and testing Delta%, we get the following:

5)The London session shows significance at the 5% level and the estimate is ~3.5% positive delta (important to keep in mind that this data reflects the bull market – and it seems what happened was greater trading during the London session with slight buying bias on CME).
BITMEX:

6)This is pretty easy to interpret,estimate for Asia session again is not statistically significant, however all the other ones are (London, CME, and Preclose = Intercept).Data shows that PreClose trades ~$90 million per hour, and London and CME sessions trade ~$125 million per h

7)When considering delta % of volume, only statistically significant variable is Asia and the estimate for session is ~-1% delta volume
Bybit:

8)Bybit largely confirms Bitmex results – CME and London sessions are the heaviest in terms of volume (although London and Asia are only statistically significant at the 10% level). If you are okay with more lax statistical significance, Asia seems to show less trading volume

9)With respect to d% of v for bybit – Asia session and Preclose session are statistically significant – with the Asia session extremely significant (p-value 0.0004), and the coefficient estimate for Asia suggests that the delta% of volume is expected to be~-1.5% (0.016-0.031).

We let you know if I find anything interesting volatility wise tomorrow( % from open to Low, ranges, etc.)
#isilicothread