Tasks

• What are some trends around the price volatility for aETH, rETH, and stETH tokens?
• Swap activity?

Methodology

• We provide these metrics for price volatility analysis
  • Compare derivatives’ prices to ETH price
  • Derivative price pegged to ETH price ratio
  • Root mean square error on both raw price and pegged ratio
• We show total and weekly swap volume, swap count, and unique swapper count for swap activity analysis
• The swap count percentage by swap size and weekly average swap volume per transaction compared to ETH price for each derivative are depicted in the swap distribution analysis.

Note: The window length for calculating RMSE is 20 days, the common setting period SMA for calculating Bollinger Bands in price volatility analysis.

Compare derivative prices to ETH price

• The derivatives are strictly pegged to ETH price except for rETH from rocketpool.
• The rETH has a noticeable price gap until December, 2021.
• After December 2021, rETH looks pegged to ETH price with nearly periodic down spikes.

I.) Price volatility

Derivative to ETH price pegged ratio

• From ratio point of view, the rETH has outstanding volatility.
• aETH got the lowest volatility in price.
• stETH show the stable volatility trend except for few months at start and past few month that has low peggeg ratio.

II.) Swap activity

III.) Swap distribution

Total swap activity on various measures

• stETH is at the top in all measures, on both a total and a daily basis.
• The swap volume on stETH is $13B, while the rETH, which is the runner-up, has only $540M
• On the other hand, aETH has the smallest swap activity in all mesures

Weekly derivatives’ swap volume

• From a weekly point of view, the swap volume from stETH almost dominates the rest.
• The highest swap volume is in mid-May, the same period as the Terra crash event, which exceeded $2B in only a week.

Weekly swap and unique swapper count

• These two graphs on the right show the same trend as the abovementioned graphs in this section, in which stETH, rETH, aETH are the highest to the lowest in both measures.
• There are two peaks in the swap and swapper count, while there is only one peak in volume. The reason is that the ETH price dropped in that period, making the same transaction count less volume.

Swapper count percentage by swap size

• Even the aETH has the smallest value in all measures in the previous section, more than a half of swaps is larget than $10k.
• rETH has a wider $100 to $1k band compared to other derivatives.
• While stETH has a largest small swap ( ≤ 100 USD) portion which is around 7%.

Average swap size compare to ETH price

• In the first week of November, the average swap volume pre transaction on rETH is around $1M, which higher than the stETH’s peak in Apr 11.
• The rETH peak is in the same period as ETH price peak.

Conclusion

• The highest to lowest price volatility are rETH, stETH, and aETH, respectively, based on pegged ratio and price RMSE.

• The largest to smallest swap activity based on swap volume, swap count, and swapper count are stETH, rETH, and aETH, respectively

• More than half of the swaps on aETH are larger than $10k.

• Around 7% of stETH swaps are smaller than $100, the largest small swap portion compared to other derivatives.

• rETH has an outstanding $100 to $1k band compared to other derivatives.

• The rETH average volume per transaction peak is in the same period as ETH price peak, which is around 1M per swap.

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Root mean square error in price and ratio

• rETH has the largest RMSE, which means the price gap between rETH and ETH is the largest compared to aETH, and stETH.
• aETH has the smallest error, which confirms the excellent pegging between aETH and ETH price.