SignalPlus Volatility Column (2023.07.05): Market Volatility and Sluggish Bulk Trading.

特邀专栏作者

2023-07-05 19:06 (UTC+8)

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The cryptocurrency market has once again disappointed everyone's expectations. The BTC/ETH prices continue to decline, and the trading volume of options in the market has decreased by half compared to yesterday. Bulk traders also show no interest. The implied volatility of options with the main expi

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Cryptocurrency market has once again disappointed everyone's expectations, with the prices of BTC/ETH continuously decreasing (24H BTC: -0.456%, ETH: -0.667%). BTC has dropped below 31000, and the target for ETH has changed from "breaking 2000" to "holding at 1900". The volume of options trading in the entire market has decreased by half compared to yesterday, and bulk traders are not interested at all (Deribit retail trading volume vs bulk trading volume is close to 3:1). Implied volatility for the end of July has dropped significantly, currently 28 JU L 23 for BTC/ETH are only 41.96% (-2.71%) and 43.13% (-1.66%) respectively, and the surrounding terms have also been lowered accordingly.

Skew, which was previously high, finally stopped smiling today, with the overall term 25 dRR collapsing and generally declining by 1 to 3 basis points. The overall volatility has returned to a relatively low level within the past two weeks.

Source: Deribit

Source: SignalPlus

Source: Deribit

Source: SignalPlus

Today's largest ETH transaction is a customized cross-term ratio call spread. Traders still expect a breakthrough of 2000 in the short term. They bought 2500 contracts of the 14JUL23-2000-C, but they also don't believe there will be further momentum after the breakthrough, so they sold a large amount of OTM Calls at the end of the month (2500 contracts of 2200 and 5000 contracts of 2300).

In addition, bulk traders are still focusing on longer-term periods. 1500 ETH December Call Spreads were sold, and in the same term, there were a lot of 20000 vs 55000 Risk Reversal transactions for BTC.