SignalPlus Volatility Column (2023.07.06): Volatility rises, bulk trading remains bullish

特邀专栏作者

2023-07-06 20:33 (UTC+8)

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Individual retail investors have shifted their focus to bearish options for short-term trading, while institutional investors continue to adhere to a bullish long-term investment strategy.

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Individual retail investors have shifted their focus to bearish options for short-term trading, while institutional investors continue to adhere to a bullish long-term investment strategy.

When the market believed that BTC/ETH would continue to enter a consolidation and oscillation phase similar to the previous few days, after settling at 16:00 today, BTC quickly rose again, surpassing 31000 and reaching a high point near 31500, which is the highest in nearly 13 months. The volatility also regained its lost ground due to this wave of market movement, erasing the daytime decline. Although there was a downward trend in the market after yesterday's option settlement, the price rebounded before the settlement, and ultimately BTC and ETH were delivered at 30826.49 (+0.14%) and 1926.9 (-0.52%) respectively.

Earlier, due to the lack of continued upward momentum in cryptocurrency in recent days, and nearing the 30000/1900 boundary, some investors' patience gradually diminished. The volatility of options increased, and the short-to-medium-term Vol Skew skewed towards put options, bringing ETH 25 dRR back into the negative value range. The focus of retail traders' transactions in the market also shifted towards put options, and the P/C Ratio of BTC options reached a rare 1.21. Traders opened a large number of PUT positions expiring this Friday, concentrated in the strike price range of 28000-30000. In addition, nearly 1400 31000-C options were sold on Deribit in the past 24 hours, with most of the transactions taking place at the end of this month.

Source: Deribit (As of 16:00)

Source: SignalPlus, 16:00 rapid surge after the daytime decline

Source: Binance BTCUSDT, BTC once reached a near 13-month high

Source: Laevitas

Source: Deribit (as of 16:00)

Source: SignalPlus, the short-term volatility Skew shifts towards bullish options

On the other hand, in the bulk trading market, traders still stick to the bullish long-term investment strategy. They have bought a large number of Call Spreads in BTC 29 dec 23/29 mar 24 and ETH 25 aug 23/29 dec 23, which were the largest strategic trades for the two currencies yesterday. In addition, a bearish volatility strategy dominated by Short Strangle/Straddle was executed at the end of July, resulting in a further -3% reduction in ETH 28 jul 23 volatility to reach a low of 40.80 at today's delivery.