SignalPlus Volatility Column (20230712): Large institutions continue to position themselves, bullish on options trading.
Beijing time tonight, the US will release CPI data for June at 20:30. Investors generally expect today's CPI data to meet or be lower than expectations. The current month-on-month expected value has dropped to 0.3% (previous value was 0.1%). This has led to a continued decline in the US Dollar Index and a late surge in the three major US stock indices yesterday. The Dow Jones rose by 0.93%, the S&P 500 rose by 0.67%, and the Nasdaq rose by 0.55%. BTC/ETH spot prices also steadily increased today, settling at 30804.15 (+0.79%) and 1893.3 (+0.50%) respectively. Although we have seen optimism from major traditional institutions in the US regarding the future of Bitcoin this week, there hasn't been a stable inflow of funds from BTC or stablecoins. On the contrary, the rise in stocks related to the cryptocurrency industry such as Coinbase and Microstrategy indicates the positioning of these large traditional institutions. Regardless of the ways in which funds from TradFi enter the industry, they will have a positive impact on the future of the cryptocurrency industry.
Source: Coinmarketcap
Implied volatility of options saw a significant increase yesterday. Considering the divergence in recent US economic survey data, the release of CPI data tonight implies a high level of uncertainty. BTC IV rose by 2%-3% on average, while ETH curve showed an upward movement of around 2.5% in the front end. The 1% or higher increase can also be observed at the 2m/3m positions. The implied volatility of BTC/ETH options expiring this week has reached 47.2% (+6.43%) and 44.37% (+5.30%) respectively.
Source: Deribit (as of 16:00)
Source: SignalPlus, implied volatility rises
Yesterday, BTC options trading volume fell slightly, while ETH remained stable. For several consecutive days, the majority of bulk strategy trades have been bullish, and today is no exception. Large quantities of the 14JUL 2 3 31500-C vs 30000-P RR strategy, which will be settled this Friday, are visible in BTC. There are also Bull Call Spreads positioned at the end of August and beginning of September. The trading focus for ETH is still on the futures market, including a calendar spread combination of selling 2000 units of 25 AUG 23-1900-C and buying 29 SEP 23-1900-C, as well as a Call Spread of 2000 vs 3000 purchased for March next year. These trades have driven the upward movement of the 25dRR volatility smile curve, revealing a smile (Nike) of the goddess of victory on the eve of the CPI announcement.
Source: SignalPlus, 25dRR continues to rise, Smile Curve tilts toward bullish options
Source: SignalPlus
Source: Deribit Block Trade
Source: Deribit Block Trade
You can search for SignalPlus in the Plugin Store of ChatGPT 4.0 to get real-time crypto news. If you want to receive our updates instantly, please follow our Twitter account @SignalPlus_Web 3, or join our WeChat group (add the assistant's WeChat: chillywzq), Telegram group, and Discord community to interact with more friends.
SignalPlus Official Website: https://www.signalplus.com
