SignalPlus Volatility Column (20230714): BTC Resistance Level Approaching, Market Enthusiasm Gradually Cooling
Ripple's issuing company, Ripple, won a rare "regulatory victory" for the cryptocurrency industry last night. Judge Analisa Torres of the Southern District of New York Federal Court ruled on the SEC's lawsuit filed since 2020: Ripple's token, XRP, is not a security. After the news was announced, the cryptocurrency community rejoiced, and XRP surged more than 100% at one point last night. Other cryptocurrencies like MATIC, ADA, and SOL, which were previously listed as securities by the SEC, also saw significant gains in a short period of time. Meanwhile, Ripple's strong rise also boosted Ethereum's trading sentiment, pushing it firmly above 1900 and subsequently reaching a peak of 2000. Bitcoin, on the other hand, returned to 31000 in this market trend and attempted to break through the resistance level of 32000. The prices slightly retraced before settlement in the afternoon. As of today's delivery, BTC/ETH closed at 31187.42 (+2.66%) and 1996.88 (+6.72%) respectively.
The market took a breath after a series of data releases earlier this week, but the sudden good news triggered a violent surge in the underlying assets. The Vol Skew tilted towards call options again, with a significant increase in the 25d Risk Reversal (dRR). The implied volatility of ETH in most maturities reached its highest level in the past month. The retaliatory decline in implied volatility yesterday was quickly pulled back, and it reached a peak in the continuous trading enthusiasm early this morning. The mid-term IV of BTC at the highest point had a Vol of Vol of nearly 7-8%. Liquidity gradually returned to the options market after 3-5 am, and implied volatility began to decline. BTC gave back most of its gains and ended up with a gain of about 1%, while ETH still stood at the key level of 2000 with relatively high IV.
In terms of bulk trading, the continuous realization of bullish long-term bulk futures has yielded returns in recent times. Today, traders can still see the continued betting on the upward momentum, including BTC next week with 100 sets of 32500/33500, 300 sets of 32000/34000 Long Call Spread, and ETH Far-term 29 SEP 23 with 3375 sets of 2200/2600 Call Spread. In addition, the accumulated 373 BTC August 32000 Long Straddle strategy was established when the BTC price was close to the 32000 level. However, as the market enthusiasm gradually cooled down, both BTC and ETH saw a large number of bearish volatility strategies (BTC Short 28 JUL 23 30000/32000 Strangle, ETH Short 29 SEP 23 1800-2100 Strangle), reclaiming the Vol Premium premium brought by liquidity.
Source: Deribit (as of 16:00 UTC+8)
Source: SignalPlus
Source: SignalPlus, Vol Skew Rising
Source: Deribit Block Trade
Source: Deribit Block Trade
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