SignalPlus Volatility Column (20230804): Market continues to languish
Today, the volatility still cannot escape the downward trend. The entire curve is approaching the low point within a year, with some, represented by the front end of ETH, plummeting by over 2%. The current monthly BTC/ETH IV is once again testing the support level of 30%, while the end-of-quarter volatility barely maintains at 34.10%/33.03%. Nevertheless, under the influence of the lackluster actual volatility in the short term, seemingly affordable option premiums fail to demonstrate more appeal. This prompts sellers to steadfastly sell IV even before the announcement of non-farm payroll data tonight.
Source: Deribit (As of 16:00 UTC+8)
Source: SignalPlus, IV continues yesterday's decline
Source: SignalPlus, RV still below IV
A few days ago, most of the panic caused by Curve has subsided, but the price of CRV token is still fluctuating below 0.6, and the TVL in the Curve pool has not recovered significantly. In fact, the vulnerability incident involving Curve has had a significant impact on the entire Defi ecosystem. Recently, the TVL on other mainstream Defi platforms has been decreasing, and liquidity has also been relatively low.
Regarding options, the bullish sentiment for ETH is still being dampened. It may be difficult to see the driving force for an uptrend until the Defi ecosystem related to Ethereum recovers. The open interest for Deribit 11 AUG 23-1950-C has decreased by a total of 15.06K contracts compared to yesterday, with a total of 29.4K ETH being sold on the exchange. In the bulk market, 14,000 contracts of September-end 1900 vs 2000 Call Spread were sold, once again indicating reservations about future price increases.
Source: Binance, CRV price fluctuates below 0.6; Defillama, Curve pool liquidity has not recovered significantly
Source: Defillama, mainstream Defi experiences liquidity outflow
In comparison, the market seems more optimistic about BTC trading. Traders continue to buy bullish contracts in the medium term, mostly focusing on August and September, such as buying the 29th SEP 23 27000/33000 RR contract, or buying the 29th SEP 23-30000-C contract while selling the 18th AUG 23-30000-C calendar spread. These trades reflect traders' expectations for positive macro news in the future.
Source: SignalPlus, BTC RR continues to rise after the Curve incident
Source: Deribit Block Trade
Source: Deribit Block Trade
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