SignalPlus Volatility Column (20230807): Persistently Low Volatility, Market Bulls Betting on ETH.
Last Friday's data released by the United States can be described as a mixed bag. The seasonally adjusted non-farm employment increased by 187,000 in July, the smallest increase since December 2020, and lower than expectations for the second consecutive month. However, the unemployment rate (3.5%) decreased and hourly wage growth data was slightly higher than expected (0.4% month-on-month growth vs expected 0.3%). The day after the data was released, Federal Reserve Governor Michelle Bowman expressed her support for the Fed's interest rate hike decision last month and expects that further rate hikes may be needed to bring inflation down to the FOMC's target of 2%.
Source: SignalPlus
Regarding cryptocurrencies, the BTC/ETH prices have remained stable under low actual volatility. Options have not yet escaped the low implied volatility swamp, with the IV of ETH's far end continuing to decline today (-2%, approximately), while the front end has not seen significant changes. In contrast, the most significant IV change for BTC occurred around 1 month before, with the IV curve returning to normal in the middle section as a result.
Source: Deribit (As of 16:00 UTC+8)
Source: SignalPlus
Due to the low liquidity over the weekend, overall trading volume for options was low. In the past 24 hours, the proportion of BTC put options trading has increased significantly, mainly from large purchases of 18 AUG 23-28500-P, 25 AUG 23-28000-P, and 27 OCT 23-27000-P. Although they have different expiration dates and strike prices, they all provide protection at a Delta = 30 level.
In contrast, attention on ETH is still focused on call options. Despite the current low IV, retail investors have sold a large number of calls on Wing, with a cumulative net sell of 10.97K contracts at the resistance level of 2000. In terms of large trades, the market is attracted to the spread between 29 DEC 23 and 29 MAR 24 call calendars. Traders have bought 4250/6000 contracts of 2100/2500 calls in December and hedged by selling an equal amount of 29 MAR 24 2300/3000 calls.
Source: Laevitas, Weekend options trading volume is low, BTC P/C Ratio significantly increases
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 encryption information. If you want to receive our updates instantly, please follow our Twitter account @SignalPlus_Web 3 or join our WeChat group (add Assistant WeChat: chillywzq), Telegram group, and Discord community to interact with more friends.
SignalPlus Official Website: https://www.signalplus.com
