SignalPlus Volatility Column (20230808): BTC bullish sentiment rebounds.
PayPal, a fintech company based in the United States, has launched a new stablecoin called PYUSD on the Ethereum network. The stablecoin is backed 1:1 by the US dollar, short-term US bonds, and cash equivalents, and will be issued by Paxos Trust. The crypto community believes that the launch of PYUSD further enhances the mainstream status of the Ethereum network, but it also weakens the decentralization of the entire cryptocurrency ecosystem. From a broader perspective, this news continues the trend of traditional financial institutions actively participating in the cryptocurrency market and injects confidence into the industry.
In terms of implied volatility, in the context of persistently low actual volatility, the short-term IV continues to be suppressed by structural products, with the Bi-Daily ATM IV almost breaking below the 20% support level. BTC's medium to long-term IV has rebounded slightly by 0.5% to 0.9%, while ETH has not escaped yesterday's decline, with a slight decrease in IV across various maturities, making its IV generally lower than BTC by around 3%.
Source: Deribit (as of 16:00 UTC+8)
Source: SignalPlus
On the trading side, there were significant purchases of 28000-P (150 contracts) and 27000-P (525 contracts) for BTC Next Week 18 AUG 23, in addition to a significant amount of Put net purchases on Wing for the end of October, similar to yesterday's situation. There was also a purchase of 500 BTC for 30000-C at the end of August, indicating a partial return of bullish sentiment.
ETH mainly traded at the end of September and December. The largest trade came from the calendar spread between 29 DEC 23 and 29 SEP 23, where a trader bought around 10,000 contracts of 29 DEC 23-2500-C to profit from the decline in ETH forward volatility during that period, while also selling an equivalent amount of 29 SEP 23-2100-C, indicating a bearish outlook on ETH's recent upward potential. In contrast, besides this trade, there were many Long RR strategies for September and December, such as 1600/2100 for 29 SEP 23 and 1500/2400 and 1500/2300 for 29 DEC 23. In fact, ETH Skew has been relatively low recently, combined with not expensive forward Vol, these Risky Trades are both cost-effective long-term strategies and can profit from the RR spread through Delta Hedge.
Source: SignalPlus, ETH RR at low level
Source: Deribit Block Trade
Source: Deribit Block Trade
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