SignalPlus Volatility Column (20230815): Crypto market volatility hits lowest point in a year
Earlier higher-than-expected PPI data revealed underlying inflationary pressures, giving the Feds hawks more support in advocating another interest rate hike. U.S. Treasury yields climbed for the fourth consecutive trading day, with the yield on the 10-year Treasury note, known as the anchor of global asset pricing, once reaching a high of 4.209%, the highest level since November last year.
Source: SignalPlus
In terms of digital currencies, the actual volatility of BTC/ETH continued to decline, hitting its lowest point in a year. The implied volatility curve of ETH generally fell by 0.5 to 0.8%, while BTC saw an increase of about 0.5 to 1% in the mid- and front-end IV.
According to analysis,This wave of BTC IV increases is mainly driven by the purchase of call options. In the past 24 hours,BTC P/C Ratio drops sharply to 0.32, reached its lowest point in a week. At the same time, BTC’s mid- and front-end Skew has also risen significantly (25 dRR at the end of the month increased from 3.5% to nearly 6%), and the Short Risky strategy may return to traders’ horizons. DeribitUnexpectedly large block 30000-C buy (430 contracts) on Doomsday Options (16 AUG 23), the overall OI increased by 698.7 BTC, which was the largest position change in the past day.
In addition, the calendar spread transactions of Sell 29 DEC 23-40000-C (300 BTC) / Buy BTC-29 MAR 24-40000-C (200 BTC) are still visible on BTC, continuing yesterday’s transactions.
Although the BTC buying call sentiment is high, there is no similar linkage on ETH. From the transactions in the Deribit market, we can see that as the ETH RV decreases, a large number of retail investorsClosed out this weeks ATM puts, making 18 AUG 23-1800-P less by 4.54 K yesterday. At the same time, approximately 10,000 calendar triangle spreads were traded in block trades, with the strategy selling a front-end of 25 AUG 23-1850-C while buying an equal amount of 27 OCT 23-2000-C.
Source: Deribit (as of 14 Aug 16:00 UTC+ 8)
Source: SignalPlus, BTC/ETH RV Hits Lowest in One Year
Source: SignalPlus, BTC mid-front-end IV rose, ETH IV fell overall
Source: Laevitas, BTC P/C Ratio has fallen sharply in the past 24 hours
Source: SignalPlus,BTC 25 dRR rises significantly
Source: SignalPlus,BTC 25 dRR rises significantly
Source: Deribit Block Trade
Source: Deribit Block Trade
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