SignalPlus Volatility Column (20230816): Traders medium and long-term layout of ETH

Last night (15 Aug 08: 30 pm UTC+8) U.S. retail sales data for July was released, with a month-on-month increase of 0.7%, exceeding market expectations of 0.4%, the largest increase since January 2023, achievingGrowth for four consecutive months and once again proving the resilience of the U.S. economy. Inflation is coming down now, weve made some good progress, but its still way too high, Minneapolis Fed President Neil Kashkari, dubbed the Feds new eagle, said at the meeting.I would like to see compelling evidence that inflation is steadily falling back to 2%, and then we can give it some time.You don’t need to achieve this goal tomorrow, allowing it to be implemented gradually over time. As a voting member of this years FOMC, he believes that the Fed is still a long way from cutting interest rates. If inflation continues to decline, it may cut interest rates next year, but that is just to keep monetary policy at a stable point, and the Not to keep tightening.

Source: SignalPlus

In terms of digital currency, asset management Jacobi announced that its newly launched Jacobi FT Wilshire Bitcoin ETF was officially listed on Aug 15, marking the first Bitcoin spot ETF in Europe before the United States. This news may explain yesterday evening’s rise in BTC/ETH IV, as well as the massive call option buying on BTC. However, this wave of market sentiment did not last. Around 15 Aug 11: 00 pm UTC+8, IV on both sides began to fall, smoothing out all the gains of the day; The surface driven by impulse consumption (buying calls) has been ruthlessly suppressed by the market.

Concerned that today’s BTC transactions are mainly concentrated in the short-term August, yesterday’s soaring IV and higher front-end Skew provided traders with generous Vol Premium, causing a large number of large volumes to appear on the platformshort volatilityandShort Calendar SpreadsStrategies such as 325.5 group sell 18 AUG 23 29500 Straddle, 512.5 group sell 18 AUG 23-29500-C and buy 25 AUG 23-30000-C. On 18 Aug 23-29500-C alone, there were more than 1K sales on this product, and the intraday OI growth was close to 600 BTC.

Unlike BTC, traders placed more on ETH yesterdayLong-term strategy, such as the combined call spread of 29 DEC 23 Buy 2000/2100 vs Short 2400, and the Risky strategy of buying 27 OCT 23 1600/2100.

Source: Deribit (as of 14 Aug 16:00 UTC+ 8)

Source: SignalPlus, short-term IV rises first and then falls within the day

Source: SignalPlus, BTC RR pulls back

Source: Laevitas, ETH trading moves to forwards

Source: Deribit Block Trade

Source: Deribit Block Trade

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