SignalPlus Volatility Column (20230821): The market is pessimistic about the future

特邀专栏作者

2023-08-21 19:46 (UTC+8)

This article is about 1045 words, reading the full article takes about 2 minutes

The news that SpaceX wrote down $373 million in BTC positions on Friday further catalyzed the markets negative sentiment, causing BTC to fall 14.5% in a short period of time, breaking through this years support trend line.

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Looking back at last weeks market, against the backdrop of rising risk aversion in the global market, digital currency prices continued to weaken. The news on Friday that SpaceX wrote down $373 million in BTC positions further catalyzed the markets negative sentiment, causing BTC to lose value in a short time. It fell 14.5% at one point,Breaking this year’s support trend line. After that, as the selling pressure subsided, BTC rebounded slightly at the key price of $25,000 and regained a chance at $26,000. This wave of decline triggered a large number of stop-loss and liquidation operations. The obvious decline in trading volume in the past two days also shows that most people in the market choose toAdopt a wait-and-see attitude for the time being. In this case, the important Jackson Hole global central bank meeting on Thursday night may release important trading signals, which also explains why option front-end implied volatility remains high Vol Premium.

Source: Binance & Trading View,BTC broke through this year’s support trend line after a round of declines on Friday, returning to consolidate around 26,000

Source: SignalPlus, this week’s highlight is Thursday night’s Jackson Hole meeting

As the underlying price plummeted, the implied volatility of BTC/ETH also experienced a rare recent rise. BTC IV has successfully got rid of the low quantile (<25%) range in the past three months and returned to a level close to the median; ETH’s IV fluctuated and fell for three consecutive days after reaching a high point, and the term curve appeared inverted According to the pattern, the IV within 30 days is greater than the 25% quantile in the past three months, and in the medium and long term it is still at a low level below this.

Source: Deribit (as of 21 Aug 16:00 UTC+ 8)

Source: SignalPlus,BTC IV remains high, ETH IV fluctuates and falls

Source: SignalPlus,ETH ATM IV Curve Inverted

In addition to this, we can also see the changes to the volatility surface caused by short-term price declines.

From the perspective of FLY, after BlackRock submitted the ETF application on June 15, the strong rise of BTC/ETH also led to the rise of FLY, and then FLY gradually fell under the continuous sideways market until the price plummeted last Friday, 25 dFLY Only then did there appear a clear rebound, reaching a moderately high level over the past three months.

Source: SignalPlus,25 dFLY recovery

From the perspective of Skew, risk aversion at the macro level and the flash crash of prices have reduced traders expectations for short-term rises in digital currencies, causing a significant decline in the mid-to-front 25 dRR; TradFi ETF spot application, etc.), the back-end Skew still maintains a relatively high positive value, and ETH lacks a sense of belief in this aspect as a support, and the overall value is basically in the negative range.

Source: SignalPlus,BTC/ETH 25 dRR down

Observing the option transactions in the past 24 hours, the trading volume of BTC fell off a cliff after the price returned to 26,000 and there were not many large transactions on weekends; the trading volume of ETH rebounded significantly in the past day, mainly concentrated in In the mid-to-long term, there are two types of Top Trade, one is Bear Call Spread for the purpose of seeing weak price trends, such as 29 DEC 23 2000 vs 2400 (group 2000), and Sell 2000 2100 at the same time Enter 2400-C (Size: 2200: 4000: 4000) as a combined Call Spread for protection, and the second is to short the Short Risky of Skew in the medium term, such as 8 SEP 23 1600-P/1750-C, 29 SEP 23 1500-P/1900- C, Both types of strategies indicate traders’ pessimism about ETH price increases.

Source: Laevitas

Source: Laevitas,ETH options trading volume rebounds in past 24 hours, concentrated in forwards

Source: Deribit Block Trade

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