SignalPlus Volatility Column (20230823): Front-end IV in cryptocurrencies continues to fall

In early August, Fitch announced a downgrade of the U.S. rating to AA+ (previously AAA), reflecting expectations of a deterioration in the U.S. governments finances over the next three years and a high and growing overall government debt burden. Yesterday, Fitch took another action to place American Savings Bank (ABS) onnegative observation, considering that Moody’s and SP have also made similar decisions to other U.S. banks.Rating downgrade, so far,Major international rating agencies have taken the same approach to the U.S. banking industry.

In fact, strategists at Wells Fargo note that credit card delinquency rates at U.S. commercial banks are soaring, even as data increasingly point to a soft landing for the U.S. economy. As can be seen from its report released on Tuesday,The overdue payment rate of credit card balances of banks other than the top 100 banks by asset size has reached a historical high., at a time when the market is increasingly concerned about the stability of U.S. banks and rising debt levels, the increase in overdue payments has put greater pressure on small and medium-sized banks.

Source: Federal Reserve Bank of St. Louis and Wells Fargo Investment Institute

In terms of digital currency, a small spike was triggered early this morning (23 Aug 05: 15 am UTC+ 8). After hitting the bottom near 25300 (-2.7%), the BTC price quickly rebounded by more than 1% and then slowly rose back to The familiar 26000 area consolidation,Mid- and front-end IV still continued yesterdays decline, showing a 1 to 2% decline, making the curve steeper again.

Source: Deribit (as of 23 Aug 16:00 UTC+ 8)

Source: SignalPlus,Mid-front-end IV still continues yesterday’s decline

In terms of trading, the transactions of BTC in the past 24 hours were mainly concentrated in the end of August and September, and among them,Sell ​​Put Options on Wing in BlocksMost significantly, these transactions are aimed atHarvesting the panic premium from last Friday’s plunge, and also expressed traders’ expectations that BTC prices will not be able to sustain significant fluctuations in the near future.

In terms of ETH, due toSkew is currently at a low level, represented by Sell 1500-P/Buy 1900-C (Group 4704) at the end of DecemberBuy Risky strategies are starting to gain traction among traders。

Source: Laevitas

Source: Deribit Block Trade

Source: Deribit Block Trade

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