SignalPlus Volatility Column (20230829): Investors have pessimistic expectations for the future of the market

特邀专栏作者

2023-08-29 19:27 (UTC+8)

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The price of BTC continued to fluctuate slightly around the technical point of 26,000, and the implied volatility did not change significantly. The price of ETH remained weak and linked to the whole market around 1650, while IV fell slightly, and the overall shape became steeper.

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On Monday, the market continued to digest Powells speech last week. The market raised the probability of the Federal Reserve raising interest rates by 25 bp in November to 51%, and the US stock market rose 0.5-1%. Similarly, the digital currency market is lackluster. The price of BTC continues to fluctuate slightly around the technical point of 26,000, and the implied volatility has not changed significantly. The price of ETH still maintains a weak linkage and consolidates around 1,650, while IV has fallen slightly. , the overall shape steepened, falling -1.7% to 32.91% at the end of October, erasing the premium seen on Forward IV.

Source: SignalPlus

Source: Deribit (as of 29 Aug 16:00 UTC+ 8)

Source: SignalPlus

In terms of trading, the market continued yesterday’s trading of put options. The hot spot for BTC/ETH bulk trading is still the Buy Put Spread of various terms in September. At the same time, we have even observed strategies on BTC to sell the same amount by increasing the amount ( 1200 BTC Notional per leg) 32000-Call to save nearly 80% of the cost of purchasing 29 SEP 23 22000/23000 Put Spread, further reflecting investors’ pessimistic expectations that BTC will rebound strongly in the next month.

In addition, at the moment when bullish sentiment is sluggish, there is also a Short Risky strategy of shorting mid-term Skew on ETH. The current 25 dRR of ETH has been suppressed to a historical low in the past three months, below the 25% quantile.

Source: Laevitas, BTC P/C Ratio has fallen back, but remains high

Source: SignalPlus, BTC/ETH 25 dRR at all-time lows

Source: Deribit Block Trade

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