SignalPlus Volatility Column (20230901): BTC medium to long-term volatility has decreased, the market returns to a wait-and-see state.

特邀专栏作者

2023-09-01 18:53 (UTC+8)

This article is about 798 words, reading the full article takes about 2 minutes

BTC has retraced all of its previous gains following GrayScale's victory, dropping back to around 26,000 from the previous level near 27,200. The implied volatility of BTC's medium to long term has also experienced a slight decline of about 1.7%, indicating a slowdown in market sentiment and a retur

AI Summary

Expand

Thursday night (31 Aug 08: 30 pm UTC+ 8), the Core PCE price index favored by Federal Reserve officials is expected to grow moderately (+ 0.1% ) on a month-on-month basis; initial jobless claims fell by 2k to 228k, better than expected. For tonight's data release, the market will mainly focus on non-farm payrolls, given a series of recent weak employment indicators, there may be downside risks to non-farm payrolls tonight; in addition, the market's secondary focus will be on hourly wage data to see if wage pressure has rebounded.

Source: SignalPlus, Economic Calendar

As for cryptocurrencies, the US SEC announced that its decision on ETF applications for spot trading by traditional financial institutions such as BlackRock and Fidelity will be at least postponed until mid-October, causing BTC to give back all the previous gains brought by GrayScale's victory, dropping back from around 27,200 to around 26,000 in the short term. The implied volatility of BTC medium and long-term has also shown a small decline of around 1.7%, indicating a slowdown in market sentiment and a return to a wait-and-see approach. At the same time, we also observed that the volatility of the BTC/ETH front end dropped more significantly after the release of the as-expected data from the Federal Reserve. The ATM IV of BTC/ETH 9 SEP 23, which expires next week, has dropped by 4.81% / 3.67%, making the curve steeper.

Source: Deribit (as of 1 Sep 16:00 UTC+8)

Source: SignalPlus

We can see from the recent changes in Skew that after the Grayscale win, the implied volatility of various maturities (RR) rose rapidly, but then gradually fell due to a lack of further upward momentum. Today, after SEC officially announced a delay in ETF review, the slope of the volatility term structure was instantly reset, giving back almost all gains.

Source: SignalPlus

For the past 24 hours of trading, on the one hand, we have noticed a rapid cooling of market optimism. On Wing, BTC's bullish options with a focus on the September 15th to September 22nd expiry dates have faced strong selling pressure from retail investors. ETH has also seen a massive sell-off of bullish options represented by the September 29th, 23:1900-C, and October 27th, 23:2100-C options (with OI decreasing by 5510/4000 ETH respectively), with the selling volume of the October 27th, 23:2100-C option reaching up to 12000 ETH.

On the other hand, looking at volatility trading, after the SEC announced a delay in ETF review, there were many Short Straddle trades targeting short-term volatility on BTC's year-end options, leading to a decline in medium-term volatility. However, this also resulted in the accumulation of bullish volatility positions, mainly with Long Strangle strategies, on BTC/ETH after today's settlement, indicating that some traders have chosen to re-enter the market when volatility returns to a low point in the near future.

Source: Deribit Block Trade

You can search for SignalPlus in the Plugin Store of ChatGPT 4.0 to get real-time encryption information. If you want to receive our updates instantly, please follow our Twitter account @SignalPlus_Web 3, or join our WeChat group (add assistant WeChat: chillywzq), Telegram group, and Discord community to interact and communicate with more friends.