SignalPlus Volatility Column (20230905): ETH’s implied volatility rises and the market continues to be bearish

特邀专栏作者

2023-09-05 19:05 (UTC+8)

This article is about 550 words, reading the full article takes about 1 minutes

On Monday, the market trading was generally deserted due to the closure of U.S. debt and U.S. stocks due to the Labor Day holiday. The implied volatility of ETH 8Sep went against the trend, with a 3% Vol premium on the IV curve compared with the approaching maturity.

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Monday's market trading was generally subdued due to the closure of the U.S. bond and stock markets for Labor Day. In terms of digital currencies, BTC slowly declined from 26000 to 25700 (-1.1%), while ETH also fell in the same trend to 1623.28 (-0.0934%).

In a relatively calm trading day, we observed that the most active trades were focused on ETH Put options expiring on Sep 8, with over 30K contracts traded globally, and over half of the trading volume coming from OKX. This led to an increase in the implied volatility of ETH Sep 8, with a 3% premium in Vol compared to nearby expirations on the IV curve. By analyzing the specific strike price distribution on this expiration date, we noticed that most of the trading occurred between 1500-1600, with a total volume of 17K contracts, which astonishingly accounted for 65% of the total contract trading volume on that exchange for the day. At the same time, this highly concentrated trading activity caused a noticeable dip in the 25 DRR of Sep 8 on the overall curve, similar to BTC, approaching a level close to -10%.

Source: Deribit (as of Sep 5 16:00 UTC+8)

Source: SignalPlus, Deribit Lapse IV; Historical IV

Source: Laevitas, Global ETH Trade Volume; OKX Trade Volume (Last 24 H)

In addition, in the past 24 H, ETH September end has accumulated a total of 2775 sets of 1550-P vs 1700-C Short Risky trades, while the BTC/ETH volatility curve slope continues to decline today, significantly below the 25th percentile level of the past three months.

Source: SignalPlus

The final point worth mentioning is that the current target price has fallen back and the low implied volatility (IV) on the Call side (with a relatively flat curve) has made the buying of Call Spread strategies popular among traders, resulting in a large number of positions being opened on BTC/ETH for the expiry dates of 27 OCT, 23/29 SEP, and 23.

Source: Deribit Block Trade

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