SignalPlus Volatility Column (20230906): Market bears dominate sentiment.

International crude oil market, Saudi Arabia announced that it will extend the daily production cut of 1 million barrels for three months until the end of the year, and Russia also decided to extend its oil export cut of 300,000 barrels per day until December. As a result, WTI crude oil briefly rose to $87.55 per ounce, reaching a new high since November last year. The surge in oil prices, coupled with the rise in ISM wage prices last Friday, may end the trend of slowing inflation, and there may be an upward risk in inflation next year.

Source: SignalPlus, Economic Calendar

As for cryptocurrencies, after experiencing a slow decline yesterday, BTC traded sideways at a price of 25,750 today, while ETH rebounded slightly to 1,630, with low volatility during the day, leading to a downward adjustment of 1.5-2.5% Vol in the pricing of medium-term options implied volatility, and the curve became steeper. In addition, the IV of ETH at all maturities has given back all of yesterday's gains, with the overall curve down by about 2% Vol.

Source: Deribit (As of 6 Sep 08:00 UTC)

Source: SignalPlus

In terms of trading, there has been a certain degree of short-term bearish sentiment in the bulk market in the past 24 hours, with bearish options combinations appearing on BTC/ETH, represented by the Sep 23 Long Put Spread, which is the largest volume strategy trade for both coins in the past day. In addition, the BTC market's P/C Ratio has also remained at a high level near 1.0.

Source: Laevitas

Source: Deribit Block Trade

Source: Deribit Block Trade

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