SignalPlus Volatility Column (20230907): Market volatility, put spread strategy becomes market focus.

Yesterday evening (6 Sep 23 10:00 pm UTC+8), the U.S. released better-than-expected ISM Service PMI data, indicating strong consumer demand and overall economic strength. U.S. bond yields rose collectively yesterday, with the two-year yield rising 7 basis points, surpassing the 5% level and closing at 5.02%. Boston Fed President Collins said that the current peak in interest rates is very close or may have already been reached, but recent improvements should not be considered evidence of inflation falling back to the 2% target. There may be reason to further tighten policies.

Source: SignalPlus, Economic Calendar

Early this morning (7 Sep 01:00 ~ 03:00 UTC+8), the cryptocurrency market experienced a volatile situation, with BTC slightly falling to 25326 and then quickly rebounding, breaking through the 26000 resistance level. However, a wave of selling pressure pushed the price back to around 25750, with a maximum fluctuation of nearly 3%. During this turbulent period, the implied volatility of BTC/ETH both experienced a slight increase (IV up by 2.5% to 3% at the end of the month), and IV subsequently declined once the price stabilized. As of today's settlement, BTC IV has not undergone significant changes; ETH's IV has increased by about 0.5% Vol in the near term, while the mid- to long-term end has shown a slight decline of 0.1 to 0.5%.

Source: Deribit (As of 7 Sep 16:00 UTC+8)

Source: SignalPlus

In terms of trading, the market's enthusiasm for BTC put options is still strong. The P/C Ratio remains at a high level of around 1.0. Among them, the purchase of 29 Sep 23 20000 vs 25000 (Size: 838.2 per leg) put spread strategy has become the market focus of the past day.

Unlike BTC, ETH trading presents a different narrative. In the past 24 hours, the September call spread has been sold off, but at the same time, a large number of call spreads have been established for October, leading to a continued decline in the market's P/C Ratio, reaching a low point of about 0.37.

Source: Laevitas, BTC 29 Sep 23 20000 vs 25000 Long Put Spread became the market focus of the past day

Source: Laevitas, BTC 29 Sep 23 20000 vs 25000 Long Put Spread became the market focus in the past day

Source: Laevitas, ETH a large number of Call Spread transactions appeared at the end of September

Source: Laevitas, ETH a large number of Call Spread transactions appeared at the end of September

Source: Deribit Block Trade

Source: Deribit Block Trade

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