SignalPlus Volatility Column (20230908): Fed "Hawkish" Stance Intensifies Market Panic

特邀专栏作者

2023-09-08 18:43 (UTC+8)

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After a series of days of overall market trends, BTC broke through the 26000 resistance level from around 25750 and even challenged the 26500 mark. The medium to long-term implied volatility of BTC ATM also generally increased by about 1-1.5%.

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After several consecutive days of gains, the issuance of US Treasury bonds was temporarily halted yesterday, and trading volume returned to normal levels of around 60%. The 2-year yield also dropped below 5% due to some buying at low levels. With the highly anticipated September interest rate meeting approaching and indications from Federal Reserve officials that another rate hike is not ruled out, market caution and wait-and-see sentiment have intensified.

Source: SignalPlus, Economic Calendar

In the cryptocurrency market, after several days of consolidation, a wave of upward movement was welcomed last night (Sep 7, 10:00 pm UTC+8). BTC rose above the resistance level of 26,000, challenging the 26,500 level at one point. At the time of delivery today, BTC closed at 26,253.89 (+1.9%), and ETH closed at 1,646.31 (+0.66%).

Source: Binance & TradingView

Boosted by price increases, the ATM implied volatility of BTC medium-term has generally risen by about 1-1.5%, and ETH has also risen by about 0.5%-1%; in terms of the skew of the volatility curve, the Skew of BTC/ETH for each term has been significantly raised, with BTC 25dRR returning to the positive range, sweeping away the gloom of the past few days.

In addition, as the trading days of this week come to a close, short-term IV has shown a slight decline (about -1%), and the ATM IV of futures options expiring over the weekend has dropped to 30% or below.

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

Source: SignalPlus

Source: SignalPlus, BTC 25dRR rises significantly

In terms of trading, starting from the moment when the BTC price entered an upward channel yesterday (8 Sep 23:18:56 UTC+8), there has been a continuous occurrence of large-scale Deribit trades, with a Risky position of 23000 vs 29000 at the end of October. The total trading volume reached 1066 BTC (per leg). On ETH, we can also observe Long Risky trades represented by 24 NO V2 3 1400 vs 2000 RR, which has caused a significant skew in the volatility curve.

After the price stabilized, the ETH side saw a Long Calendar Put Spread trade of 7250 ETH (per leg). The trader earned a substantial Premium by selling the 24 NO V2 3-1400-P, while also buying an equal amount of near-term ETH-29 SEP 23-1500-P for protection.

Source: Laevitas, BTC/ETH Top Trade

Source: Deribit Block Trade

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