SignalPlus Volatility Column (20230911): Cryptocurrency market volatility rises, BTC regains lost ground after a decline.
Yesterday, the three major US stock indexes collectively rose, with the Nasdaq rising more than 1%. Morgan Stanley upgraded Tesla's rating, believing that the potential brought by the supercomputer Dojo could push the stock price up to $400. Stimulated by this positive information, Tesla skyrocketed by 10% yesterday. In addition, the yield on US bonds remained in a range-bound pattern, with the yield on the two-year Treasury bond failing to break through the 5% level, falling by 1.06 basis points, while the yield on the benchmark 10-year government bond rose by 1.04 basis points, closing at 4.292%.
Source: SignalPlus, Economic Calendar
In terms of cryptocurrency, BTC continued its slight downward trend from the previous day and rapidly expanded its decline yesterday evening (around 11 Sep 22:00 UTC+8). After breaking the support level of 25,000, the price rebounded and eventually recovered all lost ground, settling at 25,802.3 (-0.0067%).
Source: Binance & TradingView
The actual volatility continues to rise, pushing up the IV of options. As of today's settlement, BTC/ETH IV has increased by about 0.75%, returning to the median level of the past three months. On this basis, there is also an additional premium of +0.4% Vol on Friday and at the end of October, forming local highpoints on the curve.
Source: Deribit (as of 12 Sep 16:00 UTC+8)
Source: SignalPlus
In terms of trading, the market focus has shifted back to bearish strategies due to this sharp decline. In the past 24 hours, there have been a total of 3549 BTC/19854 ETH notional traded in bear put spreads, mostly concentrated in the period from late September to the end of October. In addition, there are also significant short risky trades in ETH medium to long term, pushing ETH 25 RR down to the 25th percentile of the past three months.
Source: SignalPlus
It is also observed that, while the IV was gradually increasing yesterday, there were continuous Straddle sell orders for BTC-29 Sep 23, all the way until Sep 15: 38: 22 UTC, close to the peak of intraday IV.
Source: SignalPlus
Source: Deribit Block Trade
Source: Deribit Block Trade
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