SignalPlus Volatility Column (20230913): Crypto market rebounds, protective downside strategies still in focus

特邀专栏作者

2023-09-13 20:00 (UTC+8)

This article is about 500 words, reading the full article takes about 1 minutes

BTC continued its upward trend after yesterday's delivery, briefly breaking through the 26,500 level. However, as the bullish sentiment gradually faded, the price retraced from its high point and returned below the 26,000 resistance level.

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In terms of US stocks, Apple's stock price continued to decline after the release of new products, ultimately falling by 1.71%; Oracle's decline expanded to about 14%, marking the largest single-day decline in 10 years, at $109.61; Tesla was also unable to sustain yesterday's gains. Influenced by the performance of these constituent stocks, all three major stock indices in the US fell before the release of the August CPI index, with the NASDAQ 100 index dropping by over 1%.

Source: SignalPlus, Economic Calendar, the US will release CPI data for August tonight

Unlike the situation in the US stock market, in the cryptocurrency market, BTC continued its upward trend after yesterday's delivery-induced price rebound, temporarily breaking through the 26,500 level. However, as the bullish sentiment gradually faded, the price fell from its high point and returned below the 26,000 resistance level.

Source: Binance & TradingView

Due to the release of US data and recent price fluctuations, the short-term implied volatility continues to rise, with a flat curve. In particular, the IV for the next week, under the uncertainty brought by the FOMC meeting, has generated more premium. The IV for BTC/ETH on 22nd September and 23rd September rose by 2.38% and 1.43%, respectively.

Source: Deribit (as of 13th Sep 16:00 UTC+8)

Source: SignalPlus

In terms of trading, the price rebound has rekindled interest among traders in call options, resulting in a significant decrease in the overall P/C ratio. In large-scale transactions, Bear Put Spread remains a hot topic of recent concern, with most transactions occurring on 22nd September and 23rd September, one day after the FOMC, providing protection against potential price declines.

Source: Laevitas

Source: Deribit Block Trade

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