SignalPlus Volatility Column (20230914): Volatility rebounding, three consecutive bullish movements in the cryptocurrency market.
Source: SignalPlus, Economic Calendar
On Wednesday, boosted by CPI data slightly higher than expected, the two-year US Treasury yield rose to a high of 5.081% at one point during the day but ended up dropping below the 5% mark, closing at 4.971%. The ten-year US Treasury also experienced a slight decline, closing at 4.254%. As for cryptocurrencies, BTC continued its upward trend and once again challenged the resistance level at 26500, achieving three consecutive days of gains, closing at 26328 (+1.4%).
Source: Binance & TradingView
In terms of implied volatility, after the release of the CPI index yesterday, the IV in the front-end of options experienced a significant decline, with the ATM IV of BTC/ETH next Friday dropping by approximately 1.7%; the volatility for the later months slightly increased by about 0.5% to -0.8%, with the curve steepening overall.
Source: Deribit (as of 14 Sep 16:00 UTC+8)
Source: SignalPlus, ATM IV curve steep
With the boost of the price increase, the BTC Bear Put Spread, which was at the top of the list recently, has almost disappeared. It has been replaced by the Bull Put Spread strategy represented by October 20000 vs 23000, with a trading volume of 700 BTC in the past day.
On the ETH side, the trading is concentrated on buying Call Spread & Risky in September, and also on Long Calendar for 29 Sep vs 24 Nov, expressing traders' optimistic outlook for the upcoming price increase. In addition, we can also clearly see Skew's rapid rise from the 25 dRR change chart.
Source: SignalPlus, continuous increase of 25 DRR in ETH medium-term
Source: Deribit Block Trade
Source: Deribit Block Trade
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