SignalPlus Volatility Column (20230926): In the decisive battle of October, traders are bullish on ETH
Yesterday, U.S. stocks ended their four-game losing streak, with the three major stock indexes fluctuating and closing higher throughout the day. The U.S. ten-year Treasury bond yield closed at 4.546 yesterday, a new high since 2007. It should be noted that the current move higher in yields is driven by real yields rather than equilibrium inflation. In addition, 0 DTEs (day zero options) have regained momentum. According to JPMorgan Chase, 0 DTEs have recently accounted for half of all SPX 500 index options trading volume, which may increase market volatility.
Source: SignalPlus, Economic Calendar
In terms of digital currencies, BTC prices fluctuated slightly in the 26,000-26,500 range, and ETH was also trading sideways below the 1,600 resistance level. The decline in actual volatility has promoted the fall of short-term IV. BTC/ETH 29 Sep IV fell to 30.68% (-1.26%) / 28.31% (-0.96%) respectively. The front-end IV is at the lower level in the past three months. ; The far-end IV continued yesterdays rebound trend, rising again by 0.5 to 1.5% Vol, and the overall slope became steeper.
Source: Deribit (as of 26 Sep 16:00 UTC+8)
Source: SignalPlus
Source: SignalPlus
On the other hand, under the influence of continued suppression of risk sentiment, the short- and medium-term curve slopes of BTC/ETH have fallen into the negative zone. In the past day, BTC 25 dRR fell again, while ETH rebounded slightly from a low of close to -6%, so that the recent Skew of the two has reached similar levels.
Source: SignalPlus
In terms of trading, BTC is still dominated by calendar spreads, and investors sell short-term options to provide partial financial support for mid- to long-term positions, which is consistent with the steepening change in the IV surface. The largest single transaction of ETH came from the Long RR (4000 per leg) at 1200 vs 2200 at the end of the year. In addition, there were a large number of bullish call spread transactions at the end of October, and the bullish exercise prices were mainly concentrated at 1800 and 1900.
Source: Deribit Block Trade
Source: Deribit Block Trade
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