SignalPlus Volatility Column (20230928): Macro fluctuations intensify, and the Put Spread strategy attracts market attention

Yesterday (27 SEP 23), the three major U.S. stock indexes basically closed flat, with the Dow Jones Index falling 0.2%. The U.S. 10-year Treasury yield hit another record high, with the yield now hovering around 4.6. The price of gold fell below the US$1,900 mark; the price of WTI crude oil futures was soaring yesterday, rising by more than US$94, and is now slightly back around US$93. In addition, the United Auto Workers union threatened to expand the scope of the strike on Friday, increasing the possibility of a government shutdown and possibly exacerbating market volatility.

Source: SignalPlus, Economic Calendar

The digital currency market experienced a short-term rise after yesterdays delivery (27 SEP 23 04: 00 pm UTC+ 8). After failing to challenge 27,000, BTC quickly fell back to around 26,000, with an amplitude of 3%. Then the price slowly rebounded back to around 26,500. , closing at 26447.29 (+0.82%).

Source: Binance & TradingView

Affected by the increase in actual volatility and the risk of government shutdown, the overall IV surface rose by about 1% Vol; the ETH front-end IV tilted up more obviously, rising by about 3% within 2w, returning to a level similar to BTC (about 30%). It is also worth noting that the curvature value of the implied volatility surface has continued to fluctuate upward since early August, and the current 25 dFly is at a high level in the past three months.

Source: Deribit (as of 28 Sep 16:00 UTC+8)

Source: SignalPlus, ETH front-end IV rose sharply, returning to levels similar to BTC (30%)

Source: SignalPlus, 25 dFly has continued to fluctuate upward since early August.

In terms of large transactions, both BTC and ETH have shown a trend dominated by Put Spread in the past 24 hours. In addition to a year-end 22k-24k P/S of over 400 BTC on BTC, there is also a custom order to support a 1-month near-ATM put option by selling double the end-December 22k strike price. Similarly, investors on ETH subsidize the Put of 1500 strike by selling the strike price of 1400 or 1350. The only difference is that the expiration dates are more concentrated in the next two weeks, which may explain to a certain extent the rise in the ETH IV curve in the previous period. a larger phenomenon.

Source: Deribit Block Trade

Source: Deribit Block Trade

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