SignalPlus Volatility Column (20231005): IV continues to decline slightly, PutSpread continues to dominate the bulk market

Last night (4 Oct)U.S. September ADP employment data falls short of expectations, adding just 89,000 jobs, the lowest level since early 2021, while wage growth also continues to slow. U.S. stocks were boosted by poor U.S. small non-farm payroll data, which led to the market reducing its bets on the Federal Reserve to raise interest rates.All three major stock indexes closed higher, Nasdaq rose more than 1.35% to 13236.01; the VIX panic index closed down 6.17% to 18.56. Tesla performed well and led the market, rising 5.93%.U.S. Treasury yields retreat from highs, the benchmark 10-year Treasury bond yield once jumped to 4.884%, another 16-year high, and then gave up all gains during the day, finally closing at 4.734%. International crude oil prices did not extend their gains yesterday, with WTI crude oil falling 3% and Brent crude oil falling 2.69%.

Source: SignalPlus, Economic Calendar

In terms of options, BTC/ETH implied volatilityOverall, it fell again by around 0.8%/1.2%, IV has fallen further recently due to the selling of a large number of call options. So far,The upward curve of ETH’s front-end curve has almost been smoothed out, and BTC are at around 30% Vol.

In terms of trading,Long Put Spread continues yesterday’s dominance, the cumulative transaction volume reached 2324 BTC / 8250 ETH, mainly traded on BTC 20 OCT / 29 DEC 23 and ETH 20 OCT / 24 NOV and other periods. In addition, due toRecent Vol Skew Drops, we also observed a Long Risky Trade of 3500 ETH per leg, buying the bottom of the RR that expires at the end of the year.

Source: Deribit (as of 5 Oct 16:00 UTC+8)

Source: SignalPlus, IV continues to decrease

Source: SignalPlus, ETH Skew encountered certain support after falling to lows for several days.

Source: Deribit Block Trade

Source: Deribit Block Trade

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