SignalPlus Volatility Column (20231006): Global yields soar, option IV continues to fall

特邀专栏作者

2023-10-06 19:25 (UTC+8)

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The overall volatility of BTC/ETH options fell again by about 1.5%/0.7% today, while the doomsday option rose to about 33% due to the uncertainty caused by tonights non-agricultural data.

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The overall volatility of BTC/ETH options fell again by about 1.5%/0.7% today, while the doomsday option rose to about 33% due to the uncertainty caused by tonights non-agricultural data.

Last night (5 Oct), US stocks rose first and then fell, with the three major stock indexes closing slightly lower. Global yields surged this week. After US Treasury yields continued to reach new highs, Indias 10-year Treasury bond yields rose 10 bp to 7.31%, and Japans 40-year Treasury bonds once rose to about 2%, setting a new high since 2013. The current macro environment of risk-free and high interest rates is undoubtedly reshaping investors asset portfolios. In addition to the impact on traditional financial markets, capital pressure has also spread to the cryptocurrency field. Finally, the U.S. non-farm payrolls data for September will be released tonight at 6 Oct 20:30 (UTC+ 8). After the ADP data upset, will the non-farm payrolls further amplify the signal of rebalancing the job market? Please stay tuned and be aware of the associated risks.

Source: SignalPlus, Economic Calendar

The overall volatility of BTC/ETH options fell again today by about 1.5%/0.7%, while the doomsday options rose to about 33% due to the uncertainty caused by tonights non-agricultural data.

Source: Deribit (as of 6 Oct 16:00 UTC+8)

Source: SignalPlus

In terms of trading, the Long Call Fly in the 1000 group of BTC at the end of the year seized the dominant position of Long Put Spread in the bulk market during this period. This strategy sold 2000 pieces of 27000-C while buying 1000 pieces on each side of 23000/31000 for protection. , refer to the figure below for the yield curve.

Source: SignalPlus, Smart Dealing

Trading on this side of ETH reflects more on traders’ views on price direction over the next three months. The first is a customized strategy. The trader gained a generous premium by selling 10,000 ETH at 1,300 p on 29 Dec. At the same time, he bought 2,500 1,600 p at the end of October to create a proportional triangle spread. He observed a large number of Put Spreads recently. Position building promotes the tilt of the skew, and coupled with the naturally high uncertainty in the future, the iv difference between the two legs of this strategy is close to 17%.

Another large ETH order came from the 27 Oct vs 24 Noc 1700 C buy calendar (5000 ETH per leg), reflecting investors’ cautious bullish sentiment towards ETH in the medium term through the flatter part of the slope in the term structure.

Source: Deribit Block Trade

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