SignalPlus Volatility Column (20231010): Far-end IV declines, ETH Skew drops to lows

US stocks once again staged a reversal yesterday (10 Oct), with all three major stock indexes achieving slight gains. Affected by the markets risk aversion, spot gold opened higher and U.S. Treasury bond yields also fell after todays opening. The current 10-year U.S. bond yield fell to around 4.60. In addition, the International Monetary Fund (IMF) issued a report stating that it predicts that global GDP growth will remain at 3% in 2023, and will be reduced to 2.9% in 2024; while the inflation rate will be reduced by 1.3% to 6.5% in 2023, and further reduced to 4.1% in 2024. %.

Source: SignalPlus, Economic Calendar

In terms of implied volatility, BTC/ETH todayDistal IVs all experienced slippage of 1 to 1.5%., the IV Surface lifted around mid-October, and the surface overall further flattened.ETH mid- and remote-end RR drops again, has been significantly lower than the 25% percentile in the past three months.

Source: Deribit (as of 10 Oct 16:00 UTC+8)

Source: SignalPlus

Source: SignalPlus,ETH mid- to long-term IV drops again

In terms of trading, looking at the options chain,BTC calls near 28,000 are still being sold during the week, putting downward pressure on short-term IV;ETH 24 NOV 1700-C continues yesterday’s trading enthusiasm, this option has a total of 41.14K ETH active purchases today, and OI increased by 36.8K. On the other hand, large trades became active, represented by 29 DEC 23000 vs 20000 on BTC Bear Put SpreadRegain its dominant position in strategic trading. ETH bulk strategies focus onLong Risky from 24 Nov to 29 Dec, buying the RR with the expiry date at the end of the year at the bottom; in addition, a custom-made strategy with a large amount also attracted market attention. This strategy bought 5,000 contracts of 1400-P and sold 10,000 contracts of 2100 on 29 Dec. -C offsets some of the cost.

Source: Laevitas,ETH 24 NOV 1700-C is still hot

Source: Deribit Block Trade

Source: Deribit Block Trade

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