SignalPlus Volatility Column (20231011): Inflation expectations decline, BTC/ETH mid-to-long-term IV declines

特邀专栏作者

2023-10-11 20:00 (UTC+8)

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In terms of implied volatility, the mid-to-long-term IV of BTC/ETH declined again; the short-term volatility of ETH rose sharply, with 13Oct as the high point (+4.8% Vol), which raised the overall level of the front-end, making its volatility within two weeks IV overtook BTC.

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Affected by geopolitical conflicts and a series of recent dovish remarks by Federal Reserve officials, the market has purchased a large amount of U.S. Treasury bonds as a safe haven, and U.S. bond yields have fallen by more than 10 basis points across the board. U.S. stocks achieved three consecutive gains, with the Nasdaq index rising more than 1% during the session and closing up 0.58%. US Consumer Price Index (CPI) data will be released on Thursday (12 Oct 08:30 pm UTC+8), with surveys expected to show the median long-term inflation expectations may fall by 0.2% to 2.8%.

Source: SignalPlus, Economic Calendar

In terms of implied volatility, the mid- and long-term IV of BTC/ETH declined again; the short-term volatility of ETH rose sharply, with 13 Oct as the high point (+4.8% Vol), which raised the overall level of the front-end, making it within two weeks The IV overtook BTC.

Source: Deribit (as of 11 Oct 16:00 UTC+ 8)

Source: SignalPlus

Trading: First of all, we noticed that due to the recent decline in BTC prices, traders liquidated a large number of positions at 28000-C at the end of October today (OI -1.54 K BTC) and the View Roll of Short Call to 29000-C at the end of the year (OI + 1.11 K), forming a triangular spread strategy; secondly, the last customized strategy on 24 Nov was based on selling 30000 vs 34000 Call Spread, and part of the premium was used to buy the tail 22000 Put, when the market was neutral or falling. Profits can be obtained at any time. Please refer to the figure below for the income curve:

Source: SignalPlus, Smart Dealing

In terms of ETH, the enthusiasm for buying Call on 24 Nov on the options chain has dropped from 1700 c to 1650 c. A total of 61.76 K ETH was bought for this option today, and the OI increased by 72.44 K. On the other hand, at the end of October, 1700 c was subject to a large number of liquidation and selling, with a net Sold 26.39 K ETH, OI decreased by 33.58 K.

Source: Deribit Block Trade

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