SignalPlus Volatility Column (20231016): BTC front-end IV surges higher, volatility curve inverts

特邀专栏作者

2023-10-16 20:26 (UTC+8)

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BTC trading volume has increased significantly in the past 24 hours. On the one hand, calls near ATMs on the option chain at the end of October were sold and liquidated in large numbers, and the profits brought by this increase were harvested under the high IV. On the other hand, block trades remain

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Last Friday (13 Oct), the three major U.S. stock indexes continued to be under pressure, with the Dow Jones closing up 0.12%, the SP 500 closing down 0.51%, and the Nasdaq closing down more than 1%. Affected by the escalation of the Palestinian-Israeli conflict and market risk aversion, gold and oil prices surged 3.5% and 6% respectively on Friday. The 10-year U.S. Treasury yield climbed again today after falling on Friday and is currently hovering around 4.69. The analysis pointed out that the main reason for the current rise in yields is the Feds quantitative tightening policy. Profiting from high cash interest rates seems to have become the current preference for personal investment. This week’s focus will be on corporate financial reports and the release of various economic data from European and American countries.

Source: SignalPlus, Economic Calendar

In terms of implied volatility, the SEC’s failure to review the BTC ETF last Friday was viewed as a positive by the market and briefly pushed BTC above 27,000 over the weekend. The incident continued to ferment today. At noon (16 Oct 1: 00 pm UTC+ 8), the price of BTC rose again by about 2.5% in the short term and once stood at the 28,000 mark.Front-end volatility has risen sharply as a result., 1 w/1 m rose 4.86% / 3.51% respectively to reach a level of around 34%, and the shape of the volatility curve before December was inverted.

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

Source: SignalPlus

In terms of transactions, BTC trading volume has increased significantly in the past 24 hours. On the one hand, on the options chainAt the end of October, Call near ATMs were heavily sold and closed., reaping the profits from this rally at a high IV. At the same time, the 28,500-30,000 calls with higher exercise prices during this period were favored by the market. Among them, the buying volume of 29,000-C was close to 700 BTC, and it also became the largest position change today with an OI increase of 641.5 BTC. On the other hand, large transactions are still active near the end of the year. Long Risky represented by 29 Dec 25000 vs 30000 is bullish on the Skew at the end of the year. In November, a 1:3 29000 vs 34000 call ratio spread was traded with an accumulated 1100 BTC.

Source: Deribit Block Trade

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