SignalPlus Volatility Column (20231019): The volatility curve steepens and RR falls sharply

Yesterday (19 Oct), the new housing starts data released in the United States was 1.358 M, which was higher than the previous value, but slightly lower than expected. The selling pressure on U.S. Treasuries intensified. The 10-year U.S. Treasury bond once rose 8 basis points, exceeding 4.9% for the first time since 2007. The two-year U.S. bond yield also rose 3 bps to around 5.24%, setting a new high since 2006. Now it reported 5.251%. The three major U.S. stock indexes fell under pressure, with the Dow Jones closing down 0.98%, the Nasdaq and SP 500 falling 1.62%/1.34% respectively.

Source: SignalPlus, Economic Calendar

In terms of digital currency, the price of BTC is still trading sideways above 28,000, and market sentiment has further cooled, causing the front-end IV to fall again by about 0.5 to 1%. On the contrary, the forward has increased by about 0.5 to 0.9%.curve steepens;At the same time, in the bulk market, Sell 27 Oct 30000 C vs Buy 24 Nov 32000 C, represented by Sell 27 Oct 30000 C vs Buy 24 Nov 32000 CBear Diagonal SpreadIt also became a popular trading strategy yesterday. On the other hand, the sentiment of buying Call in the BTC market has gradually dissipated.The massive selloff in RR in late October has fueled the recent sharp pullback in Vol Skew.

Source: Deribit (as of 19 Oct 16:00 UTC+8)

Source: SignalPlus, volatility surface steepens

Source: SignalPlus,BTC Vol Skew fell sharply in the short and medium term

ETH transactions are concentrated on calls at the end of the year, mainly from transactions on the options chain. The 1700 1800 calls near the ATM were heavily bought and opened, while the 1900 call showed a Buy: Sell distribution close to 1:2, with the position reduced by about 9 K ETH.

Source: Laevitas

Source: Deribit Block Trade

Source: Deribit Block Trade

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