SignalPlus Volatility Column (20231020): BTC is approaching the 3W mark, and RR rises to the highest level during the year

特邀专栏作者

2023-10-20 19:09 (UTC+8)

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BTC rose sharply after the entire market in the previous two days, and once broke through the 30,000 mark. Boosted by prices, option IV rose sharply across the board, and Vol Skew also rose sharply with the increase in demand for buying call options, reaching the past level. A one-year high.

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Yesterday (19 Oct), all three major stock indexes were in the red, with the Dow Jones, Nasdaq and SP 500 closing down 0.75%, 0.96% and 0.85% respectively. Teslas stock price plummeted 9%, partly because Musk clearly expressed his uncertainty about the future prospects and the impact of rising interest rates on product demand. Under the influence of good economic data, U.S. bond yields rose during the session. The 10-year U.S. bond yield exceeded the 5% mark for the first time in 16 years. However, it fell after Powells speech and is now at 4.949%. U.S. Treasuries fell 6 basis points on the day and are now at 5.148%.

Source: SignalPlus, Economic Calendar

Source: Binance & TradingView

In terms of digital currency, BTC rose sharply after the previous two days of trading, and once broke the 30,000 mark. Boosted by prices, options IV rose sharply across the board; Vol Skew also rose sharply as the demand for buying call options rose, reaching a high over the past year. Such a high Vol Premium attracted the attention of some traders , the largest ETH transaction yesterday was the 24 Nov 1400 vs 1750 Short Risky of 5000 ETH per leg.

Source: Deribit (as of 20 Oct 16:00 UTC+8)

Source: SignalPlus

As the price gradually moved higher, the BTC ETH options P/C Ratio dropped to lows around 0.35. On the one hand, BTC bulk opened a large number of Call positions near 32,000 on the two expiration dates of 24 Nov/29 Dec at the end of the year; on the other hand, a large number of Call Spread transactions also emerged on each expiration date, becoming the focus of the market.