SignalPlus Volatility Column (20231023): BTC breaks 3, IV rises again
Last week, Fed official Bostic said in his speech that the Fed will not cut interest rates before the middle of next year, and the first interest rate cut may occur at the end of 2024; this week the market will focus on (UTC+ 8) 24 Oct 9: 45 pm US PMI data, 26 Oct 4:35 am Powells speech and US GDP data released at 8:30 pm that day.
Source: SignalPlus, Economic Calendar
In terms of digital currencies, BTC has fluctuated upward for several days and has now established a firm footing above 30,000. Boosted by this, the overall IV of BTC rose by about 7% again, and Skew also reached its historical high in the past year. The trading volume of call options at the end of the past day (27 OCT) was hot. On the one hand, there was the Call Spread represented by 31000 vs 32000, and the bullish triangle spread such as Buy 27 OCT 31500 vs Sell 24 Nov 40000. We are optimistic about this short-term upward momentum. continuation; on the other hand, the high Vol Premium of call options in this period also attracted the attention of sellers, and the cumulative selling of 1.6 K BTC at 31000 C balanced yesterdays trading distribution. In addition to this, 27 Oct Put saw heavy selling at 27000, with open interest increasing by almost 1K.
ETH once broke through the 1700 mark due to the linkage effect, and the IV was also raised by about 5%. Judging from the transaction volume, similar to BTC, 27 Oct Call Spread is a hot spot for bulk strategic trading. There are two main differences:
1. ETH had a large amount of bearish volatility Short Straddle strategy on 27 Oct/24 Nov, and the transaction IV was about 40~41%;
Second, 24 NOV 1650/1700 Call was subject to massive liquidation and buying, and OI decreased by 30.26 K/39.19 K ETH respectively.
Source: Binance TradingView, BTC fluctuated from 27,000 all the way up to break through 30,000
Source: Deribit (as of 23 Oct 16:00 UTC+8)
Source: SignalPlus
Source: Deribit Block Trade
Source: Deribit Block Trade
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