SignalPlus Volatility Column (20231025): Prices consolidate, volatility falls

特邀专栏作者

2023-10-25 21:45 (UTC+8)

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Both BTC and ETH held on to this wave of gains, consolidating around 34,000 and 1,800 respectively. As the actual volatility decreased, the IVs of all periods declined. The short-term ATM IV plummeted by 6% to 15%, and the inverted volatility curve gradually flattened.

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Yesterday (25 Oct), the US October services PMI recorded 50.9, exceeding expectations of 49.9 and the previous value of 50.1, a new high since September 2022. The ten-year U.S. Treasury yield first rose and then fell during the U.S. session, barely holding the 4.8% mark. It rose again after the opening of the Asian market and is now at 4.866%; the two-year U.S. Treasury bond once reached an intraday high of 5.133% last night. point, and then fell back in the short term around 5:00 am (UTC+ 8), now trading at 5.079%.

Source: SignalPlus, Economic Calendar

In terms of digital currencies, both BTC and ETH have held on to this wave of gains, consolidating around 34,000 and 1,800 respectively. As the actual volatility decreased, the IVs of all periods declined. The short-term ATM IV plummeted by 6% to 15%, and the inverted volatility curve gradually flattened.

Source: Binance & TradingView

Source: Deribit (as of 24 Oct 16:00 UTC+8)

Source: SignalPlus

In terms of trading, BTC transactions were concentrated at the end of November and December. It was observed that:

1. A total of more than 10,000 BTC in the two periodsCall Spreadsufferedsell off

Second, contrary to yesterday’s situation, todaySell Short (24 Nov) Buy Long (29 Dec)The calendar bullish strategy has become a trading hotspot;

3. Current BTCRR has not rebounded yet, Long 29 DEC RiskyStill attracting traders to open positions

Source: SignalPlus

On the ETH side, the bulk marketBullish sentiment is strong, represented by 29 Dec 2200 vs 2800Long Call SpreadThe trading volume of the strategy reached 28.5 K ETH, and at the end of November, Long Risky accumulated 10,000 ETH per leg.Continue to buy Skew; In addition, a large number of positions (6 K ETH) were liquidated on 24 Nov 1900 C, and an equal amount was exchanged for forward 29 Mar 1900 C, forming acalendar spread。

Source: Deribit Block Trade

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