SignalPlus Volatility Column (20231027): IV plunges

特邀专栏作者

2023-10-27 19:41 (UTC+8)

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The digital currency gave up yesterdays gains, and ETH returned to below 1,800 again, followed closely by its Vol Skews plunge, with the mid- and front-end falling back to close to zero from +8%.

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The digital currency gave up yesterdays gains, and ETH returned to below 1,800 again, followed closely by its Vol Skews plunge, with the mid- and front-end falling back to close to zero from +8%.

Dragged down by technology stocks, the three major U.S. stock indexes collectively fell yesterday, with Nasdaq/SP/Dow Jones closing down 1.76%/1.18%/0.76% respectively. The U.S. economic data is very impressive. In the third quarter, GDP far exceeded expectations, growing by 4.9%, the fastest growth rate in the past two years. Affected by this, U.S. bond yields fell overall, with the 2-year and 10-year yields closing at 5.039% and 4.846% respectively yesterday.

Source: SignalPlus, Economic Calendar

Source: Binance & TradingView

digital currencyGiving up yesterday’s gains, ETH is back below 1,800 again, followed closely by itsVol Skews plunge, the middle and front end dropped from +8% back to near zero. Similarly, in terms of ETH Risky trading, the Short Risky strategy represented by 3 Nov buy 1750 p vs sell 1950 c replaced the previously popular Long Risky and became a new trading hot spot.further depressing Skew; Judging from the overall level of volatility, as the market has almost absorbed the positive expectations brought by the registration of iShares BTC ETF, and lacks the stimulation of new stories, BTC/ETH has not received substantial gains after reaching around 34000/1800 respectively. further breakthrough,Implied volatility finally fell sharply today, the front-end IV of BTC/ETH returned to below 50%/45% respectively, the volatility curve changed from inversion to steepening, and there are also short BTC 3 NOV 34000 Staddle and Short ETH 3 NOV 1750/1800 Strangle in the bulk market.Bearish near-term volatility strategy。

Source: Deribit (as of 27 Oct 16:00 UTC+8)

Source: SignalPlus

Source: Deribit Block Trade

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