SignalPlus Volatility Column (20231106): ETH front-end IV overtakes BTC and challenges the 1900 mark

Last Friday, the United States announced a seasonally adjusted non-farm payroll increase of 150,000 in October, which was lower than market expectations of 180,000. It was the smallest increase since June. The total number of new jobs in August and September was revised down to 101,000. At the same time, ISM service industry data also performed weaker than expected, strengthening market speculation on the end of the Federal Reserves interest rate hike. The futures market reflected that the possibility of the Federal Reserve raising interest rates in January next year dropped to 20%. U.S. bond yields have collectively plunged, with the 10-year U.S. bond yield falling more than 10 basis points for the third consecutive day and once falling below 4.5%, now at 4.593%; the two-year U.S. bond yield, which is more sensitive to policy, also fell sharply. , reported 4.88%.

Source: SignalPlus, Economic Calendar

Source: Binance & TradingView 

In terms of digital currency, thanks to the decline in bond yields, the price of BTC has rebounded slightly in the past three days and returned to around 35,000.ETH has achieved a steady rise from 1800 and has challenged the 1900 mark several times.. Looking at implied volatility, both Atm Curves have remained relatively stable over the past few days.steepShape,However, the front-end IV in ETH has overtaken BTC, and the current difference is about 2 to 4%.

Source: Deribit (as of 6 NOV 16:00 UTC+8)

Source: SignalPlus

In terms of trading, we also see that ETH’s stronger rising trend has attracted short-term bullish buying strategies. The Call Spread strategy represented by 10 Nov 1950 vs 2050 has accumulated a trading volume of nearly 40,000 ETH in the past 24 hours. However, the subsequent selling of 12.75 K ETH call options on 17 Nov 1900 C temporarily delayed the continued rise in ETH volatility.

Regarding BTC, except for the 37000 vs 40000 call spread of a group of 400 BTC (per leg) on ​​17 Nov, there are no other remarkable strategic transactions. A large number of call option sales at 38000 40000 on Dec 29 (Volume: 475 / 675 BTC) became its focus yesterday, with the OI of 40000-C reduced by 227 BTC, which was the maximum reduction point yesterday.

Source: Deribit Block Trade

Source: Deribit Block Trade

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