SignalPlus Volatility Column (20231109): BTC challenges the 37,000 mark, IV rises sharply

Yesterday (8 Nov), U.S. stocks fluctuated slightly throughout the day, with the Dow closing down 0.12%. The Nasdaq and SP 500 achieved eight consecutive gains, closing at 13650.41 (+0.08%) and 4382.78 (+0.1%) respectively. The 10-year U.S. Treasury auction showed strong overseas demand, with the yield falling below 4.5% and falling to the lowest level since September, closing at 4.497%; while the two-year U.S. Treasury yield, which is more sensitive to the Federal Reserves policy interest rate, closed slightly higher. It closed at 4.936%.

Source: SignalPlus, Economic Calendar

Source: Binance & TradingView

In terms of digital currencies, BTC began to rise steadily in the early morning of 9 Nov UTC+ 8 and touched near the 37,000 mark, while ETH successfully broke through the 1,900 mark due to weak linkage. Affected by this, the overall implied volatility surface has risen sharply, with BTCs recent ATM IV skyrocketing by more than 10% Vol, and ETH rising by 7% + Vol.

Source: Deribit (as of 9 NOV 16:00 UTC+8)

Source: SignalPlus

From another perspective, rising prices also cause the volatility surface pattern to tilt significantly. The current 25 dRR of BTC/ETH can reach a level of about 10%.

Source: SignalPlus

In terms of transactions,Steady growth in BTC price boosts trades in bullish spread strategies. to Buy29 DEC 23 -45000-C vs Sell 26 JAN 24 -52000-C is represented byTriangular Call Spread Strategy Becomes Trading Hot Spot, ETH is in24 Nov vs 29 DecThe same thing also appears on both expiry dates.Buy short, sell longStrategy. besides,BTC’s short-term call spread is also continuing to build positions, as on 17 Nov 37000 vs 4000 Call Spread (462.5 BTC per leg)

Source: Deribit Block Trade

Source: Deribit Block Trade

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