SignalPlus Volatility Column (20231205): Price partially peaked, IV fell steeply

特邀专栏作者

2023-12-05 19:34 (UTC+8)

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In terms of digital currency, BTC formed a top resistance near 42,000 after several days of continuous growth. The IV at the front end of the options also gave up all yesterday’s gains. The ATM Curve steepened sharply and drove the Vol Skew back downwards. .

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Yesterday (4 Dec) the U.S. Treasury market showedXiong PingAccording to the trend, the two-year U.S. Treasury yield rose by about 10 basis points and is now at 4.629%. The 10-year U.S. bond yield rebounded to touch 4.3% and then gave up all the gains and is now at 4.243%. The three major U.S. stock indexes collectively closed down, with the Dow/SP 500/Nasdaq closing down 0.12%/0.54%/0.84% respectively. The market is entering the final stage before the end of the year, and before the 12.14 FOMC meeting, a series of employment data this week, including non-farm payrolls, will be watched by the market.

Source: SignalPlus, Economic Calendar

Source: Binance & TradingView

In terms of digital currency, BTC formed a top resistance near 42,000 after several days of continuous growth. The IV in the front end of the options also gave up all yesterday’s gains. The ATM Curve steepened sharply and drove the Vol Skew to return downwards. .

In terms of trading, the overall market trading volume has declined. With the price partially peaking, BTC saw a group of sell-offs at the end of January.Scale (1:2) Iron CondorStrategy, and accumulating 1000 BTC per legSell Near Buy Far Triangular Spread(Sell 26 Jan 24-42000-C vs Buy 28 Jun 24 60000-C), we can also see this strategy on ETH withSell 29 Dec Buy 26 JanIn addition, ETH is used for protection in the short and medium term.Bear Put SpreadIt is also a hot spot for transactions.

Source: Deribit (as of 5 DEC 16:00 UTC+8)

Source: SignalPlus

Source: Deribit Block Trade

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