SignalPlus Volatility Column (20231207): Price peaked again, Skew was penetrated into the negative range

特邀专栏作者

2023-12-07 19:39 (UTC+8)

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In terms of digital currencies, this round of BTC rally peaked again near 44,000 and showed signs of a downward trend after the close of options today. The front-end implied volatility fell back together with the market’s bullish enthusiasm, and the overall volatility level also showed a significant

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Yesterday (6 Dec), the U.S. ADP employment number, known as the small non-agricultural sector, recorded 103K, falling short of expectations for four consecutive months. This once again confirmed the weakening of the U.S. job market. As a result, U.S. bond yields fell again. The one-year yield recovered some of its losses after once falling to 4.1%, and is now at 4.145%. The two-year yield is still fluctuating around 4.6%, at 4.607%. The three major U.S. stock indexes opened higher and moved lower, with the Dow/SP/Nasdaq closing down 0.19%/0.39%/0.59% respectively.

Source: SignalPlus, Economic Calendar

Source: Binance & TradingView

In terms of digital currency, this round of BTCs rising market peaked again near 44,000 and showed some signs of a downward trend after the close of options today. The front-end implied volatility fell together with the markets bullish enthusiasm, and the overall volatility level also showed a significant increase. fell. From a trading point of view, retail investors have begun to sell call options in large quantities in the near future, causing the Vol Skew on the front end of BTC to be suppressed to a negative area, and ETH can only maintain it above the zero axis; bulk transactions are mainly in the medium and forward period, among which ETH transactions are relatively Generally speaking, in January and February when the Vol Curve was relatively flat, BTC had a rolling strategy represented by selling and closing positions at 26 Jan 24 50000-C vs buying and opening positions at 23 Feb 54000-C.

Source: Deribit (as of 7 DEC 16:00 UTC+8)

Source: SignalPlus

Source: Deribit Block Trade

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