SignalPlus Volatility Column (20231212): Digital currency prices stabilize, front-end IV falls

特邀专栏作者

2023-12-12 19:49 (UTC+8)

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In terms of digital currency, BTC fell again to challenge the US$40,000 mark. It recovered its lost ground before the start of the Asian session and returned to oscillation below 42,000. The implied volatility also gradually adjusted and returned after the fluctuations subsided.

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Yesterday (11 Dec), U.S. Treasury yields gave up their daily gains and continued to fall after the 10-year U.S. Treasury auction. The 10-year U.S. Treasury yield fell below the 4.2% mark, reporting at 4.192%. The two-year U.S. Treasury bond, which is more sensitive to policy, It has also fallen below 4.7 and is now at 4.683%. The three major U.S. stock indexes rose slightly, with the Nasdaq/SP 500/Dow closing up 0.2%/0.39%/0.4% respectively. Tonight at 21:30 (UTC+ 8) CPI data will be released, officially kicking off the macro week.

Source: SignalPlus, Economic Calendar

Source: SignalPlus & TradingView

In terms of digital currency, BTC fell again to challenge the $40,000 mark, regaining its losses before the start of the Asian session, and returned to oscillate below 42,000. Implied volatility also gradually adjusted and returned after the fluctuations subsided. The middle and front ends of BTC/ETH were maintained at around 48%/51% respectively. The shape of the curve showed a flat front and steep shape with the end of the year as the dividing point. In terms of trading, BTC is relatively active in the short term. The 40000-P in December continued yesterday’s buying. At the same time, as a resistance level some time ago, the call options on the 15 Dec 23 44000 exercise price were also heavily sold. ; On the other hand, when prices corrected and temporarily regained stability, Long Call Spread transactions on large volumes also returned. Among them, BTCs large orders were mostly concentrated around December, while ETHs were more distant in January and February next year. .

Source: Deribit (as of 1 2D EC 16:00 UTC+ 8)

Source: SignalPlus

Source: Deribit Block Trade

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