SignalPlus Volatility Column (20231218): BTC fell below $41,000, short-term buy Put is very popular

As the Christmas holiday approaches, market trading volumes have gradually declined and cross-asset volatility has also begun to decline. Last Friday, the three major U.S. stock indexes had mixed gains and losses, with the Dow Jones and Nasdaq closing up 0.15% and 0.35% respectively; the SP 500 closed down at 4719.19 (-0.01%). In terms of U.S. bonds, according to the Golden Ten report, New York Fed President Williams, the third in command of the Federal Reserve, strongly responded to market expectations for an interest rate cut, saying that the Federal Reserve has not really discussed cutting interest rates at the moment, and it is too early to consider an interest rate cut in March next year. At the same time, Chicago Fed President Goolsby also said that it is too early to declare victory in the fight against inflation and not to make wishful thinking too early. Despite this, U.S. bond yields continue to fall, with the current two-year/ten-year yields at 4.413%/3.900% respectively. In addition, in terms of crude oil, Goldman Sachs announced that it will lower its price forecast for Brent crude oil in 2024 on the grounds that strong production in the United States will restrain the rise in oil prices; they also pointed out that factors such as OPEC’s decision to control supply and extend the production reduction plan to 2025 should This will limit the downside risks to oil prices.

Source: SignalPlus, Economic Calendar

Source: Binance & TradingView

In terms of digital currencies, BTC has slowly fallen in recent days and has fallen below the $41,000 mark several times, while ETH has weakly linked to the bottom line of 2,100. In terms of options, the partial downward trend has promoted the rise of the front-end Vol Curve, with BTC/ETH returning to around 50%. On the other hand, the current options market Vol Skew is still at a relatively low quantile level. Under the low overall market trading volume yesterday, the P/C Ratio of Deribit trading volume in the past 24 H has risen linearly to 1.2, mainly concentrated on Buying put options trading near 2 2D EC and 29 Dec 41000; in terms of bulk, buying recent protective Put is also the focus of the strategy. Among them, BTC has a triangular calendar bearish strategy of buying 2 2D EC and selling 29 DEC, and ETH has appeared The calendar Risky represented by Buy 29 Dec 2000-P vs Sell 26 Jan 2400-C.

Source: Deribit (As of 18 DEC 16: 00 UTC+ 8)(As of 18 DEC 08: 00 UTC)

Source: SignalPlus, front-end IV rises, curve flattens

Source: SignalPlus, Vol Skew is at low quantile levels over the past three months

Source: Laevitas, BTC P/C Ratio rises sharply

Source: Deribit Block Trade

Source: Deribit Block Trade

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