SignalPlus Volatility Column (20240115): BTC may suffer from selling pressure, IV rises again
Last Friday (12 JAN), the unexpected weakening of US PPI triggered a short-term plunge in US bond yields. The two-year bond price fell below 4.2% and then fluctuated slightly at a low level, now trading at 4.146%. The ten-year bond price once fell to around 3.93%. In the past few days, it has gradually recovered its lost ground and reported 3.974%. The three major U.S. stock indexes were mixed, with the Dow down 0.31% and the SP and Nasdaq close close to flat (+0.08%/+0.017%).
Source: SignalPlus, Economic Calendar
In terms of digital currency, the price of BTC fell by about 8% again from the 12th to the 13th, once testing the $42,000 mark, and now remains fluctuating below 43,000. Analysis pointed out that after the ETF was approved, GBTC’s trading volume topped the list with more than half of the total volume. From the data, GrayScale once reached a positive negative premium of 50% after successfully converting it from a trust to an ETF. Gradually disappearing, and its high management fee of up to 1.5% gives people more reason to believe that holders will be willing to sell or convert it to other ETFs, but from Arkham’s data we see that the current Grayscale BTC holdings are as high as 26.6 billion U.S. dollars, and the outflow of funds in recent days is about 1.67 billion U.S. dollars. This means that Grayscale may not be selling a large amount of BTC because customers continue to sell GBTC, although some people also pointed out that the addresses counted by Arkham may not be enough. Comprehensive, but as cryptocurrency KOL Neuner said, 25 billion US dollars is a quite large number. Even if only 20% is redeemed, it means that there will be a turnover of 5 billion US dollars in the market. Bitcoin may There will be selling pressure for a period of time.
In terms of options, with the arrival of the working day, the front end of the implied volatility curve has risen sharply. The IV of BTC in the past two weeks has been basically between 55% and 60%. The ETH curve is relatively steep, and there is still a high gap with BTC in the medium and long term. premium. Vol Skew remains at the lower levels it has been for the past three months.
Transactions are relatively flat. BTC mid- and forward-term 50000-C is still a hot spot for buying. So far, the exercise price has accumulated 23,110 BTC OI, which is much higher than other points.
Source: Bloomberg,ETF management fee comparison
Source: Arkham, grayscale position changes
Source: Binance & TradingView
Source: Deribit (as of 15 JAN 16:00 UTC+ 8)
Source: SignalPlus
Source: SignalPlus
Source: Laevitas
Source: Deribit Block Trade
Source: Deribit Block Trade
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