SignalPlus波动率专栏(20240116)：ETH IV向BTC回归
Yesterday (15 JAN), due to the Martin Luther King Jr. Day holiday, the U.S. stock market and U.S. debt markets were closed for one day, and the overall market was relatively calm.
In terms of digital currency, BTC is still fluctuating slightly in the range of 42,000 to 43,000, rising slightly by 0.22% during the day, while ETH is trading above 2,500, closing up 0.72%. In terms of options, as the actual volatility continues to hover at a low point, the front end of the BTC IV curve has been lowered, and Weekly ATM has dropped by about 4% to 54.98%; the changes in ETH have been more significant, with the front and back ends lowered by about 8%/3% respectively. After the ETF was approved, ETHs high Vol Premium relative to BTC also converged sharply today, and the IV before 2 FEB 24 has almost remained the same.
In terms of trading, options trading volume has not improved this week. As of todays delivery, the BTC/ETH market has a trading volume of only 1.46/0.48 B US dollars respectively. Top Trade is Long Call Spread for ETH 27 SEP 24 3000 vs 4000, 5000 ETH per leg.
Source: SignalPlus, Economic Calendar
Source: Binance & TradingView
Source: Deribit (as of 15 JAN 16:00 UTC+ 8)
Source: SignalPlus, ETH IV drops sharply
Source: SignalPlus, market transactions this week were slightly flat
Source: Deribit Block Trade
Source: Deribit Block Trade
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