SignalPlus Volatility Column (20240117): The market continues to consolidate, IV falls again

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2024-01-17 19:31 (UTC+8)

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The digital currency is still in the midst of a general market. BTC/ETH rose slightly above 43000/2600 respectively and then gradually gave back most of the gains. As a result, the implied volatility levels of the two have been reduced again. The front-end IV of BTC has returned to 50. Below %Vol, i

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Yesterday (16 JAN) Fed official Waller gave a speech. While acknowledging the possibility of an interest rate cut this year, he also downplayed market expectations for rapid interest rate cuts, saying that future policy formulation needs to be more cautious to avoid excessive tightening. U.S. bond yields gradually strengthened during the day. , the ten-year yield returned to above 4%, at 4.06%, and the two-year yield is now at 4.281%. The three major U.S. stock indexes collectively closed lower, with the Nasdaq/SP/Dow falling 0.19%/0.37%/0.62% respectively.

Source: SignalPlus, Economic Calendar

Source: Binance & TradingView

Digital currency is still in the midst of a general market trend. BTC/ETH rose slightly above 43000/2600 respectively and then gradually gave up most of the gains. As a result, the implied volatility levels of the two have been reduced again. BTCs mid-front IV has returned to 50 Below % Vol, it is at a low level in the past three months. Although ETH also experienced a slight decline, it once again produced a Vol Premium of about 3 to 8% with BTC. Overall, it is about the mid-point of the past three months. nearby.

From a trading point of view, the Call Spread of 23 FEB 24 has once again gained favor from the market, represented by BTC 60000 vs 65000 and ETH 2700 vs 3200; in addition, we have observed that under the current overall market situation that has lasted for more than 4 days, the recent The triangular bullish strategy has also received attention. For BTC, traders reduced the cost of buying 2 FEB Calls by selling 19 JAN Calls, pushing back the time of betting fluctuations to next week. ETH also bought 2 FEB Call, but chose to sell the further 23 FEB as a hedge.

Source: Deribit (as of 17 JAN 16:00 UTC+ 8)

Source: SignalPlus

Source: Deribit Block Trade

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