SignalPlus Volatility Column (20240119): BTC fell 5% in the short term, and the medium and long-term IV continued the decline

Yesterday (18 JAN) Federal Reserve Bostic made a statement to the market. He said that if inflation slows down, it is better to keep interest rates higher for a longer period of time. If the inflation rate declines faster, interest rates may be cut earlier. After this, the United States announced that the number of initial jobless claims for the week was 187,000 (lower than the expected 207,000), a new low since the end of September last year, highlighting the still solid status of the labor market and once again suppressing market sentiment. In response to expectations of the Federal Reserve cutting interest rates, U.S. bond yields have risen, with the current two-year and ten-year rates at 4.346%/4.150% respectively. The three major U.S. stock indexes opened higher and closed higher, with the Dow/SP/Nasdaq rising 0.54%/0.88%/1.35% respectively.

Source: SignalPlus, Economic Calendar

In terms of digital currency, after nearly a week of sideways trading, BTC fell by about 5% in the short term yesterday, once challenging the 41,000 mark and being supported, setting a new low after the ETF approval. The market pays close attention to the flow of funds related to ETFs. Many analysts attribute the recent decline of BTC to the selling pressure of Grayscale BTC. Among them, JPMorgan Chase pointed out the importance of liquidity and market depth, saying that if GBTC loses its liquidity advantage , there may be more capital withdrawals, the amount will reach 5 billion to 10 billion US dollars; it is also mentioned that while institutional investors have successively withdrawn from GBTC, “Bitcoin wallets from retail investors have shrunk in recent days. ”, they appear to be moving away from exchanges towards cheaper spot BTC ETFs.

Source: Binance & TradingView

In terms of options, the mid-to-long-term IV of BTC/ETH has dropped again by about 2%/4% in the past 24 hours. The overall level of BTC is almost close to the lowest point in the past three months. At the same time, among traders, ETH’s price in January and the end of June respectively There were several Short Strangles with bearish volatility, but the opposite was true on BTC. Traders chose to buy on dips at the lows in the past three months. 23 Feb 44000 Straddle bullish volatility, which is also close to the term surface. lowest point. In addition, trading was most active at the end of January, and there was a clear tendency to buy puts and sell calls in the market, causing the 25 dRR on that expiration date to fall by about 2% to the low of the Vol Skew curve.

Source: Deribit (as of 18 JAN 16:00 UTC+ 8)

Source: SignalPlus

Source: SignalPlus

Source: SignalPlus,BTC end January 25 dRR down 2% to Vol Skew curve low

Source: Deribit Block Trade

Source: Deribit Block Trade

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