SignalPlus Volatility Column (20240319): Falling and falling

The Bank of Japan is preparing to decide on Tuesday to end its yield curve controls and purchases of risky assets, Nikkei reported. Yesterday (18 MAR) was relatively calm overall, and the market was still waiting for the announcement of the Bank of Japans decisions today and the decisions of major central banks next this week. In the United States, the three major stock indexes rebounded, with the Dow rising 0.2%, the SP and the Nasdaq closing up 0.6% and 0.82% respectively.

Source: SignalPlus, Economic Calendar

Source: Binance TradingView, BTC gives back all gains since March

In terms of digital currencies, BTC and ETH are still fluctuating sharply downward, giving up almost all the gains since March, closing at 64400 (-5.57%) and 3347 (-7.67%) respectively. In terms of options, the short-term option IV during the week rose sharply amid the panic that it may fall below the support level. Vol Skew once again tilted like a put option. The Vol Premium on the BTC Put side was nearly 5 to 10% higher than the Call Vol. ETH reached a higher level. An exaggeration of 10% to 20%. On the other hand, BTC has a dent in the middle IV, which is mainly dominated by the Sell Call at the end of March and the Sell Put at the end of April in terms of trading volume. The selling pressure of ETH in March is also significant, both from the large selling of 3600/3250/3200 Put and the Sell Call Flow of 4400-4800 on the option chain.

Source: Deribit (as of 19 MAR 16:00 UTC+8)

Source: SignalPlus, IV surged during the week

Source: SignalPlus, front-end Vol Skew goes down again

Data Source: Deribit, ETH transaction distribution

Data Source: Deribit, BTC transaction distribution, sell Call at the end of March, sell Put at the end of April

Source: Deribit Block Trade

Source: Deribit Block Trade

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