SignalPlus Volatility Column (20240327): The market entered a short-term consolidation trend, and the mid-front volatility fell back

特邀专栏作者

2024-03-27 19:31 (UTC+8)

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Digital currencies have temporarily paused their upward trend of recent days. After the price of the currency fell slightly from the recent high, BTC and ETH fluctuated slightly around $70,000 and $3,600 respectively for most of the past 24 hours, and the upside space became less clear.

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Yesterday (26 MAR), U.S. durable goods orders increased for the first time in nearly three months, housing prices accelerated, and the Housing Price index increased by 6.6% year-on-year, higher than the previous value of 6.3%. The U.S. bond market performed calmly, while the U.S. stock market first showed a general trend and then suffered a large-scale futures sell-off in late trading and finally ended slightly lower.

Source: SignalPlus, Economic Calendar

Source: SignalPlus & TradingView

Digital currencies have paused their upward trend over the past few days. After currency prices fell slightly from recent highs, BTC and ETH have been oscillating slightly around US$70,000 and US$3,600 respectively for most of the past 24 hours, and the upside space has become limited. It was so clear that the option market lowered the implied volatility and Vol Skew of the mid- and front-end. It can also be seen from the transaction that BTC Short 31 MAY 24-85000-C, BTC Short 5 APR-68000/73000-Strangle, ETH Short 26 APR 24-42000-Straddle is a strategy of bearish volatility and weak upward momentum. In addition, most of the short- and medium-term transactions of the two currencies are still based on the defensive bearish spread strategy as the main tone. BTC is partially traded. There was a shift to the mid-to-long term, with 27 DEC 24 100000-C receiving a bulk buy of 725 BTC, which was the largest open position yesterday.

Source: Deribit (as of 27 MAR 16:00 UTC+8)

Source: SignalPlus, mid-front-end ATM Vol drops

Source: SignalPlus, Vol Skew Drop

Data Source: Deribit, BTC ETH transaction distribution

Source: Deribit Block Trade

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