SignalPlus Volatility Column (20240619): SEC ends investigation into Ethereum

Yesterday (JUN 18), the monthly rate of US retail sales in May, which was called "horrible data" by the market, was lower than expected by 0.1%, and the previous value was revised down from 0% to -0.2%. After the data was released, the yield of US bonds fell slightly, giving up yesterday's gains, and the three major stock indexes closed slightly higher. On the other hand, many Fed officials gave speeches, expressing the conservative view that it would take "a few more months" or "a few quarters" to see data supporting interest rate cuts.

Source: SignalPlus, Economic Calendar

In terms of digital currencies, the market's focus over the past day has been on Ethereum. The first thing to mention is that the SEC has ended its investigation into the Ethereum 2.0 blockchain ecosystem. Consensys, an Ethereum developer, tweeted: "The SEC Enforcement Division has informed us that it will end its investigation into Ethereum 2.0. This means that the SEC will not charge that the sale of Ethereum is a securities transaction." The market sees this as an important positive, pushing the price of Ethereum to rebound, rising more than 3.+% on the day.

In addition, James Seyffart, an ETF analyst at Bloomberg, said that Ethereum spot may be launched before July 4, which once again attracted traders to place bets. It is worth mentioning that Lark Davis, a cryptocurrency analyst, pointed out that Glassnode data showed that the balance of ETH exchanges has reached an 8-year low, and only 10% of ETH is currently circulating on exchanges. At the same time, he also pointed out that if the Ethereum spot ETF begins trading in the next two weeks, a large amount of institutional funds will flow into the market, and a large-scale supply shock is coming.

Source: TradingView, ETH price vs BTC price trend comparison

In terms of options, affected by macro news, the ETH option implied volatility curve flattened and rose, reaching about 65% overall. Large call option transactions were hot, with a total of 30,500 purchases of forward 27 SEP 24-4000-C and a single purchase of 7,000 28 JUN 24-4000-C. The weekly call options were also boosted by price increases and were very popular among retail investors, pushing the smile curve to tilt toward call options as a whole.

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

Source: SignalPlus, ETH IV levels have risen significantly

Source: SignalPlus, ETH Vol Skew tilts towards calls

Data Source: Deribit, overall distribution of ETH transactions

Data Source: Deribit, overall distribution of BTC transactions

Source: Deribit Block Trade

Source: Deribit Block Trade

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