SignalPlus Volatility Column (20230824): The correlation between BTC and SP 500 prices has increased significantly

特邀专栏作者

2023-08-24 19:59 (UTC+8)

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The increase in the price of BTC has increased the realized volatility, and the IV has also increased. Among them, BTC has increased relatively evenly by about 1% Vol; ETH is different. The front-end increase is significantly larger than the back-end, which intensifies the inversion of this IV curve

AI Summary

Yesterday, friendly US economic data boostedRisk sentiment soars, both the U.S. dollar and U.S. bond yields fell from their recent highs, and the three major U.S. stock indexes opened higher. Among them, the SP 500 index recorded its largest single-day gain since June (+1.1), driven by technology stocks and real estate stocks. % ). Affected by this, BTC also experienced an increase of about +1.7%, closing at 26473.53. According to data from Coin Metrics,The Pearson correlation coefficient of BTC-SP 500 has continued to rise recently, reaching a level close to 0.5.

Source: Coin Metric

The increase in price increases realized volatility, and the IV increases as well. Among them, BTC has increased relatively uniformly by about 1% Vol; ETH is different. The front-end increase is significantly larger than the back-end, exacerbating the inversion of the IV curve in this section.

Source: SignalPlus

Source: SignalPlus, Higher realized volatility drives IV higher

Source: Laevitas,BTC P/C Ratio drops to 0.37

From the trading aspect, it can be clearly seen that since the US stock market opened yesterday, the market has refocused on the upside potential of risk assets, which naturally includes options strategies for digital currencies. The P/C Ratio of options trading volume has fallen rapidly, reaching The lows of the past week; in various contracts for September delivery, BTC is dominated by a large number of bullish spread strategies, while in sharp contrast is the more balanced view and strategy expression of ETH.

In addition, we once again observed counter-trend trading after the rebound of BTC’s mid-forward IV, with a large number of Short Strangle strategy transactions on 29 Sep 23 / 29 Dec 23 / 29 Mar 24. The reason is that although the price correlation between BTC and SP 500 has increased significantly recently, in fact, there is no new story in the digital currency itself that can stimulate the implied volatility, and the VIX of SP 500 is still in a downward channel. among.

Source: TradingView, Volatility S&P 500 Index

Source: Deribit Block Trade

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