SignalPlus Volatility Column (20230828): The market is slowly falling

At the Jackson Hole meeting last week, Powell delivered a message that blended hawkishness and dovishness. He initially acknowledged that there was progress in inflation, and then hinted that there might be an interest rate hike, and did not rule out the possibility of the next interest rate hike. The market regarded this discussion as In a hawkish signal, the federal funds rate curve rose by 20 basis points as a whole, and bond yields showed a bearish trend.

Implied volatility on the front end of the options market continued to fall after the meeting, hitting bottom on Saturday night (around 26 Aug 08:00 pm) when BTC’s weekly options ATM IV fell from around 38% to 26% (-12 %), the IV at the end of the month also dropped by -6% to 32%. However, considering that next week’s data release is not dull, it attracted many buyers to enter the market at the low point, making the IV level of BTC/ETH It rebounded on Sunday, regaining about a third of its losses.

Source: SignalPlus, Economic Calendar

Source: Coinglass

When the time came to Monday, the digital currency market ushered in a day-long slow decline after experiencing a slight rise on Sunday night. BTC fell from a position close to 26,200 to below 26,000. As the market returned to the technical pivot point of 26,000 and investors were relatively confused about the development in the following week, short- and medium-term options IV continued the rebound after the opening, and the trading volume also increased along with the P/C Ratio. In terms of bulk trading, we can also see that the markets attention in the past 24 H has focused on the put spread strategy in September (1 Sep, 15 Sep, 29 Sep), as well as the put buy 1 Sep/15 Sep vs Sell 29 Sep Calendar spreads.

Source: Binance & TradingView

Source: Deribit (as of 28 Aug 16:00 UTC+ 8)

Source: SignalPlus,IV rebound

Source: SignalPlus, trading volume rises with P/C Ratio

Source: Deribit Block Trade

Source: Deribit Block Trade

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