SignalPlus Volatility Column (20230911) Macro policies are gradually stabilizing, and the cryptocurrency market continues to remain sluggish.

特邀专栏作者

2023-09-11 19:37 (UTC+8)

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The market remained relatively calm for most of last weekend, with BTC maintaining a range below 26,000 with low volatility. However, as the workweek began, BTC prices first experienced a small decline, followed by a significant rebound in the early morning, and has since maintained a higher level o

AI Summary

Last Friday, as data once again showed the strong momentum of the US economy, US bond yields recovered all lost ground after falling to an intraday low (4.981) and turned higher, currently at 4.993. International oil prices continue to rise, with prices approaching $90 per barrel. In addition, dovish remarks from Federal Reserve officials may indicate a decline in the possibility of a rate hike in September, with most speeches indicating that policy rates are already at a "restrictive level."

Source: SignalPlus, Economic Calendar

For most of the weekend, the market remained relatively calm, with BTC maintaining its level below 26,000 with low volatility. However, with the arrival of the workweek, BTC price first experienced a small decline, followed by a significant rebound with larger volatility in the early morning (around 11 Sep 3:30 am UTC+8), and maintained a higher actual volatility. As a result, implied volatility of options also rebounded from its weekend lows, with recent IV increasing by around 1.5% to 3% and returning above the 30% support level, and medium to long-term volatility rising slightly by 0.2% to 0.8%, with the overall curve flattening.

Source: Binance & TradingView

Source: Deribit (as of 11 Sep 16:00 UTC+8)

Source: SignalPlus, IV rebounds from the bottom

The market volume remains low over the weekend, only about 25% of the usual. The P/C Ratio is around 1.0. Bulk strategy trading is mainly focused on the October Call Spread. BTC traders have sold the 26000/27000 Calls to earn a handsome premium, while buying twice the amount of 31000/32000 for protection. For ETH, there is a bullish spread of 2000 vs 2200 with a price difference of 625 per leg.

Source: Laevitas, Weekend trading volume is low, P/C Ratio remains high

Source: Deribit Block Trade

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