SignalPlus Volatility Column (20231124): Market closed for Thanksgiving, IV drops

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SignalPlus
8 months ago
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Yesterday, the U.S. stock and bond markets were closed due to the Thanksgiving holiday. Digital currencies generally showed a slight upward trend. BTC and ETH successfully exceeded 38,000 and 2,100 respectively after closing at 16:00 UTC+8, which once again encouraged the market.

SignalPlus Volatility Column (20231124): Market closed for Thanksgiving, IV drops

SignalPlus Volatility Column (20231124): Market closed for Thanksgiving, IV drops

Yesterday, the U.S. stock and bond markets bothThe market is closed for the Thanksgiving holiday, the overall presentation of digital currencyA slight upward trend, among which BTC and ETH successfully exceeded 38000 and 2100 respectively after closing at UTC+ 8 16 points, which once again encouraged the market. Under this situation, the volatility level of options was also reduced accordingly, and ETH IVThe overall decline is about 1~2% Vol., the BTC IV curve is atFalling and steepening sharply(Bear Steepening), of which IV fell 4.36% in the next week, and fell 3.06%/0.67% in the current quarter and the second quarter respectively.

Most of the bulk trades are put. We have observed that on 1 Dec and 29 Dec, the positions of BTC 36000 ~ 38000 and ETH 2000 2100 have suffered a lot of selling pressure. There are also some opinions in the market today that the dust of the BN incident has settled. It has cleared the biggest obstacle before the current bull market. On the other hand, BTC’s last set of proportional spreads attracted everyone’s attention, with the strategy selling the further 40000 C in 8 Dec while buying more 42000 C as protection (Size: 1000 BTC vs 1750 BTC)

SignalPlus Volatility Column (20231124): Market closed for Thanksgiving, IV drops

Source: SignalPlus, Economic Calendar

SignalPlus Volatility Column (20231124): Market closed for Thanksgiving, IV drops

Source: Binance & TradingView

SignalPlus Volatility Column (20231124): Market closed for Thanksgiving, IV drops

Source: Deribit (as of 24 NOV 16:00 UTC+8)

SignalPlus Volatility Column (20231124): Market closed for Thanksgiving, IV drops

Source: SignalPlus

SignalPlus Volatility Column (20231124): Market closed for Thanksgiving, IV drops

Source: Deribit Block Trade

SignalPlus Volatility Column (20231124): Market closed for Thanksgiving, IV drops

Source: Deribit Block Trade

SignalPlus Volatility Column (20231124): Market closed for Thanksgiving, IV drops

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