SignalPlus Volatility Column (20231128): Entering the end of the year, IV fell

avatar
SignalPlus
3 months ago
This article is approximately 355 words,and reading the entire article takes about 1 minutes
Digital currencies entered the overall market, with BTC prices fluctuating slightly around 37,000, and ETH mostly fluctuating above $2,000, falling below the 2,000 mark twice.

SignalPlus Volatility Column (20231128): Entering the end of the year, IV fell

SignalPlus Volatility Column (20231128): Entering the end of the year, IV fell

Yesterday (27 No v2 3), the U.S. bond yields fell overall. The ten-year U.S. bond yield once fell to an intraday low of 4.37%. It rebounded back to 4.40% before the U.S. stock market opened. The two-year U.S. bond yield is more sensitive to interest rate policies. U.S. bonds fell again to 4.9% and are now at 4.877%. U.S. stock market fluctuations were relatively muted, with the Nasdaq/Dow/SP 500 closing down 0.07%/0.16%/0.2% respectively.

SignalPlus Volatility Column (20231128): Entering the end of the year, IV fell

Source: SignalPlus, Economic Calendar

SignalPlus Volatility Column (20231128): Entering the end of the year, IV fell

Source: Binance & TradingView

Digital currencies entered the market, with BTC prices fluctuating slightly around 37,000, and ETH mostly fluctuating above $2,000, falling below the 2,000 mark twice. In options, implied volatility has fallen along with realized volatility, with Vol retreating from a recent rally heading into the final month of the year, but remains relatively high compared to the past three months. In addition, as the markets bullish sentiment cools down, the slope of the mid-front-end curve is gradually flattening, and the term Vol Skew becomes steeper.

SignalPlus Volatility Column (20231128): Entering the end of the year, IV fell

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

SignalPlus Volatility Column (20231128): Entering the end of the year, IV fell

Source: SignalPlus,IV overall decline

SignalPlus Volatility Column (20231128): Entering the end of the year, IV fell

SignalPlus Volatility Column (20231128): Entering the end of the year, IV fell

Source: SignalPlus, Vol has retreated from recent gains but remains relatively high compared to the past three months

SignalPlus Volatility Column (20231128): Entering the end of the year, IV fell

Source: SignalPlus, mid-front Vol Skew down

There was no significant change in BTC options OI in the past day, and trading was relatively lackluster.1 DEC/29 DEC There are more bulk shops selling Put near some ATMs than usual.. ETH transactions are mainly concentrated in call options (P/C Ratio= 0.38, which is almost only 1/2 of BTC). One group of buying 26 Jan 24 2600 vs 3200 Call Spread has become a hot spot in the bulk market and can be seen on the Deribit platform.Call options at 2100-2200 have been heavily sold by retail traders recently, pushing down the IV and Vol Skew on the front end.

SignalPlus Volatility Column (20231128): Entering the end of the year, IV fell

Source: Deribit Block Trade

SignalPlus Volatility Column (20231128): Entering the end of the year, IV fell

Source: Deribit Block Trade

SignalPlus Volatility Column (20231128): Entering the end of the year, IV fell

You can search for SignalPlus in the Plugin Store of ChatGPT 4.0 to get real-time encryption information. If you want to receive our updates immediately, please follow our Twitter account @SignalPlus_Web3, or join our WeChat group (add assistant WeChat: xdengalin), Telegram group and Discord community to communicate and interact with more friends.

SignalPlus Official Website:https://www.signalplus.com

Original article, author:SignalPlus。Reprint/Content Collaboration/For Reporting, Please Contact report@odaily.email;Illegal reprinting must be punished by law.

ODAILY reminds readers to establish correct monetary and investment concepts, rationally view blockchain, and effectively improve risk awareness; We can actively report and report any illegal or criminal clues discovered to relevant departments.

Recommended Reading
Editor’s Picks