SignalPlus Volatility Column (20240520): ETF Resolutions This Week

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SignalPlus
1 months ago
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In terms of digital currency, the US SEC is expected to announce its final decision on VanEcks ETH Spot ETF on May 23rd local time this week, which has attracted great attention from the market. From the volatility pricing in the options market, we can see that...

SignalPlus Volatility Column (20240520): ETF Resolutions This Week

SignalPlus Volatility Column (20240520): ETF Resolutions This Week

In terms of digital currency, this week the U.S. SEC is expected to announce the final decision on VanEcks ETH Spot ETF on May 23rd local time, which has attracted great attention from the market. From the volatility pricing of the options market, it can be seen that the ATM Vol of ETH 24 MAY has continued to rise in the past few days and formed a local high point. The overall level is also 5-10% higher than BTC Vol. The slope of the term is also flatter due to the higher Vol Premium at the front end. This will undoubtedly be an important moment for the cryptocurrency community. Although the market is relatively optimistic about the approval of the ETH ETF, the recent weak trend of ETH seems to suggest that the market has digested the rejection of Ethereum this time. Analysts believe that the approval of the ETH ETF is expected to be achieved next year, which will provide investors with more investment opportunities and promote the development of the entire crypto industry.

SignalPlus Volatility Column (20240520): ETF Resolutions This Week

Source: SignalPlus, BTC ETH ATM Vol

SignalPlus Volatility Column (20240520): ETF Resolutions This Week

Source: Deribit (as of 20 MAY 16: 00 UTC+ 8)

In terms of trading, ETH 24 MAY attracted a group of Sell Straddle transactions of 3250 ETH per leg in bulk due to the formation of a local IV high, betting on the Premium of IV-RV. In terms of BTC, a large number of long put option transactions emerged in May and June in the past day, driving the decline of Vol Skew in this range.

SignalPlus Volatility Column (20240520): ETF Resolutions This Week

SignalPlus Volatility Column (20240520): ETF Resolutions This Week

Data Source: Deribit, overall distribution of ETH transactions

SignalPlus Volatility Column (20240520): ETF Resolutions This Week

Data Source: Deribit, overall distribution of BTC transactions

SignalPlus Volatility Column (20240520): ETF Resolutions This Week

Source: Deribit Block Trade

SignalPlus Volatility Column (20240520): ETF Resolutions This Week

Source: Deribit Block Trade

SignalPlus Volatility Column (20240520): ETF Resolutions This Week

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