With the recent depressed sentiment, Bitcoin has performed poorly since last night's US trading session, falling 2.5% around 10 o'clock, and continued to fall in the Asian session. A run occurred at one point, causing the price to fall to $55,606, and then rebounded slightly to around 56,000. The implied volatility maintains a negative correlation with the price during the day. After the violent intraday fluctuations, the term structure of BTC and ETH is bull flattening, with ETH's far end rising more significantly, and the volatility level at the front end shows a clear inverted pattern with the support of up to 85% RV during the day.

Source: SignalPlus

The IV change of ETH at the front end is not only higher than that of BTC. From a numerical point of view, the current IV of ETH is at a historical high (75 percentile and above), and the hedging cost implied by the volatility cone of RV also reflects the current rich VPR, which may attract bearish volatility strategies and weaken the upward shape of the term structure in the short term.

Source: SignalPlus

Source: Deribit (As of 4 SEP 16: 00 UTC+ 8)

As the price fell further and broke the recent low, the front-end Skew gave up all the gains yesterday and returned to the low level. The Vol Premium at the end of each maturity was also set at a higher position, among which BTC's 8 Nov related to the US election rose the most significantly, and the two subsequent maturity dates rose together. ETH's convexity at the end of the year (27 DEC) still maintained a local high, rising to 3.53%.

Source: SignalPlus, Vol Skew

Source: SignalPlus, Fly

Judging from the transaction volume, the direction of BTC transactions is relatively balanced. The price drop reminds traders to set extreme scenario protection for their positions (such as 29 NOV-35000-P 500 BTC Long put). At the same time, it also provides those who insist on bullishness with a cheaper bullish strategy position building opportunity, such as 27 SEP 63000 vs 65000 Long Call Spread (200 BTC per leg).

Source: SignalPlus, Block Trade

You can use the SignalPlus trading vane function at t.signalplus.com to get more real-time crypto information. If you want to receive our updates immediately, please follow our Twitter account @SignalPlusCN, or join our WeChat group (add assistant WeChat: SignalPlus 123), Telegram group and Discord community to communicate and interact with more friends.

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