SignalPlus Volatility Column (20230922): BTC falls, calendar spread strategy deserves attention

特邀专栏作者

2023-09-22 11:24

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After experiencing a wave of decline, BTC slowly rebounded back to above 26,500, the overall level of implied volatility dropped again by 2 to 3% Vol, and the slope of the term IV became steeper. On the other hand, after the price fell, the BTC/ETH Skew fell sharply, and the short- and medium-term 2

The U.S. interest rate market is still suffering from the aftershocks of the hawkish pause. The release of lower-than-expected initial jobless claims data (201,000 vs. 225,000 expected) has made matters worse. The two-year U.S. Treasury yield has climbed to its highest level since 2006. The highest point was 5.18%, and the ten-year yield also touched the 4.50% mark. Affected by this, the three major U.S. stock indexes all came under pressure and opened and closed lower. Sectors such as consumer goods and real estate fell sharply, causing the SPX to record its third largest single-day decline this year (-1.6%).

Source: SignalPlus, Economic Calendar

In terms of digital currencies, BTC slowly rebounded back above 26,500 after experiencing a wave of decline. The overall level of implied volatility dropped again by 2 to 3% Vol, and the term IV slope steepened. On the other hand, after the price fell, the BTC/ETH Skew fell sharply, and the short- and medium-term 25 dRR once again entered the negative range.

Source: Binance & TradingView

Source: Deribit (as of 22 Sep 16:00 UTC+8)

Source: SignalPlus

The bulk strategy trades over the past 24 hours were dominated by calendar spread strategies. Among them, BTC has been sold off in Put/Call recently, and has provided premium support for medium and long-term long positions. In terms of ETH, the bullish spread of 27 OCT 1600 C vs 29 DEC 2000 C has become the focus with the huge amount of 8000 ETH per leg in a single transaction. In addition, the triangular spread strategy represented by 29 SEP 1500 P vs 29 DEC 1000 P It has also been favored by traders, providing protection for the price of ether, which has been under pressure under high interest rates.