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SignalPlus Volatility Column (20231121): The volatility curve is steepening
SignalPlus
特邀专栏作者
2023-11-21 11:44
This article is about 512 words, reading the full article takes about 1 minutes
In terms of digital currency, the term implied volatility curve of options shows a significant steepening (the front end decreases and the middle and back ends increase). The reason is that, on the one hand, the actual volatility of BTC/ETH is slowly falling, and the United States will be closed for

because20-year Treasury auction better than expected, the 10-year U.S. Treasury yield fell 5 basis points during the session and was now at 4.408%, and the two-year U.S. Treasury yield successfully stood at 4.9%, at 4.911%. In terms of U.S. stocks,Microsofts counterattack on OpenAI allays investor concerns about AI sector, technology stocks ended up 1.5% higher and inLong-dated U.S. Treasury yields fallUnder the situation of driving the index higher, the Dow/SP 500/Nasdaq were respectivelyrise 0.58% /0.74% /1.13% 。

Source: SignalPlus, Economic Calendar

In terms of digital currencies, the term implied volatility curve of options appears.Obvious steepening (front end decreases, middle and rear ends increase). The reason is that on the one hand, BTC/ETHRealized volatility is slowly falling back, maintaining slight fluctuations above 37000/2000 respectively in the past day.In addition, the United States will be closed for the Thanksgiving holiday this week, which has caused a decline in short-term volatility.. In terms of trading, BTC 24 NOV ATM near Call (37500/38000) suffered heavy selling. At the same time, we also observed 1750 C and 2300 C on the same expiration date of ETH being heavily sold and liquidated, and OI decreased respectively. About 4940/3670 ETH. On the other hand, investors continued to trade on 29 Dec 23 and 26 Jan 24Buy Call layout, or a new round of bets on SEC-approved ETFs, like on BTCSell ​​short and buy longThe 24 Nov 37500-C vs 29 Dec 45000 triangle spread, and there are up to 5390 contracts in the ETH retail market26 Jan 24-2400 CBuy to build a position.

Source: Deribit (As of 21 NOV 16: 00 UTC+ 8) (As of 21 NOV 08: 00 UTC)

Source: SignalPlus

Source: Deribit Block Trade

Source: Deribit Block Trade

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