SignalPlus Volatility Column (20240118): IV Accelerates Downward
The digital currency has entered the fifth day of sideways trading, with BTC's intraday maximum fluctuation of only about 1%. The implied volatility has overall accelerated downward, and ETH's front end has plummeted by 8-10% Vol, dropping to a level comparable to BTC.
Yesterday (17 JAN), the U.S. December retail data recorded 0.6%, exceeding the expected 0.4%, further dampening market expectations for a Federal Reserve rate cut. U.S. Treasury yields continued to rise, with the ten-year yield briefly breaking above the 4.1% mark, closing at 4.086%, while the two-year yield returned above 4.3%, reported at 4.327%. As a result, the three major U.S. stock indices faced pressure and closed lower, with the Dow/S&P/NASDAQ down 0.25% / 0.56% / 0.59%, respectively. Additionally, the Federal Reserve's Beige Book indicated signs of a cooling labor market across various regions.
Source: SignalPlus, Economic Calendar
Source: Binance \& TradingView
Cryptocurrencies have entered the fifth day of sideways trading, with BTC's intraday maximum amplitude only around 1%. Implied volatility has generally accelerated downward, with ETH's front-end plummeting 8-10% Vol, dropping to levels comparable to BTC. In terms of trading, BTC's Call Spread represented by 23 FEB 24 56000 vs 65000 still occupies the majority of the volume. Additionally, in the past 24 hours, there have been several large bullish purchases on 19 JAN 24 and 26 JAN 24 at 40000-P, providing protection against a downward scenario at relatively low price levels. ETH's trading volume ratio has significantly increased, with the largest transaction being the purchase of 29 JAN 24 2550-C and the sale of 29 MAR 24 2900-C, with a single-leg transaction volume reaching 25000 ETH.
Source: Deribit (as of 18 JAN 16:00 UTC+8)
Source: SignalPlus
Source: SignalPlus
Source: Deribit Block Trade
Source: Deribit Block Trade
