SignalPlus Volatility Column (20240123): BTC falls below 40K

2024-01-24 11:13:23

Collection

The decline of BTC continues, and after a slight rebound following its first drop below the 40,000 mark, it has once again moved down to challenge 39,000 USD before today's options close. The decline of ETH is even more severe, dropping about 5.6% within three hours, reaching a low close to 2,212 USD.

Yesterday (22 JAN), the three major U.S. stock indices collectively closed higher, with the S&P and Dow rising 0.22% and 0.36% respectively, reaching new highs at the close, while the Nasdaq rose 0.32%. U.S. Treasury yields initially fell and then rose, with the ten-year yield briefly dipping below 4.1% before recovering all losses, currently reported at 4.127%, while the two-year yield fell to 4.37% before climbing back above the 4.40% mark.

Source: SignalPlus, Economic Calendar

Source: Binance \& TradingView

In the cryptocurrency sector, BTC's downward trend continues, experiencing a slight rebound after initially breaking below the 40000 mark, but once again challenges the 39000 USD level before today's options close. ETH's decline is even more severe, dropping about 5.6% within three hours, reaching a low near 2212 USD. As a result, the front-end implied volatility has surged significantly, with the ATM IV for BTC/ETH over the past two weeks currently reaching around 55% and 60% respectively, and Vol Skew has once again broken through recent lows.

In terms of trading, as of today before the settlement, the focus in the BTC market is mainly on the long-short battle of the 26 JAN 24 40000-P, as well as buying the dip on the 2 FEB 42000-45000 Call, while the demand for medium to long-term Put options has not diminished, represented by the 23 FEB 2 39000-P and 29 MAR 24 35000-P. For ETH, we have observed concentrated buying of the 23 FEB 24-2500-C on the options chain, buying from Index 2380 all the way down to around 2347, with a total volume close to 30000 ETH. Further out, on 29 MAR 24 and 26 APR 24, there were simultaneous sell orders for the 2900-C, with a total volume close to 35000 ETH.