SignalPlus Volatility Column (20240319): Continuous Decline
In terms of digital currency, BTC and ETH are still experiencing significant downward fluctuations, almost giving back all the gains since March, closing at 64400 (-5.57%) and 3347 (-7.67%) respectively.
According to Nikkei News, the Bank of Japan is preparing to decide on Tuesday to end its control over the yield curve and purchases of risk assets. Yesterday (18 MAR) was relatively calm, with the market still waiting for today's Bank of Japan decision and the announcements from major central banks later this week. In the United States, the three major stock indexes rebounded, with the Dow up 0.2%, and the S&P and Nasdaq closing up 0.6% and 0.82%, respectively.
Source: SignalPlus, Economic Calendar
Source: Binance & TradingView, BTC has retraced all gains since March
In the cryptocurrency sector, BTC and ETH are still experiencing significant downward volatility, nearly retracing all gains since March, closing down at 64400 (-5.57%) and 3347 (-7.67%), respectively. In terms of options, the short-term implied volatility (IV) for the week has surged significantly amid fears of a potential breakdown below support levels, with Vol Skew once again leaning towards put options, where BTC Put side Vol Premium is nearly 5-10% higher than Call, and ETH reaching an even more exaggerated 10%-20%. On the other hand, the mid-term IV for BTC has shown a dip, primarily driven by Sell Call at the end of March and Sell Put at the end of April. The selling pressure for ETH in March is also significant, with large-scale sell-offs on 3600/3250/3200 Put and Sell Call Flow on the options chain between 4400-4800.
Source: Deribit (as of 19 MAR 16:00 UTC+8)
Source: SignalPlus, IV skyrocketed during the week
Source: SignalPlus, front-end Vol Skew has declined again
Data Source: Deribit, ETH trading distribution
Data Source: Deribit, BTC trading distribution, Sell Call at the end of March, Sell Put at the end of April
Source: Deribit Block Trade
Source: Deribit Block Trade
