SignalPlus Volatility Column (20240528): Remembering Mentougou

Yesterday, the US stock market and US bonds were closed for Memorial Day, but there will be significant data (GDP and the PCE inflation data favored by the Federal Reserve) released later this week, making it a "brief but busy week."

Source: SignalPlus, Economic Calendar

In the cryptocurrency space, Bitcoin broke through the $70,000 mark again during yesterday's US trading session after hovering for nearly a week. The market's bullish sentiment seems to have finally been stirred by the continuous inflow into ETFs. Considering that the US stock market was closed for the holiday, the analysis platform Santiment characterized this surge as an encouraging sign, as it proves that BTC can perform well even when its correlation with TradFi's ups and downs is less tight.

Source: TradingView; Farside Investors

However, the developments were not smooth sailing. Just after BTC broke the $70,000 mark, news emerged that Mt. Gox's cold wallet transferred 12.24 kBTC to an unmarked address, worth about $840 million. In 2014, creditors of Mt. Gox were severely impacted when the exchange collapsed, and it has been struggling to recover funds for repayment over the past decade. Today's transfer on the BTC chain was viewed by some traders as a potential selling pressure and a bearish catalyst, causing the BTC price to rapidly decline below $68,000 from its intraday peak.

Source: Twitter

In the options market, attention has once again turned to BTC. The rollercoaster market in the past 24 hours, along with concerns about potential selling pressure, has raised implied volatility. The IV curve has generally flattened and risen, and the volatility smile quickly tilted towards put options after the price drop. In terms of transactions, the largest single trade for BTC was a set of Short Risky for June (450 BTC per leg), selling a 75,000-Call while buying a 65,000-Put as protection, with a net premium of about 2 BTC.

Source: Deribit (as of 28 MAY 16:00 UTC+8)

Source: SignalPlus

Source: SignalPlus

Data Source: Deribit, overall ETH trading distribution

Data Source: Deribit, overall BTC trading distribution

Source: Deribit Block Trade

Source: Deribit Block Trade