SignalPlus Volatility Column (20240828): BTC Falls Below Sixty Thousand Dollars

In the past day, the price of Bitcoin has plummeted sharply, briefly falling below 59,000, resulting in over 100 million dollars in long liquidations. The intraday realized volatility exceeded 70%+, and the price squeeze destroyed liquidity, significantly pushing up the pricing of short-term options. However, the implied volatility on the back end remained relatively stable, causing the overall term structure to flatten considerably. Analysis indicates that possible reasons for this phenomenon include the upcoming payment of 1 billion dollars to Mt. Gox creditors and Celsius's recent repayment of 2.53 billion dollars in debt to users. Source: Deribit (as of 28 AUG 16:00 UTC+8) Source: SignalPlus, ATM Vol

From another perspective, the price turbulence has caused the tail Vol Premium to rise again, with both BTC and ETH Fly indicators showing a significant rebound. However, they do not perform consistently in terms of Vol Skew. Notably, there has been a sharp decline in ETH's front-end RR, primarily driven by the demand for put options, possibly influenced by some recent transfer operations by the Ethereum Foundation that are still affecting market risk sentiment; BTC's far-end RR has slightly risen during this downturn, and some topside bullish strategies can also be observed in Flow. Source: SignalPlus, Fly Source: SignalPlus, RR Data Source: SignalPlus, Deribit BTC & ETH trading distribution Data Source: SignalPlus, Deribit BTC & ETH trading distribution