BTC Volatility Weekly Review (June 30 - July 7)

Key Indicators: (June 30, 4 PM -> July 7, 4 PM Hong Kong Time)

• BTC against USD increased by 1.1% (107.6k USD -> 108.8k USD), ETH against USD increased by 4% (2,480 USD -> 2,580 USD)

• The prices of cryptocurrencies continue to hover below historical highs, facing strong resistance every time they attempt to break through. We expect the market to break through historical highs in the coming weeks, but there is still a certain risk of falling back below 100k USD. If we fail to break through, we might see prices continue to correct down to 93-94k USD, but this does not affect our long-term bullish outlook. If we successfully break through 113k USD, we could quickly rise to 120k USD, and eventually to 125-135k USD.

Market Themes

• With the full onset of the US holiday and summer vacation, we have experienced a calm week. US non-farm data was unexpectedly strong again, dispelling hopes for an early rate cut in July and diminishing the likelihood of increased risk appetite in the summer market. Concerns over the July 9 tariff deadline led to a brief retreat of risk assets in a low liquidity environment before the weekend, but overall, the market's overall positioning and leverage do not seem heavy.

• The cryptocurrency market saw a return of risk sentiment at the beginning of last week. Bitcoin briefly touched above 110k USD, but ultimately stalled before reaching historical highs. Due to US economic data breaking the expectations for an early rate cut, Bitcoin fell along with the US stock market, and concerns over tariff policies also caused prices to retract to 108k USD. Locally, the correlation between Bitcoin and US stocks/other risk assets remains high, but it feels like the market is still waiting for a real catalyst to push prices to new historical highs - the US Congress has pre-announced that July 14 will mark "Cryptocurrency Week," which will promote cryptocurrency-related legislation (mainly involving stablecoins) that week. Perhaps this will be the trigger for the market to gain enough momentum to break through the highs.

BTC ATM Implied Volatility

• Last week, actual volatility was quite low, marking another week below 30 points (including the two weekend days, where actual volatility was almost 0). Prices remain comfortably within the range of 105-115k USD, and recent catalysts are almost nowhere to be found. However, such low implied volatility is now attracting buyers to purchase low-priced options (buying downside to protect long spot positions, or buying upside call spreads to increase bullish leverage in preparation for the eventual breakout) - these trades are currently well supporting the bottom of implied volatility.

• The current term structure is not steep (compared to historical levels), and the market has completely harvested the remaining term premium. Given Bitcoin's characteristics, it is easy to return to a high volatility range when prices break out of the range, holding long Vega on longer terms and selling short terms as funding (the short-term curve is steep, rapidly declining in terms) looks like a very attractive position.

BTC Skew/Kurtosis

• Skew moved sharply downward before the weekend, as the market worried that Trump's tariff news would bring additional negative impacts, while the failure to break above 110k USD led to a downward spike. The demand for hedging downside risk in the market, combined with very low volatility, caused the skew to tilt downward. With no further decline over the weekend, the skew quickly recovered. Meanwhile, demand in the far-term market is only above the price, so the far-term skew is more stable.

• Last week, kurtosis increased as local implied volatility continued to decline, while the market began to buy points outside the price range to capture the opportunity for price breakthroughs. However, the kurtosis in the far-term remains at a low level, still presenting opportunities to buy kurtosis in preparation for price breakthroughs and a return of volatility patterns to high levels.

Wishing everyone good luck this week!