BTC Volatility Weekly Report (September 1 - September 8)

Core Indicators (Hong Kong Time September 1, 16:00 to September 8, 16:00)

• BTC/USD rose 1.6% ($109,600 → $111,300), ETH/USD fell 4.0% ($4,470 → $4,290)

• The BTC spot market has shown unclear trends over the past two months: although it touched the lower end of the long-term target range ($125,000 - $135,000) in August, the pattern is not favorable, requiring cautious assessment of subsequent price behavior. The current technical structure presents a double top pattern, with two rebounds after hitting the key level of $125,000, indicating that the market may enter a sideways adjustment mode. If it fails to break through the previous high again, it may trigger a deeper correction.
• Short-term resistance levels are $112,000, $117,000, and $125,000 - $126,000; downward support/breakout is at $109,000 and $100,000 - $101,000. Based on the price trend, the actual volatility is expected to continue rising in the next two months.

Market Themes

• In the first week after the summer ended, the market is caught in a tug-of-war: macro risk assets are still supported (this week's U.S. economic data slowdown confirms the rationale for a 25 basis point rate cut at the September 17 FOMC meeting, driving continued ETF inflows); however, there is strong selling pressure from the crypto-native community, and retail buying is weak (exchange deposits have sharply decreased from their peak). The asynchronous hedging of long and short forces has caused BTC to be temporarily trapped in the $109,000 - $114,000 range, but with significant volatility within the range. If one side dominates and breaks through the range, it could trigger a surge in volatility --- if selling pressure eases or is absorbed by strong buying, the market is likely to continue its upward trend (the current skew of BTC indicates insufficient local bullish positions); if the macro environment worsens or ETF inflows decline (or even turn into outflows), selling pressure may quickly suppress spot prices below $100,000.

BTC Implied Volatility

• The actual volatility has remained in the 35 - 38 vol range over the past two weeks, especially evident in hourly fluctuations. The chaotic technical situation, combined with macro positives (ETF inflows) and native selling pressure, has made it difficult for the market to form a balance.
• Option demand remains weak, with the only significant buying coming from short-term put hedges around the non-farm payroll data (closed after the event). Due to the lack of volatility buying, the market is unwilling to raise the pricing of forward volatility, with implied volatility for September and October contracts approaching recent actual volatility levels (35 - 36 vol).

BTC USD Skew/Kurtosis

• The skew continues to lean downward: despite favorable non-farm data, price movements remain weak, and the rapid pullback from $113,000 to $110,000 raises concerns about a deep correction. Structural bullish participation is low, with only data-driven tactical bullish spreads; at the same time, there is a lack of interest in volatility for strike prices below $100,000, leading to long-term skew approaching parity.
• Kurtosis prices are generally declining: the market continues to suppress kurtosis, weakening the pricing of extreme tail risks. Although the volatility of volatility has been relatively stable in recent weeks, historical experience shows that BTC's ecosystem can change rapidly --- any significant volatility could lead to instantaneous evaporation of liquidity in both spot and options, making holding long kurtosis a good choice in the current market.

Wishing you a successful trading week ahead!