BTC Volatility (September 8 - September 15)

Core Indicators (Hong Kong Time September 8, 16:00 to September 15, 16:00)

• BTC/USD rose 3.8% (from $111,300 to $115,500), ETH/USD rose 7.2% (from $4,290 to $4,600)

• The spot performance of BTC aligns with our gradually evolving view: the upward process that began in September 2024 is essentially complete and is entering an adjustment phase. This time, it is expected to be mainly sideways, with the market brewing a test of previous highs (or even breaking historical highs), followed by a larger downward correction. This adjustment may break through the $101,000 support level, causing prices to return to the high volatility range of $88,000–$92,000, ultimately triggering a three-wave structural adjustment lasting several months (or even the entire year), targeting the $60,000–$75,000 range. The upper resistance levels are at $118,000 and $120,000, and a breakthrough may challenge historical highs; so far, the support at $112,000–$113,000 remains relatively solid.

Market Themes

• Last week, the market focused on U.S. economic data and corporate earnings reports. Against the backdrop of weak non-farm employment data, market expectations for a rate cut by the Federal Reserve in September have been high, while the weak University of Michigan Consumer Sentiment Index and PPI data further reinforced rate cut expectations—before the CPI was released, the interest rate market had already begun pricing in a complete cycle of six rate cuts by the end of 2026. Although the core CPI month-on-month rate of 0.346% reached the highest level since January this year, the market quickly digested this impact due to the Federal Reserve's recent statements and employment data concerns, allowing U.S. stocks to continue their upward trend into the weekend.
• Cryptocurrencies benefited from a warming risk appetite: BTC filled the gap formed after the Jackson Hole meeting between $116,000 and $110,000. After several months of sluggish performance, market confidence has gradually recovered, and ETF inflows have significantly rebounded after the "summer lull." The collapse of the net asset value premium rate of DATs (Bitcoin trusts) has instead boosted overall sentiment, as the price of coins has decoupled from the price of DAT shares again. In addition, Galaxy Digital announced it would lead a $1.65 billion investment to build a Solana ecosystem treasury, pushing the price of SOL close to $250.

BTC Implied Volatility

• Actual volatility significantly retreated to the 20%-25% range last week, with ETF fund inflows supporting spot prices, but there has been substantial selling pressure during every rise, limiting upward volatility. As prices gradually approach the psychological resistance zone of $120,000–$124,000, the liquidity of sell orders may gradually thin out, and the trend of actual volatility will need close monitoring.
• The sluggish actual volatility has dragged down implied volatility (especially for short maturities), but with the FOMC meeting scheduled for this Wednesday and the coin price continuously testing the upper range, short-term volatility has naturally rebounded. It is possible that we will see bullish spreads re-enter the market, betting that BTC will catch up with the rate cut trends already seen in other markets, providing support for options contracts expiring after September.

BTC USD Skew/Kurtosis

• The skew indicator shows that the premium for put options continues to narrow: ETF inflows have suppressed the actual volatility below, while the risk appetite environment has helped spot prices break through the initial resistance of $113,000–$114,000. However, compared to past cycles, structural bullish demand still appears insufficient, and given that volatility is at a low level, long-term cash investors are still buying downside protection during the uptrend.
• Kurtosis rose before the weekend: Historically, September has been a weak month for BTC, and (other) markets have fully priced in the Federal Reserve's data risk appetite, leading investors to continuously seek wing-side protection. Previously, demand was mainly concentrated on the put side (with skew consistently leaning downwards), but the recent rebound in coin prices has brought bullish options above historical highs into view, pushing kurtosis higher (while the put skew narrows)—indicating that the market strongly avoids holding too few options positions before breaking previous highs.

Wishing you a successful trading week ahead!