SignalPlus Volatility Column: BTC High-Level Fluctuation, IV Steep Decline

Yesterday, the market was relatively calm. U.S. Treasury Secretary Yellen responded to media questions about why the rate expectations in the proposal released by the White House on Monday were significantly higher than a year ago, stating that this reflects the current market reality and that rates are "unlikely" to return to pre-pandemic lows. She also pointed out that the path to normalizing inflation is fraught with challenges. U.S. Treasury yields rose slightly, with the two-year and ten-year rates at 4.630% and 4.196%, respectively. The three major stock indices showed mixed results, with the Dow Jones rising by 0.1%, while the S&P and Nasdaq fell by 0.19% and 0.54%, respectively.

Source: SignalPlus, Economic Calendar

Source: Binance & TradingView, actual volatility contraction

In the cryptocurrency sector, BTC and ETH experienced slight fluctuations at their peaks, with actual volatility showing a contraction trend and implied volatility sharply declining, bringing the overall level back to around 70%. The BTC & ETH Put options for March 15 saw significant selling pressure, as did the ETH Call options. On the other hand, the BTC Sell 29 MAR/26 APR Call Spread became a popular strategy for large trades, and it can be observed that the BTC Vol Skew has significantly declined, forming a local low in terms of duration, similar to ETH.

Source: Deribit (as of 14 MAR 16:00 UTC+8)

Source: SignalPlus

Source: SignalPlus

Data Source: Deribit

Data Source: Deribit

Source: Deribit Block Trade

Source: Deribit Block Trade