SignalPlus Volatility Column (20230604): ETH IV Plummets

Yesterday (3 JUN), the U.S. manufacturing PMI recorded 48.7, lower than expected and the previous value. Meanwhile, the Atlanta Fed's GDPNow model has downgraded the U.S. second-quarter GDP growth rate from 2.7% to 1.8%, collectively revealing a recent softening in U.S. economic data. U.S. Treasury yields continued to decline, with the ten-year yield falling for the fifth consecutive day, currently at 4.382%. The two-year yield, sensitive to interest rate policy, barely maintained above 4.8%. Looking ahead to this week, the most important data will be Friday's non-farm payrolls, in addition to next Wednesday evening's CPI and FOMC meeting, which will also be the focus of the market.

Source: SignalPlus, Economic Calendar

In terms of digital currencies, BTC continued to rise after breaking through the resistance level of 68,500 yesterday, briefly surpassing the 70,000 USD mark, but quickly retraced from the high and continued to fluctuate for the next three hours, coinciding with a technical failure at the New York Stock Exchange, where multiple stocks fell over 99%.

Source: TradingView

Regarding options, yesterday the ETH Vol Surface saw a significant steep decline across the board, possibly due to ETH's relatively poor performance compared to BTC in recent days, with prices slowly dropping below 3,800 USD. Additionally, the selling pressure on call options at the front end of the options market also forced IV and RR to decline, with market demand for bullish positions mainly falling after the end of June, anticipating new demand from Ethereum spot ETFs.

Source: Deribit (as of 2 MAY 16:00 UTC+8)

Source: SignalPlus, ETH IV down

Source: SignalPlus, ETH RR down

Data Source: Deribit, overall ETH trading distribution

Data Source: Deribit, overall BTC trading distribution