SignalPlus Volatility Column (2023.07.05): The market fluctuated and fell, and large transactions were sluggish

2023-07-05 11:17:40

The digital currency market once again failed everyone’s expectations. BTC/ETH prices continued to decline (24 H BTC: -0.456%, ETH: -0.667%), BTC fell below 31,000 again, and ETH’s goal changed from “breaking 2000” to “Guardian 1900”. The trading volume of options in the entire market has been reduced by half compared with yesterday, and large traders are not interested at all (Deribit retail trading volume vs large trading volume is close to 3: 1), and the implied volatility of the term mainly at the end of July has dropped sharply. JU L 2 3 has only 41.96% (-2.71%) and 43.13% (-1.66%) on BTC/ETH respectively, and the surrounding periods have also been lowered accordingly.

The previous high Skew finally put away its smile today. The full-term 25 dRR collapsed, generally falling by 1 to 3 points, and the overall volatility returned to the low level within two weeks.

Source: Deribit

Source: SignalPlus

Source: Deribit

Source: SignalPlus

The biggest ETH transaction today is a custom-made cross-duration proportional bullish spread. Traders are still looking forward to a breakthrough in 2000 in the short term, buying 2500 14 JU L 2 3-2000-C, But at the same time, I don’t think there will be further momentum after the breakthrough. At the end of the month, a large number of OTM calls (2500 2200 and 5000 2300) were sold.

In addition, the trading focus of bulk traders is still on the far month. 1,500 sets of ETH Call Spread in December were sold, and there were a large number of 20,000 vs 55,000 Risk Reversal transactions for BTC of the same period.

Source: Laevitas

Source: Deribit Block Trade

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