SignalPlus Volatility Column (20230502): Bitcoin Plummets, Uncertain Outlook for May
After the Federal Reserve meeting, the implied volatility (IV) at the front end of options quickly declined during the day, and the term volatility curve remained relatively flat; the near-term skew still appeared low, reflecting the market's short-term panic and risk-averse sentiment.
Yesterday (1 MAY), the U.S. ADP employment numbers for April increased by 192,000, exceeding the expected 175,000, marking the largest increase since July 2023. During the early morning FOMC meeting, the Federal Reserve announced as expected that it would maintain interest rates, acknowledging recent inflation progress has been unsatisfactory. However, Powell ultimately made a dovish statement, indicating that a rate hike is unlikely at the next meeting and that delaying a rate cut is also appropriate at this time.
Source: Economic Calendar
In terms of digital currencies, recent risk markets have generated a certain level of risk aversion under the pressure of "higher for longer" U.S. interest rates, leading to significant capital outflows from ETFs. At the same time, there has been a sell-off by large whales in the spot market, contributing to the sharp decline in Bitcoin prices over the past two days. Some analysts suggest that this round of price sell-off may be profit-taking under macro pressure, involving both early ETF investors and holders who purchased BTC during the past two years of sluggishness.
Source: Farside Investors；TradingView
After the Federal Reserve meeting, the implied volatility (IV) at the front end of options quickly declined during the day, with the term volatility curve relatively flat; the near-term skew remains low, reflecting the market's short-term panic and risk aversion. In trading, the implied volatility level for BTC on 31 MAY decreased under the dual pressure of put and call options, while ETH transactions were more concentrated around that expiration date. From the bulk records, in addition to the sell-off of outright calls, there were also transactions representing a triangular spread strategy of selling short-term 17 MAY and buying 31 MAY.
Source: Deribit (as of 2 MAY 16:00 UTC+8) 
Source: SignalPlus 
Source: SignalPlus 
Data Source: Deribit, BTC/ETH overall trading distribution 
Source: Deribit Block Trade 
Source: Deribit Block Trade 
