SignalPlus Volatility Column (20240603): Low IV
In terms of digital currency, according to Glassnode data presented by Leon Waldmann on Twitter, the proportion of BTC and ETH holdings on centralized exchanges has dropped to a historic low since the approval of the ETH ETF.
Last Friday, the core PCE price index month-on-month recorded 0.2%, slightly lower than the expected 0.3%, marking a new low since December 2023. Following the data release, U.S. Treasury yields fell for four consecutive days, giving back half of last week's gains, with the ten-year yield dropping below 4.5%, currently reported at 4.475%, and the two-year yield at 4.871%. Risk markets were boosted, with the Dow Jones and S&P rising 1.51% and 0.8% respectively, while the Nasdaq closed nearly flat.
Source: SignalPlus, Economic Calendar
Source: Investing
In terms of digital currencies, according to Glassnode data presented by Leon Waldmann on Twitter, since the approval of the ETH ETF, the proportion of BTC & ETH held on centralized exchanges has dropped to a historical low, with approximately $3 billion worth of Ethereum leaving centralized exchanges, increasing the potential for a short squeeze. BTC today broke through the resistance level of $68,500 and began to challenge the next resistance level of $71,500. As of now, BTC has hovered around $68,500 for nearly 12 days; if a breakthrough seems unlikely, it may return to $66,000 to seek support.
Source: TradingView; Twitter
Regarding options, BTC's front-end implied volatility (IV) slightly rebounded before entering the workweek, but overall it remains at a relatively low point below the 25th percentile of the historical three-month range; ETH is slightly below the historical median, with the term structure relatively steep. Observing the trading over the past 24 hours, strong selling pressure on call options for mid to late June is evident, while calls for late July and beyond are very popular, possibly related to expectations for the approval of the ETF S-1. The current market "consensus" remains that "the earliest approval will be in July," at which point funds are expected to enter the market, and prices may break upward again. On the other hand, there are concerns that after the ETF approval and issuance, the market may repeat the selling pressure seen with GBTC, given that Grayscale's Ethereum Trust (ETHE) currently manages funds totaling $11 billion.
Source: Deribit (as of 3 JUN 16:00 UTC+8)
Source: SignalPlus, BTC & ETH ATM Vols
Source: SignalPlus, BTC & ETH 25 dRR
Data Source: Deribit, ETH overall trading distribution
Data Source: Deribit, BTC overall trading distribution
Source: Deribit Block Trade
Source: Deribit Block Trade
