SignalPlus Volatility Column (20240729): "Never Sell Your Bitcoin"
At the highly anticipated Bitcoin 2024 summit on Sunday, U.S. presidential candidate Trump delivered a keynote speech as a heavyweight guest. Market bullish sentiment began to brew last night, with intraday fluctuations reaching around 3%.
At the highly anticipated Bitcoin 2024 Summit on Sunday, U.S. presidential candidate Trump delivered a keynote speech as a heavyweight guest. Before the speech began, the market preemptively realized the expected positive news, pushing the Bitcoin price to a high of 69,500. However, the bulls quickly realized after the official start that the probability of Trump announcing BTC as part of the U.S. strategic reserves was not very high; he treated this speech more as a campaign rally. The market quickly retraced its previous gains due to unmet expectations, leading to a brief decline, while the options market heavily shorted volatility during the conference, causing the Vol Curve to steeply decline.
Source: TradingView
Source: SignalPlus, ATM Vol
Despite the market's biggest expectation (the strategic reserve plan) falling short, Trump continued to express support for the crypto market, shouting slogans like "Never sell your Bitcoin!" He also mentioned that one of the first things he would do on his first day in office is to fire the current SEC chairman Gary Gensler, stating, "On day one I will fire Gary Gensler," even repeating it twice. Market bullish sentiment began to ferment last night, with intraday volatility reaching around 3%, challenging the $70,000 mark and reaching a multi-week high. The front-end IV and Vol Skew also rose with the price, with BTC's overall volatility level returning to over 55%, and Vol Skew around 3%.
Additionally, there are other noteworthy points regarding BTC's IV curve. First, the volatility level after the end of the year is generally compressed, with the term curve flattening around 27 SEP 24. Secondly, the two expiration dates of 2 AUG and 8 NOV imply forward IVs of around 63% / 67.5%, significantly higher than other terms.
Source: Deribit (as of 29 JUL 16:00 UTC+8)
Source: SignalPlus, 25 dRR
Data Source: Deribit, overall ETH trading distribution
Data Source: Deribit, overall BTC trading distribution
Source: Deribit Block Trade
Source: Deribit Block Trade
