SignalPlus Volatility Column (20240812): Data-Driven
Bitcoin just experienced the impact of the macro market last week, trading around 60,000 to 61,000 over the weekend. From the options perspective, the price volatility has broken the previous brief calm, and the impact of the macro data release has also been amplified.
Bitcoin just experienced the impact of the macro market last week, trading around 60,000 to 61,000 over the weekend. However, in the early hours of today in Asia, BTC unexpectedly dropped below 59,000. Reflecting on the recent fluctuations in cryptocurrency prices alongside macro risk sentiment, last Friday's ETF fund outflows were also quite disappointing. Therefore, ahead of the upcoming CPI and other inflation data this week, traders may be adopting more defensive strategies to reduce risk exposure, leading to some risk-averse sentiment.
Source: TradingView; SignalPlus, Economic Calendar
From the options perspective, the price volatility has broken the previous brief calm, and the impact of macro data releases has been amplified, causing a significant rise in front-end IV and flattening the curve. The Vol Skew has also ended the slow rebound of the previous two days, collapsing again with the short-term price drop, returning to the lows. However, from the trading perspective, we can see that this drop has provided opportunities for traders, leading to a large number of put options being sold on the weekly Wing, yielding a high Vol Premium.
Source: Deribit (as of 12 AUG 16:00 UTC+8)
Source: SignalPlus
Source: SignalPlus
Source: SignalPlus
