SignalPlus Volatility Column (20240820): BTC! BTC!

According to a survey by the New York Fed on labor market expectations in July, the proportion of respondents worried about potential unemployment in the next four months increased from 3.9% last year to 4.4%. The proportion of those expecting to change jobs rose to 11.6%, and the percentage of workers looking for jobs in the past four weeks increased to 28.4%… A series of indicators in the report show cracks in the labor market! This is undoubtedly a concerning phenomenon. Although the number of people applying for unemployment benefits remains relatively low and last week's retail data performed well, economists continue to issue warnings, pointing out that when the economy is at a turning point, the slowdown in the labor market often occurs relatively early, while the cooling of economic growth data follows afterward. This week, the market's focus is on Federal Reserve Chairman Powell, who will face a situation at the Jackson Hole meeting that is starkly different from the previous year. Given the recent encouraging inflation data, rather than predicting how much the rate will be cut in September, Powell may focus more on reminding everyone to pay attention to employment issues. On Wednesday, the Fed will receive revised employment growth data, which may indicate that job growth from last year to early this year was weaker than previously reported. Additionally, next month's non-farm payroll data will undoubtedly be a focal point for determining market sentiment and trends.

Source: Economic Calendar

Returning to the cryptocurrency market, prices have risen from the bottom over the past 24 hours, with ETH closing at 2674.87 (+2.2%), recovering all the losses from yesterday. BTC is even more favored by the market, breaking through the pivot point of $60,000 and challenging the $61,000 mark, closing at 60901.71, with a daily increase of up to +3.95%. In addition to the price comparison, we note that in the past few days, BTC ETFs have seen a continuous inflow of funds, while ETH continues to experience outflows under the shadow of Grayscale ETHE's selling pressure.

Source: Farside Investors

This market sentiment is also reflected in the options market. From the changes in Vol Skew, we can see that the front-end RR of BTC has significantly risen back into positive territory, while the front-end curve of ETH still leans towards bearish options.

Source: SignalPlus, Vol Skew

Looking at the overall level of implied volatility, the price increase over the past day has led to a slight decline in IV. BTC's daily realized volatility is around 48%, roughly in line with the front-end IV, while ETH's RV is about 49%, slightly lower by 5%-7%. From trading activity, we see that the significant rise in BTC prices and the return of Skew have attracted traders to sell call options, represented by the 29 SEP-70000-C, with 800 contracts sold in bulk on Deribit in the past 24 hours, and 938.8 contracts sold on the options chain, creating a local low point for the 25 dRR on this expiration date. Meanwhile, 30 AUG also shows a clear Sell Risky Flow, with transactions concentrated on selling 64000 & 67000 Calls versus buying 55000 Puts.

Source: Deribit (as of 20 AUG 16:00 UTC+8)

Source: SignalPlus

Data Source: SignalPlus, Deribit, Overall Distribution of BTC & ETH Trading