SignalPlus Volatility Column (20240822): Playing Tai Chi
Yesterday, the U.S. employment data was significantly revised down as expected, but BTC did not react to this when the U.S. market opened, indicating that the market had already digested this information. The current focus remains on the speech by Federal Reserve Chairman Powell at the global central bank meeting in Jackson Hole, Wyoming, on Friday...
Yesterday, the U.S. employment data was significantly revised down as expected, but BTC did not react to this when the U.S. market opened, indicating that the market had already digested this information. The current focus remains on the speech by Federal Reserve Chairman Powell at the global central bank meeting in Jackson Hole, Wyoming, on Friday. Economists believe the key theme may be "gradual," and Powell may only issue a green light for future rate cuts in a relatively cautious and vague manner. According to Jinshi, Carl Tannenbaum, Chief Economist at Northern Trust, believes Powell will convey another message to investors, telling them "not to overreact to the data." The non-farm report earlier this month shook global financial markets, but he thinks "the reaction to the employment report is one of the worst market overreactions I've seen in a long time, with the market rushing to accept the idea that the economy is in recession, based solely on one data point. They are just looking for a narrative, and they created one based on employment data." For Powell, the current phase of the Federal Reserve's fight against inflation is taking place against the backdrop of the U.S. elections, aiming to lower inflation and achieve a soft landing without causing an economic recession. The next few months will be crucial, so he will be particularly cautious.
Source: TradingView
Returning to digital currencies, BTC formed a V-shaped trend during the day, with liquidity collapsing at 3 AM, triggering a spike and dropping below 60,000. In terms of options, the implied volatility for August 25 formed a local peak on the curve due to the uncertainty brought by the upcoming global central bank annual meeting, but since most economists expect Powell to take a relatively cautious stance, not much risk premium has been priced in.
Source: Deribit (as of August 22, 16:00 UTC+8)
Source: SignalPlus
In the past two days of trading, demand for puts for September and late October has continued to rise, concentrated around the support levels of 55,000/56,000, causing the local skew to tilt towards the bearish side. In August, there were significant bearish sell-offs on the wings, perhaps reflecting the market's positive response to the recent price increase and the substantial return of front-end risk-reward ratios.
Source: SignalPlus, BTC's skew and trading distribution
