SignalPlus Volatility Column (20240903): BTC Resistance Month

Bitcoin ended August with a decline of 8.6%, and as September begins, the market is starting to discuss seasonal trends. Statistics show that BTC has averaged a decline of 4.5% in the past six Septembers. If this trend continues, BTC could drop to $55,000, but strong support is expected around $54,000.

From a local price change perspective, BTC fell to a weekly low the day before yesterday but found support around $57,000, rebounding back to around $59,000 during the day. The implied volatility change is negatively correlated with the price. After today's price rebound, the term structure has steepened, with the front end giving back 2-3% of the volatility increase, sitting slightly below the median of the past three months, roughly in line with the Hourly RV, and there are not many opportunities on the VPR.

Source: Deribit (as of 2 MAY 16:00 UTC+8)

Source: SignalPlus, term structure steepening

From the perspective of Vol Skew, the long-term bullish sentiment maintains high levels in the far end, and the positive correlation trend between the mid-front end Risky and price is significant. However, it is noteworthy that the price increase difference between BTC and ETH was quite large yesterday. From a macro perspective, the massive outflow of funds from the BTC ETF, the negative indication of the Coinbase premium index suggesting selling pressure, and the profit decline dilemma faced by miners have cast a shadow over market sentiment. In terms of Flow, the short-term bullish demand for ETH has helped push up the premium of Risky. Although there are still bullish buys on the far end for BTC, the selling on the front end Top Side Wing caused by this round of price increase has undoubtedly suppressed the rise of its Skew.

Source: SignalPlus, Risky rebound

Data Source: Deribit, BTC ETH trading distribution comparison

Source: SignalPlus, Block Trade