SignalPlus Volatility Column (20240911): Draw

At 9 AM Beijing time, Trump and Harris held their first presidential debate as scheduled, with neither mentioning cryptocurrency, focusing instead on traditional topics such as foreign policy and immigration. According to data from Polymarket, as the debate progressed, the scales of victory slowly shifted towards Harris. The market reaction highlighted traders' concerns about the election outcome; although cryptocurrency was not directly mentioned, the expectation of Trump's declining odds undoubtedly affected the prices of digital currencies. The political uncertainty brought about by the tie made traders more cautious, leading to a resurgence of short-term negative risk aversion, causing BTC to drop by -1.6% within an hour and subsequently test the support at $56,000. Source: Polymarket

After the debate, prices completed a pullback from the highs and consolidated around $56,500. The actual daily volatility of BTC was approximately 43%, significantly lower than the pricing in the options market yesterday. The implied volatility curve was also substantially revised downwards, with the front end still pricing in a 60% volatility for tonight's CPI data. Source: SignalPlus Source: Deribit (as of 11 SEP 16:00 UTC+8)

On the other hand, the changes in Vol Skew reflect the recent fluctuations in market sentiment. Yesterday, the end of negative inflows for the BTC spot ETF was seen by investors as a shift in market sentiment, with prices challenging $58,000 and driving Vol Skew back. Today, although the Ethereum ETF also ended its outflows and BTC continued to see inflows, the negative risk aversion caused by political uncertainty still doused the market's recently ignited enthusiasm. Correspondingly, from a trading perspective, the price rebound and the return of Vol Skew created cheap buying opportunities for puts on BTC, with significant inflows of put options, especially for the end of November. In ETH, this market movement resulted in a large number of call sells, notably represented by multiple customized strategies from large trades on September 20, simultaneously selling call options at $2,350 and $2,400 to capture high premium returns. Source: SignalPlus, changes in 25 D RR Source: SignalPlus, transaction data Source: SignalPlus, transaction data Source: SignalPlus, ETH large transaction data