BTC Volatility Weekly Review (November 25 - December 2)
Key Indicators: (November 25, 4 PM -> December 2, 4 PM Hong Kong Time)
BTC against USD fell by 2.4% (98,200 -> 95,900 USD), ETH against USD rose by 6.7% (3,410 -> 3,640 USD)
BTC against USD year-end (December) ATM volatility dropped by 4.2 points (60.0 -> 55.8), while year-end 25d skew remained unchanged (4.9 -> 4.9)
Overview of Spot Technical Indicators:
The coin price appears to have reached a local peak. Although some well-known companies continue to buy strongly, the upward trend has failed to maintain. This aligns with our view that the market has passed the major upward phase and is stabilizing here before the next volatility.
Our fundamental view is that any correction in coin price will be relatively mild. Considering the strong support below, we may experience lower actual volatility in the coming weeks. However, if the coin price breaks through 100,000 or 90,000 USD, there will be greater volatility in the market, so caution is advised outside this range. If the coin price breaks upward beyond 100,000 USD, it will give us the opportunity to reach 110,000-115,000 USD earlier (sooner than our expected January-February next year). Conversely, if the coin price drops below 90,000 USD, 85,000 USD would be a reasonable support level, and further down the price could fluctuate violently below 76,000 USD.
Market Themes:
Last week was relatively calm due to Thanksgiving. The S&P 500 index climbed to 6000, while U.S. Treasury yields continued to slowly retreat from highs after Scott Bessen was confirmed as the next Secretary of the Treasury.
Bitcoin failed again to break through the 100,000 USD mark, triggering a drop to as low as 90,800 USD, but encountered strong support here. It gradually rebounded to the mid-range of 95,000-96,000 USD. Overall, as the large purchases by MSTR were absorbed, the market became more balanced at current levels.
However, we continue to see impressive progress in other cryptocurrencies. Ethereum ETFs finally saw some decent inflows, leading spot Ethereum against USD (ETHUSD) to briefly break above 3,700 USD. Meanwhile, Ripple (XRP) also rose by 50% this week.
ATM Implied Volatility:
After a significant pullback to 90,800 USD and a subsequent upward correction to 97,000 USD, the coin price showed solid signs for the first time, while exerting downward pressure on implied and actual volatility. Taking this opportunity, it is likely that many year-end positions have been cleared, and overall, last week's liquidation provided more selling pressure to the market.
As we approach year-end and the holiday season, we expect implied volatility to face further downward pressure and naturally exhibit a steeper term structure. However, we find that the market pricing for the period volatility from year-end to January next year is already quite extreme. If the coin price maintains volatility within a certain range during this period, this pricing will be difficult to sustain.
Skew/Kurtosis:
The skew once corrected downward, consistent with the spot price retreating from 99,800 USD to 90,800 USD, but it was only temporary. As the coin price showed strong support, the skew price recovered most of the downward adjustment during the remainder of the week.
Overall, the kurtosis gradually decreased this week, consistent with lower volatility levels, and was also influenced by ongoing selling pressure from bullish wing spreads. The market seems to expect that the coin price will rise at a slower pace from now on.
Wishing everyone good luck in the coming week!
