Columna de volatilidad de SignalPlus (20240621): caída y caída

Yesterday (JUN 20), in terms of macroeconomics, the number of initial jobless claims in the United States last week slightly exceeded expectations (235,000) and recorded 238,000. At the same time, the number of new housing starts in May fell by 5.5%, the lowest level in four years. The U.S. Treasury yields remained slightly volatile and closed down. The three major stock indexes rose and fell differently. The SP and Nasdaq fell by 0.25% and 0.79% respectively, and the Dow closed up 0.77%.

Fuente: Inversores de Farside

In terms of digital currencies, BTC spot ETF has seen a large outflow for several consecutive days, and the price of the currency has continued to fall, breaking the support level of $64,800 and currently fluctuating around $64,000. The sentiment in the options market is not good. BTC showed a significant Long Risky Flow of buy puts and sell calls at the end of June. ETH also reflected strong selling pressure of call options at the end of July, driving the overall Vol Skew of the market downward. At the same time, the implied volatility level is also declining, with BTC/ETH falling by about 3%/7% respectively. Judging from the data of the past three months, BTC ATM IV is close to its historical low.

Source: Deribit (as of 21 JUN 16: 00 UTC+ 8)

Source: SignalPlus, IV overall level drops, BTC drops to historic low

Source: SignalPlus, affected by intraday trading, the mid-front Vol Skew collapsed, and the forward rose slightly

Fuente de datos: Deribit, distribución general de transacciones ETH

Data Source: Deribit, BTC transaction overall distribution; 28 JUN 24 Risky Flow

Fuente: Deribit Block Trade

Fuente: Deribit Block Trade

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This article is sourced from the internet: SignalPlus Volatility Column (20240621): Falling and falling

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