BTC Volatility Weekly Review (November 18th – November 25th)

Key indicators: (November 18, 4 p.m. – November 25, 4 p.m. Hong Kong time)

• BTC/USD rose 7.0% ($91,750-$98,200), ETH/USD rose 8.6% ($3,140-$3,410)

• BTC/USD ATM volatility at the end of the year (December) increased by 3.0 points (57.0->60.0), and the 25-day skewness at the end of the year decreased by -1.0 points (5.9->4.9)

• The upward price trend continues, but realized volatility is slowing and momentum is stagnating. These signs suggest that a short-term top may be in sight (but whether we have reached it or will continue to break through $100,000 remains to be seen).

• We believe that the liquidation will not cause a sharp drop in the price of the currency, because the price has very good support between 85k-93k USD, and the chaos and frenzy caused by MSTR will temporarily provide the market with enough buying orders. The market price trend is well in line with the Elliott Wave Theory that we have been tracking.

• If the price breaks through 100-104k USD, it will further open up the space for the third wave of rising market (as shown in the figure), and it means that the rise will continue to 130-150k USD, instead of 115-120k USD as we currently think.

Рынок Theme

• Over the past week, the “Trump trade” has continued. The dollar has risen against other fiat currencies, and U.S. Treasury yields have continued to rise. Cryptocurrency performance has once again decoupled from the dollar. Bitcoin tested a high of $99.8k and lost momentum before the key psychological level of $100k. Other small coins have also seen amazing gains, and ETH has finally woken up from its slump.

• Scott Bessant was confirmed as Trump’s Treasury secretary, removing a potential bullish factor for Howard Lutnick’s selection.

• Last week, MSTR announced it had purchased 55k биткойнs (at an average price of $97,862, for a total of $5.4 billion), making full use of the funds they raised from selling shares and issuing convertible bonds. As prices approached the highs, the impact of ETF holders rebalancing their positions outweighed MSTRs continued purchases, so in the $97-100k price range, the market as a whole remained fairly balanced in terms of supply and demand.

ATM Implied Volatility

• Although the price hit $100,000 this week, considering all factors, the stable short-term implied volatility is very reasonable, because the actual volatility has not increased substantially due to the active price of the currency. There is a demand for more upside opportunities in the forward period, which has led to an increase in March/June implied volatility.

• If spot prices struggle to break above $90-100k, we expect the market to take profits on short-term positions towards the end of the year and lead to increased pressure on the short-term curve, especially with Thanksgiving and Christmas approaching. This will naturally lead to a steepening of the term structure.

Skewness/Kurtosis

• Skewness has remained relatively stable this week. As the price has failed to break the 100k mark, the market is increasingly nervous about a downward correction. In addition, implied/realized volatility is difficult to increase at price highs, especially in the short term, which suppresses the price-volatility correlation and further suppresses skewness. The price-volatility correlation is more obvious farther out on the curve (Implied Volatility in March/June/September was higher at price highs), so skewness is better supported at the far end of the curve.

• As realized volatility surged this week, the kurtosis also surged. We observed demand for wing strikes, especially around 100k above. At the same time, there was demand for short-term lower strikes, mainly to protect spot and margin.

Good luck to everyone in the coming week!

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This article is sourced from the internet: BTC Volatility Weekly Review (November 18th – November 25th)

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