SignalPlus Volatility Column (20240729): “Never Sell Your Bitcoin”

At the highly anticipated Bitcoin 2024 Summit on Sunday, US presidential candidate 王牌 delivered a speech as a keynote speaker. Before the speech began, the market realized the expected positives in advance, pushing the price of Bitcoin to a high of 69,500, but after the speech officially began, the bulls quickly realized that the probability of Trumps official announcement of adding BTC to the US strategic reserve was not very high. He regarded this speech more as a presidential campaign canvassing. The market also quickly gave up the previous gains due to the failure of expectations, causing a short-term decline. The options market also shorted volatility in large quantities during the meeting, causing Vol Curve to quickly go down steeply.

來源：TradingView

Source: SignalPlus, ATM Vol

Although the markets biggest expectation (strategic reserve plan) has failed, Trump has continued to support the crypto market, shouting slogans such as Never sell your Bitcoin! He also said that the first thing he would do on his first day in office was to fire the current SEC Chairman Gary Gensler, On day one I will fire Gary Gensler, and even said it twice. The bullish sentiment in the market began to ferment last night, with intraday volatility as high as ~ 3%, challenging the $70,000 mark all the way up, reaching a multi-week high. The front-end IV and Vol Skew also rose along with the price. The overall volatility level of BTC returned to above 55+%, and Vol Skew was around 3%.

In addition, there are other noteworthy points in BTC’s IV curve. First, the overall volatility level has been suppressed since the end of the year, and the term curve has flattened with 27 SEP 24 as the fulcrum. Second, the two expiration dates of 2 AUG and 8 NOV imply a Forward IV of up to 63%/67.5%, which is significantly higher than other maturities.

Source: Deribit (as of 29 JUL 16: 00 UTC+ 8)

Source: SignalPlus, 25 dRR

資料來源：Deribit，ETH交易整體分佈

資料來源：Deribit，BTC交易整體分佈

來源：Deribit 大宗交易

來源：Deribit 大宗交易

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