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SignalPlus波動率專欄(20240822):BTC跌破$60,000

分析3 个月前發佈 6086比...
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SignalPlus Volatility Column (20240822): BTC falls below ,000

SignalPlus Volatility Column (20240822): BTC falls below ,000

In the past day, the price of Bitcoin has fallen rapidly, falling below $59,000 at one point, causing more than $100 million in long liquidations. The realized volatility of 70%+ during the day and the price run destroyed liquidity, significantly pushing up the pricing of short-term options, but the back-end implied volatility remained relatively stable, causing the overall term structure to flatten significantly. Analysis pointed out that possible reasons for this phenomenon include the upcoming payment of $1 billion to Mt.Gox creditors and Celsius recent repayment of $2.53 billion in debt to users.

SignalPlus Volatility Column (20240822): BTC falls below ,000

Source: Deribit (as of 28 AUG 16: 00 UTC+ 8)

SignalPlus Volatility Column (20240822): BTC falls below ,000

Source: SignalPlus, ATM Vol.

From another perspective, the violent price fluctuations have caused the Vol Premium at the tail to rise again, and the Fly indicators of BTC and ETH have rebounded significantly. However, their performances are not consistent in terms of Vol Skew. The most prominent one is the sharp drop in the RR of the ETH front end. From the perspective of Flow, this is mainly driven by the demand for put options. Perhaps some recent transfer operations of the Ethereum Foundation are still affecting the markets risk aversion sentiment; the RR of the far end of BTC has risen slightly in this wave of decline, and some topside bullish strategy transactions can also be observed on Flow.

SignalPlus Volatility Column (20240822): BTC falls below ,000

Source: SignalPlus, Fly

SignalPlus Volatility Column (20240822): BTC falls below ,000

Source: SignalPlus, RR

SignalPlus Volatility Column (20240822): BTC falls below ,000

SignalPlus Volatility Column (20240822): BTC falls below ,000

Data Source: SignalPlus, Deribit BTC ETH transaction distribution

SignalPlus Volatility Column (20240822): BTC falls below ,000

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