SignalPlus 波动率柱 (20240806)：黑色星期一

Last week, the weak economic data represented by the US non-farm and manufacturing index triggered market concerns about economic slowdown, and global assets suffered from the selling pressure brought by Black Monday. The exchange rate of the US dollar against the Japanese yen once fell below 142, giving up almost all the gains in the past year. The stock indexes of Japan, South Korea, and Turkey triggered the circuit breaker mechanism. The three major US stock indexes all closed down by about 3%, and the market value of the Big Seven evaporated by 1.3 trillion US dollars at the opening. The futures market fully priced in the Federal Reserves 50 basis point rate cut in September. The yield on the two-year US Treasury bond once ended the inversion with the 10-year bond during the session, and is now at 3.957%.

资料来源：TradingView

The markets selling sentiment has also spread from traditional markets to digital currencies. As a risk asset highly correlated with SP 500, BTC plunged below $50,000 yesterday, triggering panic in the market. Short-term IV rushed to the three-digit range, liquidity ran, and Vol Skew also fell along with the price. The surge in demand on Wing caused Flys valuation to rise rapidly.

However, as the price gradually rebounded back to $55,000, the liquidity of the options market gradually returned, IV escaped from the local high point, the high Vol Premium at the tail was also repriced, and Fly fell overall. For Vol Skew, although the negative slope of the front end rebounded slightly, the more noteworthy change is the further sharp drop in the far-end Vol Skew. In fact, when the price plummeted yesterday, only the front end responded, and the far-end Risky with poor liquidity was not re-priced until today.

Source: Deribit (As of 6 AUG 16: 00 UTC+ 8)

来源：SignalPlus、ATM Vol.

Source: SignalPlus, 25 dRR, Far End Vol Skew is Repriced

Source: SignalPlus, 25 dFly

数据来源：Deribit，ETH 交易总体分布

数据来源：Deribit，BTC交易总体分布

来源：Deribit Block Trade

来源：Deribit Block Trade

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This article is sourced from the internet: SignalPlus Volatility Column (20240806): Black Monday

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原创 | Odaily星球日报（@OdailyChina） 作者 | Asher（@Asher_0210） 自从ZKsync、LayerZero空投之后，很多人都说刷单时代结束了，再加上这两周行情的低迷，社区对于刷单的热情已经跌到了低谷。诚然，盲目报名空投就能实现财务自由的时代一去不复返了，但随着优质账户的定义越来越严格，散户通过短时间刷量成为了解高融资额或者热门项目的入口。Odaily星球日报根据融资情况、项目热度等方面整理了本周值得参与的两个项目。 运动：打造首个L2…