The bankrupt Bitcoin exchange Mt.Gox reported multiple unauthorized attempts to log into creditor accounts in the past 24 hours, causing creditors to worry about the safety of their remaining assets and possible selling pressure on the currency price. The market may be worried that the incident will have an adverse impact on the short-term currency price. Coupled with the sharp drop in ETF traffic in the past two days, the gradually spreading risk aversion sentiment has spawned a sell-off of assets, causing the BTC price to pull back below $64,000, testing the key support level again.
Source: TradingView; Farside Investors
In terms of options, the overall implied volatility level has been relatively stable since yesterday's sharp decline, but it is still at a recent high. There are three changes worth noting. First, BTC's IV and RR at the end of December were significantly higher, which may be affected by the flow of buying a large number of 100000-C on the Deribit market on that expiration date (see the figure below)
Data Source: Deribit, BTC transaction distribution
The second is that the steepening change of BTC IV Curve is more obvious than that of ETH. Also comparing the end of July and other more distant expiration dates, the gap between BTC expiration dates is more significant, which is an inter-temporal fluctuation. Rate hedging provides a better tool.
Source: Deribit (as of 19 JUL 16: 00 UTC+ 8)
Source: SignalPlus
Finally, we also notice that the vol skew on 2 AUG 24 formed a local high compared to surrounding maturities, however BTC and ETH traded very differently on this expiration date, with BTC 70000 C being heavily bought, while ETH was under strong selling pressure at 3400 C.
Source: SignalPlus
Data Source: Deribit, overall distribution of ETH transactions
Source: Deribit Block Trade
Source: Deribit Block Trade
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