With the recent depressed sentiment, Bitcoin has performed poorly since last night's US trading session, falling 2.5% around 10 o'clock, and continued to fall in the Asian session. A run occurred at one point, causing the price to fall to $55,606, and then rebounded slightly to around 56,000. The implied volatility maintains a negative correlation with the price during the day. After the violent intraday fluctuations, the term structure of BTC and ETH is bull flattening, with ETH's far end rising more significantly, and the volatility level at the front end shows a clear inverted pattern with the support of up to 85% RV during the day.
Source： SignalPlus
The IV change of ETH at the front end is not only higher than that of BTC. From a numerical point of view, the current IV of ETH is at a historical high (75 percentile and above), and the hedging cost implied by the volatility cone of RV also reflects the current rich VPR, which may attract bearish volatility strategies and weaken the upward shape of the term structure in the short term.
Source： SignalPlus
Source： SignalPlus
Source: Deribit (as of 4 SEP 16: 00 UTC+ 8)
The front-end Skew gave up all of yesterday's gains back to the lows as prices fell further and broke recent lows. The Vol Premium at the end of each period has also been set at a higher position. Among them, the 8 Nov related to the US election on BTC has risen most significantly, and it has also increased in the following two expiration dates. The convexity of ETH at the end of the year (27 DEC) is still Maintaining local highs, rising to 3.53%.
Source: SignalPlus, Vol Skew
Source: SignalPlus, Fly
Judging from the transaction volume, the direction of BTC transactions is relatively balanced. The price drop reminds traders to set extreme scenario protection for their positions (such as 29 NOV-35000-P 500 BTC Long put). At the same time, it also provides those who insist on bullish strategies with cheaper bullish strategy building opportunities, such as 27 SEP 63000 vs 65000 Long Call Spread (200 BTC per leg).
Source: SignalPlus， Block Trade
