April 1 Crypto Option Volatility Research Report

There are still 19 days until Bitcoin halving? Will there be a big wave this week?

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I. Core Views:

1-The ETH call option strategy that was deployed in advance this Friday ushered in a 70% increase. We continue to be optimistic about the ETF speculation expectations and actively deploy option strategies

2-The overall structure of the implied volatility of options#BTCis smooth and mildly bullish;#ETHstill has good layout opportunities before the end of April

3-The deep-rooted cottage option targets#Dogeand#Tonhave continued to rise recently, and the volatility has remained high. It is highly likely that it cannot be maintained for a long time, and the profits are appropriately pocketed

II. BTC \ ETH \ Sol

①Spot Sol rose 4% in 24 hours and broke through 200 US dollars again; and its ecological tokens saw a general rise; JITO rose 28% in 24 hours. As mentioned in the live broadcast on Thursday, the ecological heat has become stronger after experiencing the "Lindy effect". BTC spot price did not change much over the weekend, while ETH saw a slight increase, and was around $3,620 as of writing.

② The implied volatility of options BTC and ETH as a whole is still around MAX from the perspective of the volatility cone; it is highly likely that the halving will be approaching, and the implied volatility of ATM at the end of the month is 70%, which is unlikely to fall sharply. If there is an unexpected event, the probability of continued rise is not low. ETH implied volatility has changed significantly compared with the previous week, and the near-end bullish trend has increased significantly; the market is generally optimistic about ETH in June. Although the spot price of Sol has climbed above 200, the near- and far-end implied volatility have remained around 100, indicating that the market does not expect a large increase in the near term, and it is not too late to deploy some long gamma strategies.

There are no particularly noteworthy large transactions over the weekend

3. Other altcoins

#TonImplied volatility has been at 150% recently. We still arrange a strategy based on shorting volatility in the team group. Betting on high IV cannot be sustained. We will be more cautious on the Call side

#DogeImplied volatility has not risen further after reaching a high level. The short-term long gamma strategy needs to be adjusted in time; the strategy at the end of April will not change

#KaspaThe spot price has corrected recently, and the implied volatility has dropped by about 30-40 Vol. This is another opportunity to go long on volatility.

4. Macro market

A shares: The market continued to rebound last Friday. The good thing about the market is that everyone currently agrees that the decline will not be deep. What is hesitant is what is the new engine or narrative clue? There are several major events over the weekend:

① The giant Syngenta took the initiative to withdraw from the listing, and its IPO was relatively resolute in significantly reducing the number of IPOs. It is still necessary to protect the market where confidence is not strong;

② Wanda has received new investment, and the funds come from the Middle East. Real estate is also the most important trend this year. Basically, except for a few central enterprises, the real estate industry is struggling to survive.

③ The key event mentioned last week was that the manufacturing PMI March data exceeded expectations, with the 50.8-point data improving significantly from the previous month. It is very important to make decisions based on data. There are already some clues. Although it is not easy to be overly optimistic, we do need to pay attention and think about whether this is an inflection point? To sum up, all the key issues above are most relevant to the broad-based index, so I say the focus this year is 300 options.

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