April 8 Crypto Option Volatility Research Report

Based on major events, implied volatility is easy to rise in the short term and difficult to fall

I. Core Views:

1-Directional views have been emphasized many times, so I will not repeat them

2-The restrained implied volatility began to rise as major events unfolded this week, especially the implied volatility of#ETHon Friday, Delta 15 points, the bullish position was nearly 10 Vol higher than the bearish position, and it was only 3 Vol higher when the small group prompted yesterday

3-The cottage options are more worth looking forward to this month, and the views on several long-term focus targets have not changed

II. BTC, ETH, Sol option block transactions

For BTC block, it is worth noting that there are 2 transactions, each with more than 100 large positions:

buy BTC-12APR24-70000-C + sell BTC-26APR24-67000-C [Diagonal spread strategy, description: short-term bullish price and implied volatility; short end-of-month price and implied volatility]

buy BTC-31MAY24-84000-C [Pure long price and volatility]

There are obvious differences in the bulk of ETH, which are:

buy ETH-26APR24-3200-P [1000 ETH transactions, most likely to protect spot positions]

sell ETH-26APR24-4500-C [500 short positions, most likely to do CC strategy]

Sol does not have a particularly large volume, and the two positions with relatively large trading volumes are still:

buy SOL_USDC-12APR24-220-C

buy SOL_USDC-26APR24-185-C

III. Macro external market

During the holiday, the overall external news was negative, the US non-agricultural data exceeded expectations, and the Federal Reserve further postponed the expectation of interest rate cuts, which had a certain suppression on the trend of risky assets after the holiday.

Considering the Hang Seng Index's decline and the RMB's stable performance, the A-share market may open lower after the holiday, but the resilience is highly likely, and the core is due to the relative pricing advantage of RMB assets over non-RMB assets.

The core pricing of A-shares still focuses on the expected recovery of China's economic situation. We should pay attention to the continued year-on-year increase in tourism during the Qingming Festival compared with the pre-epidemic period in 2019, which is positive. (The planet also shared pictures yesterday)

IV. Conclusion:

The spot price of the crypto market is bullish, and the volatility is bullish

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