Bitcoin ended August with a drop of 8.6%, and as September began, the market began to discuss seasonal trends. Statistics show that BTC has fallen an average of 4.5% in the past six Septembers. If this trend continues, BTC may fall to $55,000, but strong support is expected around $54,000.
Judging from the local price changes, BTC fell to the lowest point in a week the day before yesterday and was supported near US$57,000. It rebounded to around 59,000 during the day. The change in implied volatility was negatively correlated with the price. After the price rebounded today, the term structure steepened, and the front end gave up 2-3% of the vol increase, which is slightly lower than the median of the past three months, basically the same as the Hourly RV, and there are not many opportunities in VPR.
Source: Deribit (as of 2 MAY 16: 00 UTC+ 8)
Source: SignalPlus, term structure steepens
From the perspective of Vol Skew, the far-end maintains high levels under the long-term bullish sentiment, and the positive correlation trend between the mid-front-end Risky and the price is significant. However, it is worth noting yesterday that the difference between the increases of BTC and ETH is relatively large. From a macro level , massive capital outflows from BTC ETF, selling pressure implied by the negative turn of the Coinbase premium index, and the profit decline faced by miners have cast a shadow on the market sentiment. From the perspective of Flow, the short-term bullish demand for ETH has helped push up the premium of Risky , although there are still far-end bullish buying on BTC, the selling on the front-end Top Side Wing caused by this round of price rise has undoubtedly suppressed the rise of its Skew.
Source: SignalPlus, Risky rebound
Data Source: Deribit, BTC ETH transaction distribution comparison
Source: SignalPlus，Block Trade
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