Key metrics: (23Sep 4pm HK -> 30Sep 4pm HK):
BTC/USD flat ($63,500 -> $63,500) , ETH/USD -1.5% ($2,640 -> $2,600)BTC/USD Dec (year-end) ATM vol -2.6v (59.4-> 56.8), Dec 25d RR vol -0.5v (3.2 -> 2.7)
Spot Technical Outlook

The market was able to briefly rise above the key resistance levels of $65.2–66k, but the price action again faltered there and the first major test of the long term flag resistance has so far been rejectedThe range resistance here should operate as short term support for now but if it breaks below we will likely drift down to 62.5kRemain long term structurally bullish but tactically neutral; look for confirmation of a clean break of $66k to engage in fresh addition of length
Market Themes:
China finally delivered on long-awaited stimulus and this drove a fresh leg of bullish sentiment for regional equities and also for global growth. The pass-through effect of this is also likely to keep inflation stickier globally should they be successful, which may erode real-rates globally for FIAT currencies with most G10 central banks in cutting cycles (ex-Japan). As such, crypto prices rose on the week initially to test local range highs, before retracing to end up broadly unchanged on the weekUS presidential polls edged back closer to 50/50, though positive soundbites with regards to crypto came out of the Harris camp again last week. We expect to see both administrations continuing to pay lip service to the crypto community in the run up to the event, so we are cautious to read too much into this — particularly any ‘pivot’ from Harris/Democrats
ATM implied vols:

ATM Implied Volatility for BTC$ (23–30Sep 4pm HK)
Realised volatility remained extremely subdued as spot ground higher from $63.5–66k last week, with plenty of offers clearly loaded ahead of the key resistance levels. High frequency and fix-to-fix realised clocked in the mid 30s vs daily implied vols in the mid-high 40sThe lack of realised volatility on the move higher combined with a lack of fresh catalyst saw vol prices drop fairly aggressively across the board this week, with November expiries onward dropping by over 2vols on the week. The current risk-friendly macro backdrop seems to be supportive of buy-on-dip strategies which are vol-suppressive, while any material breakout higher will require some help from the election/Trump at this pointWe expect gamma performance (and hence front-end implied contracts) to remain heavy for the next couple of weeks as spot settles in the $62.5–65.5k range, having failed on the topside breakoutElection variance has priced lower once more as the market took out risk premium from the implied volatility curves in general; with the election now just over 4 weeks away it is a matter of time before attention pivots to this as the next potential fresh catalyst for the cycle, which should drag the event pricing higher as we approach
Skew/Convexity:

Skew prices retraced their move in favour of topside from last week, as realised and implied volatility was lower despite the spot move higher intra-week. Covered call strategies and punitive derive/smile roll drove liquidation of skew lengthFlies actually ticked up during the week with demand for range-breaks both sides, particularly over the election — driving November fly pricing higher. We would feasibly expect vols to rally either side of this $60/70k range so this seems broadly justified
Good luck for the week ahead!

A soft US core PCE (and weak European CPIs) ended the risk-friendly week with a treasury bull curve steepening move, and equities (US + China) both hovering at cycle highs. On a 3m/3m basis, core inflation has settled back to around the 2% annualized level across both CPI and PCE, settling back down towards the Fed’s 2% long-term target and allowing the Fed to remain focused on the labour side of the dual mandate. Post CPI, a number of investment banks have reiterated their calls for a 50bp cut in December, with rate futures back to pricing in ~50% of a 50bp cut in November.

On the other hand, US consumer sentiment jumped to the highest levels in 5 months on the back of the aggressive Fed ease and lower gas prices. The global beta trade appears to be picking up with Chinese and HK equities enjoying their best week in years (+16% on CSI 300) thanks to China’s ‘bazooka’ stimulus, with famed investor David Tepper urging investors to buy ‘everything’ China-related post PBoC’s easing announcements.

As a case in point, iron ore jumped 20% since the end of September on the easing of China’s home-buying rules, while the rapid surge in activities led to trading glitches on the Shanghai Stock Exchange, with China’s ETF inflows seeing the highest daily volumes since 2021.

While the US and China markets appear to be firing on all-cylinders, Japanese equities are facing some renewed turbulence with a surprising election win from Mr. Shigeru Ishida. Ishiba-san, a former defense minister , was a vocal opponent of ‘Abenomics’ back in the days, and is a supporter of BoJ’s policy normalization plans. Japanese equity futures fell 6% and the JPY cratered to 142 as investors fretted over further BoJ hikes and a more aggressive geopolitical stance with the new PM. All eyes will be on the BoJ as they speak this week.

Back over in the US, this will be an important data week with JOLTS, ISM Manufacturing & Services, and of course, NFP. There will be plenty of Fedspeak as well, but markets do not expect committee members to ‘rock the boat’ despite US financial conditions loosening back to cycle highs. Powell will be speaking at the National Association for Business Economics conference on Monday with a topic on the US economic outlook, but investors are likely expecting him to speak more of the same as per the last FOMC, especially with the recent inflation data moving in his favour since his last dovish Q&A.
Furthermore, we will also see the US Vice Presidential Debate on Tues evening in NY, though markets do not expect it to have much sway in the polls, which is still calling for a very tight race. China’s Golden Week holidays will begin tomorrow, so expect more subdued trading activities across both macro and crypto in the Asia hours for the rest of this week.

Over in crypto, Bitcoin has been a strong benefactor here of the easing liquidity backdrop, with robust economic growth, steady corp earnings, and dovish central bankers providing a solid foundation for a strong Q4 BTC rally. While ETF outflows have been disappointing since July (-610M for ETH, -330M for BTC), the recent rally has seen an outperformance from Ethereum, with altcoins also making a strong come back.

With crypto correlations staying high to macro assets, particularly against the SPX, we would consider the friendly macro background to remain a strong tailwind for crypto prices into Q4. Furthermore, with the Kamala camp playing lip-service to crypto ‘support’ as part of her campaign rhetoric, we remain bullish on price action in the near-term, with targetted put-selling strategies likely to be popular as investors switch into a ‘buy-the-dip’ mode. Good luck and happy holidays!

The market’s expectation of interest rate cuts continues to fuel optimism in the cryptocurrency space. BTC ETFs are seeing steady capital inflows from major institutions, and recent news suggesting the approval of ETF terms has drawn significant attention from the community. While ETH has been lagging a bit in this area, with limited traffic from traditional finance and selling pressure from Grayscale’s ETHE, its recent price rise compared to BTC has been a hot topic. After briefly touching $2,700 yesterday — an event quickly picked up by the media — the gains were swiftly erased due to strong resistance. After a day of fluctuations, ETH ultimately closed nearly flat.

Source: TradingView

Source: Deribit (as of 24SEP 16:00 UTC + 8)
Implied volatility showed a positive correlation with the benchmark’s fluctuations in certain areas. After a wave of price corrections, it sharply declined, bringing the front end back to the lower percentile range seen over the past three months. This aligns with the range-bound market and the actual volatility index, which has been falling for several days. While a volatility premium still exists, caution is needed regarding tail risks, particularly in the upward direction.

Source: SignalPlus

Source: SignalPlus
From a volatility skew perspective, the impact of trading volume over the past 24 hours is evident in the slope of the curve. Specifically, the sell-off of BTC put options at the end of September confirmed the market’s confidence in short-term price stability and reflected a bullish outlook through price differences. However, on the flip side, strong demand for the 55k Put at the end of October shifted the curve toward a bearish stance in the mid-range, becoming a focal point of market discussions. ETH trading volume also concentrated around the end of September and October. The sell-off of the 2.3k Put at the end of October mirrored BTC’s demand, highlighting the market’s divergence in cross-currency correlation. However, ETH’s recent unexpected performance likely strengthened bullish demand in September, pushing skew levels to a local high at expiration.

Source: SignalPlus，BTC Vol Skew & Flow

Source: SignalPlus，BTC Vol Skew & Flow

Source: SignalPlus，ETH Vol Skew & Flow

Source: SignalPlus，ETH Vol Skew & Flow

Key metrics: (16Sep 4pm HK -> 23Sep 4pm HK):
BTC/USD +7.8% ($58,900 -> $63,500) , ETH/USD +14.5% ($2,305 -> $2,640)BTC/USD Dec (year-end) ATM vol -0.1v (59.5-> 59.4), Dec 25d RR vol +0.8v (2.4 -> 3.2)
Spot Technical Outlook

The short-term trading channel we discussed last week saw its support initially tested, after which spot was able to regain its footing and trended cleanly higher post FOMC, up to the range resistance level of $64–65k. Market has been flirting with this level for the last couple of sessions but price action above 64k so far has left us wantingFrom a technical perspective our base case for now is that we should expect the range to hold and spot to consolidate between $61.5 -64k. If we do break the level then we can expect spot to initially aim to test the highs around $70kNote that a break of the range resistance will also coincide with a breaking of the long-term flag top (see bonus chart below) and this could catalyse a much larger move:
Market Themes:
FOMC delivered a punch as they opted for a 50bp cut to start their cutting cycle, igniting animal spirits in equities and crypto (altcoins in particular), while Gold and Silver also traded higher. Interesting the USD actually didn’t weaken further against G10 currencies indicative of over-stretched positioning thereUS presidential polls continue to edge marginally further in favour of Harris, but since the short term narrative focus switched to the FOMC rate cuts, this hasn’t weighed on crypto prices
ATM implied vols:

ATM Implied Volatility for BTC$ (16–23Sep 4pm HK)
Realised volatility remained pretty subdued throughout excluding the FOMC event, as the market awaited a fresh catalyst. Realised numbers were in the mid 40s on a high frequency and fix-to-fix basis, while the 4.5% move in the morning following Fed slightly outperformed the break-even the market priced for the event (which squeezed from 2.5 to 3.6% into the event)Further unwinds of downside hedges and lack of directionality pre FOMC put downward pressure on vols, though for the most part implied vols remained supported at these levels since we are at the range lows and the election is approachingThe front-dated contracts were heavily offered to start the week before squeezing into Fed; they then were heavily offered again into the weekend without a break of the key $64–65k resistance level. There was a brief spike on 23Sep as spot tested the top end of the range but that was short-lived and gamma contracts were offered heavily followingElection variance has priced fractionally lower once more as the market took out risk premium from the front-end of the curves; with odds still close to 50/50 we expect to see this squeeze higher as we approach the event
Skew/Convexity:

Skew prices moved in favour of topside this week as the market looks for a break of the $64–65k range resistance to catalyse some fresh impetus in prices. Short term this makes sense but structurally until we clear the election it’s not clear we have enough of a catalyst from Fed alone to see a fresh ATH in spot prices and a new regime of vol
Flies were actually offered this week as the market saw unwinds of downside hedges (supplied the market with flies/paid the market for RR), while topside demand post FOMC was mainly in the form of call spreads again, supply further flies to the market
Good luck for the week ahead!

Look who’s back?

As we outlined in our quick-take on Thursday, Chairman Powell was ‘confidently dovish’ in the latest FOMC, and acted aggressively with a 50bp front-loaded cut while still advocating an economic soft-landing. The result was clear — a significant dovish impulse to celebrate the official start of a new Fed easing cycle, with risk markets taking ~12 hours to digest the message before driving equities to new all-time highs. What happened to the recession?

Fixed income was once again the ‘adults in the room’, with yields relatively well-behaved, but with a structural curve steepening bias starting to take place. 2y — 5y yields stayed towards its YTD lows following the aggressive Fed move, while 10y — 30y yields stayed bid against improving risk sentiment and insurance against a return of inflation, with core PCE due this Friday. While others might disagree, we believe that a 50bp cut at this juncture is ‘unconventional’ based on economic fundamentals alone (Atlanta Fed GDP still tracking ~3%, labour market still holding up, inflation still above 2%), so the Fed’s action should be seen as an explicitly dovish signal that markets are right to respect in the near-term.

So what could derail the rally? Ultimately, it comes back to hard data, which the Fed themselves have been alluding to. The keys will remain with 1) the degree of slowing in the US labour market and 2) the continued pace of CPI easing, both of which are currently still working in the Fed’s favour, and the burden of proof will be on the economy to ‘prove’ the market wrong. In other words, the rally will ‘remain innocent until proven guilty’, at least until the economy shows a critical slowdown that is deemed beyond rescue by the Fed easing.

For US equities, aggressive rate cuts into a soft-landing with no obvious downside catalysts can only mean it’s smooth sailing to new all time highs again, which is exactly what happened last week. Equities have managed to handle negative September seasonals exceptionally well, and even Trump’s fading polls have done little to discourage the risk-on rally with high-beta sectors such as AI-stocks looking to re-accelerate again. Similar to the story in bonds, economic data reigns supreme, with investors likely to be remain better buyers-on-dips heading into the final month before elections. Finally, technical measures look positive for the SPX, with strong momentum breaks to the upside which bears watching in the near-term.

Over in crypto, prices have staged a decent recovery with BTC rallying 6% on the week as the correlation with equities (and gold) has returned to 2-year highs. The infamous chart of BTC vs 3x-levered Nasdaq has re-converged after a brief period of outperformance, though it does feel like that crypto is poised for a sharper short-term move with alt-coins trading particularly strong last week. Even the much-maligned Ethereum has managed to gain 11% over the past week on no particularly new developments. We believe that this rally could have legs with the Fed’s ‘dovish pivot’ finally seen as consensus.

The particular strength of the altcoin rally is an encouraging sign, and might be suggestive of a more impulsive rally in the near-term, as long as equity sentiment holds up. BTC spot inflows have resumed somewhat in the past week, and might be on pace to make new cumulative highs before the month is over. Will a continued price rally rescue ETH ETF inflows from its current doldrums? We believe the answer will depend on whether we can get another blow-off top in equity before November, and we are already benefitting from the Fed’s dovish turn.

Another positive for ETF inflows might come from the SEC’s approval of new ETF options listing. As we have been advocating for a long time, options are a dominant asset class in TradFi and are favored by many institutional players, so it was only a matter of time before they entered crypto and grow in prominence going forward.

Speaking of the importance of options, TradFi will see over $4.3 trillion in option expiries this week for US equities, with particular activity out of index options as everyone is an index vol trader now (similar to the rising BTC dominance). Will investors roll out of their expired positions into more upside calls after month-end? Time for some OTM Calls on BTC into year-end? Let’s make sure to keep an eye out on this space!

Looking ahead, the market will focus on a busy docket of Fed speakers who are exiting their communication blackout periods post FOMC. We’ll have 3 Fed speakers on Monday, 6 on Thursday (including Powell), and 2 more on Friday to end the week. Particular focus will be on Powell’s comments on Thursday as markets will gauge his reaction to the substantial easing in financial conditions, while the only major US data of note will be Fridays’ PCE.
Overall, macro markets are likely to continue on a slow melt-up this week as a base case, with option markets pricing in little risk premium until NFP on October 4th. We do not expect Fed members to ‘rock the boat’ with their upcoming speeches, and the path of least resistance is likely to be up until further notice.
Good luck to our readers and be careful with fighting the Fed!

The day after the FOMC decided to lower interest rates, the Bank of Japan announced it would keep its rate policy unchanged. BTC continued its climb above $63,000 with a 2.33% intraday gain, but couldn’t break through the key resistance at $64,000. Meanwhile, ETH stole the show after facing criticism for weak price action. A midday rally pushed ETH past $2,500, closing at $2,561 (+5.05%). Despite no significant progress in ETF flow, ETH showed strong upward momentum. Going forward, it’ll be crucial to watch for rising exchange reserves to avoid selling pressure from supply-demand imbalances.

Source: TradingView, BTCUSDT vs. ETHUSDT intraday comparison
Looking at implied volatility, most of the front-end uncertainty dissipated following the policy announcement. However, consecutive price gains continued to fuel high realized volatility at the front end of the curve. Despite the upcoming weekend, traders remain concerned about potential hedging costs. A wave of sellers entering the market after today’s settlement helped lower BTC premiums, with ATM IV quickly dropping from 50.46%/44.81% (21Sep/22Sep) at settlement. The biggest uncertainty now centers around the U.S. presidential election, and after a brief pullback over the past two days, the long end of the IV curve has rebounded significantly. BTC has returned to last week’s levels, while ETH experienced an even sharper rise.

Source: Deribit (as of 20SEP 8:00 UTC)

Source: SignalPlus
In terms of volatility skew, the positive impact of the rate cut caused the skew to flatten significantly. ETH’s strong performance today pushed the skew to its highest level in a month, with notable buy-call and sell-put activity heading into late September. This could prompt some profit-taking or covered call selling as the weekend approaches.

Source: SignalPlus

Source: SignalPlus, ETH 27SEP trading distribution
Looking at curvature, both BTC and ETH experienced a dip on 29NOV, contrasting sharply with the peak seen in the following month, leaving a cross-term Vol Premium on Wing.

Source: SignalPlus

Key metrics: (19th Sep 12am HK — 12pm HK ):
BTC/USD spot +4.5% ($59,400 -> $62,100)BTC/USD 27Sep ATM vol -7.0v (54.5 -> 47.5); Dec (year-end) ATM vol -1.4v (59.6-> 58.2), Dec 25d RR vol -0.3v (2.3 -> 2.0)
FOMC Recap:
The FOMC delivered a 50bp cut to begin its cutting cycle, with chair Powell sounding confident in the state of the US economy (“if you ask most market participants, they would say the economy is doing just fine”)Knee-jerk reaction was US equities higher, USD lower (vs FIAT and Gold), yields lower — though most of the move was unwound post event with market clearing up positioning. BTCUSD and ETHUSD prices remained relatively muted on the event itself, before staging a 4% rally in the early hours of the Asia morning. Altcoins were generally boosted higher by the risk-on sentimentCross-market implied vols were heavy in the wake of a muted reaction, with the US election the next narrative for the market to focus on in October. Having said that, growth data will be watched closely by the market and the Fed in the coming month
BTCUSD Volatility Recap:
After a subdued start to the week, the implied vol market saw high levels of activity into the event, with notable demand for the event weight observed in the market. The overnight vol squeezed from 65 to 90 vols last night -> implying a break-even of 3.5% for the overnight straddle. In the end spot prices did fulfil the break-even due to this morning’s move, but the ‘event move’ itself was largely underwhelming, with spot settling around the $60k mark by 5pm NY time. Expiries slightly further out were dragged higher too as the market scrambled for gamma, with the 27Sep expiry moving from 51.5->54.5 vols briefly, before cratering back to 47.5 vols at current levels

Activity further out the curve was relatively subdued, with implied levels drifting lower into the event and after, as the market still searches for a fresh narrative to break the current range-bound trading. A brief spike on the break higher this morning was quickly faded the market clearly running into some long Vega derive on higher spot locally

Skew pricing remained very static, indicating bullish sentiment has yet to return to the market despite the fresh move higher in spot. Implied volatility is struggling to materially move either side of spot (in fact some overlay topside selling observed on higher spot) so this is broadly expected

Forward Outlook for Crypto Vol:
Short-term, barring a fresh break higher in spot prices, we expect to see continued pressure on front-end implied volatility with realised metrics subdued (mid-40s realised on high frequency and fix-to-fix average) and no event risk on the imminent horizon. It is likely market participants may use this leg higher in spot to sell shorter-dated topside calls as an overlay to core long cash positions (we have observed some of this already this morning)As pressure on the front-end volatility continues into the weekend, the market may over-discount the post-election expiries; we estimate a total variance of around 5–6% currently priced in for the US election date, which given its significance for the crypto cycle seems low (bearing in mind the market priced in almost 4% break-even for FOMC last night, and around 5.5% for the Bitcoin 2024 conference in August)With pricing at 50:50 for the election we expect that skews will remain fairly static into the event, since the gap-move either side could be fairly symmetric initially (disappointment on Harris/‘status-quo’ outcome vs bullishness on Trump)
Good luck!

Quick note: This will be an abbreviated version as the SignalPlus team are at the Token 2049 conference in SG — come meet us in person!
Chairman Powell gave risk markets what they wanted with a 50bp cut, but was explicit in hedging the larger cut with confident statements that an economic soft-landing is still the base case, and repeated many times that the US economy is doing “just fine”.
Key takeaways:
Soft landing is still the base case with falling inflation. “The US economy is in a good place and our decision today is designed to keep it there.”, “The US economy is basically fine.” , “We will get down to 2% inflation, I believe.”.Staying ahead of the curve. Powell committed to ‘staying ahead of the curve’ in terms of being reactive with rate cuts in case of any labour market slowdown, with a focus on the hiring rate (50bp move was a ‘sign of our commitment not to get behind’). The Fed raised the unemployment rate expectations to 4.4% for 2024 (vs 4.0%) and 2025 (vs 4.2%), and to 4.3% for 2026 (vs 4.1%).50bp is meant to communicate a ‘strong move’. Powell confirmed that today’s 50bp move was a strong move, but gave the Fed wiggle room for future meetings by not necessarily commiting at this same pace going forward (‘nobody should assume that this is the new pace’). Basically, don’t be pricing in 50bp for an eternity, don’t be pricing in 75bp, but the Fed can do multiple 50s if the economic data warrants (“We’re always going to try to do what we think is the right thing for the economy at that time. That’s what we’ll do, and that’s what we did today.”).It’s all about the hard data. The Fed will be focused on hard economic data over soft sentiment data going forward, with a particular focus on how the market will react to lower rates.Everyone is on the same page. Powell noted that all 19 Fed participants committed to multiple cuts this year, with 17 indicating 3 more cuts, and 2 members indicating 4 more cuts as a “significantly different” development from June. The only dissenter was Bowman, who wanted only a -25bp cut this time.
Market Reaction
Rates: markets still pricing 2.5x more cuts in 2024, slightly ahead of the median Fed dot-plot. Bond yields barely moved after FOMC as the results were pretty much in line.FX: USD weaker as the Fed delivered. Particular weakness JPY especially with the risk the BOJ to stay hawkish in their upcoming meeting.Equities: Rallied as the Fed delivered a ‘strong’ ease while expressing the economy is still fine and inflation is still expected to come downCrypto: BTC recovered 60k on the back of the strong equity move, with a strong performance in altcoins as a sign of an overall boost in risk sentiment.

Key metrics: (9Sep 4pm HK -> 16Sep 4pm HK):
BTC/USD +6.9% ($55,080 -> $58,900) , ETH/USD -0.7% ($2,320 -> $2,305)BTC/USD Dec (year-end) ATM vol -2.9v (62.4-> 59.5), Dec 25d RR vol -0.1v (2.5 -> 2.4)
Spot Technical Outlook

BTC/USD staged a strong reversal off the range support, climbing back to the $58–60k pivot zone where it is attempting to find equilibrium amidst some choppy price actionThe short term trading channel above remains constructive but a break below the support level of $57.5k could be a sign of a bigger correction lowerA move back below $54k would invalidate the long-term raising flag formation and suggest a move below $50k is on the cardsShould we manage to clear $61–62k on the topside, the next main resistance level would be at $65k again, where it is likely the market will find offers into the election with odds still 50/50
Market Themes:
Initial fears around ‘Rektember’ seemed overplayed in the first week of this month, and after meeting some strong support ahead of $52k once again, BTC/USD found buoyancy this week, briefly testing above $60k. ETH/USD however struggles for momentum, trading sideways around the $2,300 levelUS presidential polls swung marginally in favour of Harris after the presidential debate on 10Sep, after a perceived outperformance. However, with the odds hovering around 50–50 this isn’t really translating to crypto prices until the pendulum swings more firmly one way (which may not happen until the actual election at this point)The market surprisingly still remains split between a 25bp or 50bp cut for the FOMC meeting this week; initially market fully priced 25bps after the CPI event on Wednesday, but swung back to 50/50 pricing after a few ‘leaks’ from non-Fed voters suggesting 50 could be on the cardsUS equity prices found support off the local lows once again due to a variety of reasons: positioning clearly remains defensive due to ‘Rektember’ fears; earning remains robust for the most part; and US data is not falling off a cliff yet. If the Fed do deliver 50bps at this juncture we would expect further uplift in equity and crypto prices

ATM Implied Volatility for BTC$ (9–16Sep 4pm)
Realised volatility remained pretty subdued throughout the week despite the large premium priced in for the events (presidential debate and US CPI) — high frequency in the mid 40s, despite 1w implied pricing in the 60s at one pointAfter a wave of demand for optionality at the start of the week, the market was hit with unwinds of vol and directional bets towards the end of the week, putting further pressure on implied levels, particularly in the front-end of the curveElection variance has priced fractionally lower in line with general premium being taken out of the vol curves, and with odds still at 50/50 we expect to see this squeeze higher as we approach the event
Skew/Convexity:

Fairly static price action in both skew and convexity this week, as market focused on local optionality covering the events of this monthWith implied volatility struggling to move with any clear correlation to spot moves (i.e. implied vols not moving materially on higher or lower spot), we struggle to see any meaningful reprice in surface ahead of the election. We expect more variance to be put into local strikes into the election due to the election being a 50/50 event with clear spot implications either side depending on the outcome
Good luck for the week ahead and enjoy Token49 for those attending!

After being in cruise control for most of the week, Friday saw a sudden repricing of the odds of a 50bp cut in September from ~15% to ~50%, with little news to blame. Economic data was mostly in-line and a non-factor, and the Fed remains in official communication blackout, leaving participants to speculate that it was the commentaries of former Fed officials and journalist mouthpieces that ignited the significant futures rally.

Leading the way was the WSJ’s Timiraros, quoting Powell’s former senior advisor (Jon Faust) that his preference would be” slightly toward starting with 50", and that he believes “there’s a reasonable chance that the FOMC might get as well”. Furthermore, the Fed could manage investor concerns over the larger cuts by providing “a lot of language around it that makes it not scary…. It wouldn’t be a sign of worry” and that it could raise “awkward questions” if officials chose to lead with a small 25bp rate cut.
Next, the FT released an article citing a ‘close call’ over whether the Fed will lower rates by half or a quarter in Sep. Finally, it was the former NY Fed President Dudley who delivered arguably the strongest comment, stating that “I think there’s a strong case for 50, whether they’re going to do it or not,” and that the current funds rate is at nearly 200bp over the neutral rate, and “So the question is: ‘Why don’t you just get started?’”

In response to the rate repricing, the treasury curve continues to bull-steepen, with 2/10s gaining 4.5bp on the day and taking the curve to the steepest levels in over 2 years, and forcefully disinverting back into positive territory after a historically long inversion period (since 2021).

We’ve spoken a few times about a ‘regime change’ with the Fed’s official change in narrative to an easing bias, and this is evident through the sustained yield curve steepenign as well as a break in bond-stock correlation back into negative territory.
For pretty much the entire year, stocks and bonds had been moving in tandem as both asset classes represented a one-way bet on the Fed. However, since the August ‘flash crash’, the two have reverted back to their diversification behaviour, as the market is back to focusing on economic trajectory over just Fed stimulus as the main driver of asset prices at this juncture.

With US rates back in the driving seat, FX is taking a reactionary cue with both DXY and USDJPY moving in sync with yields, with both the dollar index (100) and the yen (140) hoving around important technical levels, respectively. On the other hand, US equities have buckled the trend of poor seasonality, at least in the short-run, with the SPX returning the best week all year outside of the chaotic August period.

Part of the strong rally might be due to performance chasing from fund managers, where JPM reports that August saw a $55bln outflow across equity mutual funds, the worst since 2022. Will we see a large reversal of that in the important September quarter-end, regardless of whether we get a 50bp cut or not?

Over in crypto, the correlation of BTC with SPX has risen to approach the highest levels in history, as macro sentiment continues to dominate price action absent any other notable developments on-chain. Prices are back to the 58–60k area as markets saw an interim change in market sentiment, with BTC ETFs seeing 263mm in inflows on Friday, and even ETH ETFs saw a temporary halt in outflows. Vols have eased off as traders continue to favour overwriting BTC calls for income.

Nevertheless, despite the temporary reprieve, the medium term headwinds and challenges remain, with ETH continuing to struggle and ETHBTC grinding down to 5yr lows with no end in sight.

On the news side, announcements of Coinbase’s wrapped BTC (cbbtc) and SWIFT’s announcement raised further concerns over the increasing centralization risks of digital assets, but is likely going to be a continuing trend with TradFi’s increasing presence in the space.

Looking ahead, it’ll be the week of central bank events with the US Fe`d, Norway, Japan, England, Brazil, South Africa, Thailand, Taiwan, and Indonesia all meeting next week. Data wise, China’s credit supply and retail data will be scrutinized on the extent of the ongoing slowdown, though US retail sales on Tuesday should be the most important figure pre-FOMC with the potential to swing the final decision one way or another.

Good luck and the team is looking forward to seeing you in SG at Token 2049 this week!

At 9 a.m. Beijing time, Trump and Harris held their first presidential debate as scheduled. While neither candidate mentioned cryptocurrency, the focus was mainly on traditional topics like foreign policy and immigration. According to Polymarket data, as the debate progressed, the odds gradually shifted in Harris’s favor, and market reactions highlighted traders’ focus on the election outcome. Although cryptocurrency was not directly addressed, the expectation of Trump’s declining chances of victory clearly impacted digital currency prices. The political uncertainty caused by the close race led traders to become more cautious, triggering a short-term increase in risk aversion. As a result, BTC dropped by 1.6% within an hour, testing the $56,000 support level.
Source: Polymarket
After the debate, BTC completed a pullback from its high and closed around $56,500. The actual volatility for the day was approximately 43%, significantly lower than the previous day’s option market pricing. Based on this, the implied volatility curve was also notably revised downward. However, the front end of the curve still reflected expectations of a 60% fluctuation in anticipation of tonight’s CPI data.
Source: SignalPlus
Source: Deribit (as of 11SEP 16:00 UTC + 8)
On the other hand, the shift in Volatility Skew reflects recent emotional swings in the market. Yesterday, the end of negative inflows into the BTC spot ETF was seen by investors as a turning point in market sentiment, driving the price to challenge $58,000 and pushing Vol Skew back. Today, although the Ethereum ETF also saw an end to fund outflows and BTC continued to experience inflows, the negative risk aversion caused by political uncertainty dampened the market’s renewed enthusiasm.
From a trading perspective, the price rebound and the return of Vol Skew have created attractive buying opportunities in BTC, particularly toward the end of November, when many put options were bought. In the case of ETH, this trend has resulted in a large volume of call options being sold. One of the most notable examples is the 20SEP custom multi-transaction strategy from bulk trading, which involved selling bullish options at the $2,350 and $2,400 levels, yielding significant premium returns.
Source: SignalPlus, 25D RR Variation
Source: SignalPlus, transaction data
Source: SignalPlus, transaction data
Source: SignalPlus, ETH Bulk Transaction Data

Key metrics: (2Sep 4pm HK -> 9Sep 4pm HK):
BTC/USD -4.1% ($57,400 -> $55,080) , ETH/USD -4.9% ($2,440 -> $2,320)BTC/USD Dec (year-end) ATM vol +1.6v (60.8-> 62.4), Dec 25d RR vol +0.2v (2.3 -> 2.5)
Spot Technical Outlook

Spot continued its downward move to test the range support at $53.6k and after briefly trading below, the market has now comfortably traded back higher. This is potentially a notable rejection of the break lower, satisfying the market’s need to test the other side of the range having failed to break above 65k last monthFrom here the technical bias is for basing before a move back higher, reclaiming the pivot zone (expect choppiness as we cross back above $58–60k region)If the $53–53.6k support does fail to hold here we would initially expect a fairly quick test of the sub-$50k major support level, but given that the market seems to have quite a lot of buying demand there, in the absence of a major risk-off move across global markets we would expect strong support for spot at those levels
Market Themes:
‘Rektember’ finally arrived and with it the return of implied volatility across markets and especially in cryptoCross-market risk-off price action meant crypto prices struggled for upward momentum once again. BTC/USD eventually tested the lower end of the the $53–65k range though found some support there. Meanwhile ETH/USD tested a local low of $2,150 before also finding some respiteUS betting odds remain close to 50–50 between Trump and Harris, with a lot of attention on the upcoming presidential debate in Philadelphia on 10SepThe market remains split between a 25bp or 50bp cut for the FOMC meeting this September, though ultimately crypto is not really responding to this locally, taking its cue from the price action in US equities and VIX insteadShould the Fed actually deliver a 50bp cut we would expect crypto prices to rise quickly from these depressed levels, as although that might suggest panic with regards to the growth outlook, the implications for a weaker USD are clear with the tail of a resurgence in inflation in the US opening up, should the Fed cut rates too aggressively
ATM implied vols:

Realised volatility was actually fairly subdued on a high frequency and fix-to-fix basis this week, clocking in the mid-high 40s; however with the levels of risk aversion and the heavy event calendar ahead (NFP last week, US CPI, US presidential debate, FOMC), implied volatility rose gradually into the mid 50s over the week in the front end and gradually higher further out post-electionAs focus shifted towards the near-term ‘Rektember’ events, demand was seen for all sorts of formats — directionally primarily via downside options in the $52–54k region, while the market also saw some pure volatility demand via straddles and strangles covering the events of the month. Roughly the market has around 3–3.5% extra gap variance for the US presidential debate on 10Sep, while CPI and FOMC closer to the 2% gap markThe US election premium was out of focus with the market focused on the imminent data points. The market did see some supply of December downside, which led to flattening of the term structure post election. Given the shape of volatility term structure in other asset classes, with November implied volatility levels higher than December onwards for FX/Equities, we continue to think that the market will push towards inversion of the curve eventually
Skew/Convexity:

Fairly static price action in both skew and convexity this week, as market focused on local optionality covering the events of this monthWhile very short term skews did move deeply for downside due to directional demand of 52–54k type strikes, this did not translate to skews further out the curve, with the market still aware of bullish upside tails further down the line, with Fed cutting cycle imminent and Trump still the very marginal favourite for the election
Good luck for the week ahead!

Last Friday’s lower-than-expected non-farm payroll data and the recent downgrade have reignited concerns about a potential economic recession, resulting in the worst weekly performance of the US stock market since March 2023. Negative risk sentiment has also negatively impacted digital currencies, once again confirming the seasonal statistical trends. Meanwhile, US bonds have experienced a strong bullish trend, with the 2/10 yield curve finally ending its inversion.
Source: SignalPlus, Economic Calendar

This week, the crypto community remains focused on macroeconomic events. After a relatively quiet weekend, options market makers have quietly increased the implied volatility (IV) of the front end. While BTC and ETH exhibit similar term structures, there are some nuances. Notably, the peak for BTC’s front end is on 11SEP, while ETH peaks on 12SEP, with both expiration dates showing high volatility premiums.
The uncertainty surrounding 12SEP largely stems from CPI data. Although inflation data has recently taken a back seat to employment figures, it has regained prominence for financial traders this week. It could play a crucial role in determining whether the Fed will significantly cut interest rates by 50 basis points at the FOMC meeting in late September.
For traders holding positions expiring on 11SEP, the main focus is on the presidential campaign speech scheduled for 9 a.m. Beijing time. This debate between Trump and Harris is a rare direct confrontation, with less than two months remaining until the official election day. Both candidates are likely to discuss various topics, including digital currencies. The market has responded with increased correlation for BTC, a trend also reflected in the term structure.
Source: SignalPlus

Source: SignalPlus

The mid-term structure has formed a trough, with 25OCT as the lowest point. Uncertainty is concentrated around the days leading up to the FOMC meeting and the presidential election. The two currencies show slight differences in their Forward IV structures, with ETH’s low point around 12SEP-13SEP potentially offering opportunities for leveling and correction. ETH’s flat slope at the end of the month, along with a volatility premium that is 10% higher than BTC’s, may also attract cross-currency volatility trading.
Examining the curvature of the volatility smile, the far-end Fly has seen a brief increase and has returned to a level close to where it was a week ago.
Source: Deribit (as of 9SEP 16:00 UTC + 8)

Source: SignalPlus

US equities suffered their worst weekly close since March 2023, while yields closed at around their lowest levels this year following a disappointing NFP that revived concerns over an incoming recession with a Fed that’s increasingly seen as being behind the curve.
NFP came in at +142k in new jobs created (vs 160k consensus), along with -89k in prior downward revisions, and an unemployment rate steadying at around 4.22%. The soft headline now puts the 3m average at <100k in job creation, and is the weakest quarterly trend since 2012. All of a sudden, private sector growth is on pace to see the weakest growth it has been in over a decade, with an economic recession appearing more imminent than it has been in quite sometime.

Asset prices reacted as one would expect. Treasuries saw a bull-steepening move with saw 2yr yields fall by -12bp at one point in the session, and the 2/10s curve steeper by 6bp on the day to finally disinvert to positive territory. However, a surprisingly ‘balanced’ Governor Waller chose not to endorse either a 25bp or 50bp cut in Sep, causing fixed income to give back some of its early gains.
*WALLER: IF APPROPRIATE, WILL ADVOCATE FOR ‘FRONT-LOADING’ CUTS*FED’S WALLER: CURRENT BATCH OF DATA ‘REQUIRES ACTION’*WALLER: IMPORTANT TO START RATE CUTS AT NEXT FED MEETING

Experienced macro observers will note that the last thing should do would be to incite panic and to over-react even in the face of weakening data. Any liquidity benefits of rate cuts would be quickly nullified by fears over a hard recession, should officials over-extend their hand in the current phase. As such, following Waller’s measured response post NFP, Treasury Secretary Yellen threw her own weight into the issue, by explicitly stating that the US economy remains ‘solid’ and on the path to ‘soft landing’.

“We’re seeing less frenzy in terms of hiring and job openings, but we’re not seeing meaningful layoffs,” Yellen said at the Texas Tribune Festival in Austin. “I’m attentive to downside risk now on the employment side, but what I think we’re seeing, and hope we will continue to see, is a good, solid economy.” — Yellen

Bond investors are a forward looking bunch; interest rate futures quickly revised Sep FOMC pricing lower toward 25bp in reaction to Waller’s & Yellen’s comments, but have priced in ~80% of 50bp cuts in both November and December meetings as the US economy is slowing more aggressively.

As expected, all of this was bad news for stocks and risk assets. A 3% drop in the Nasdaq and 2% drop in SPX saw the latter product its worst weekly losses since 2023, while the VIX has rebounded towards 25 as macro assets fell across the board.

The current downdraft in stocks is coming at a time when both US retail and professional money managers have exceptionally long exposures to US equities. WSJ reports that US households have now allocated >40% of their wealth to financial assets, a record high, while long-only asset managers have remained steadfastly long SPX even after the recent August drawdowns.
Mixing an economic slowdown, record long positioning, and statistically poor stock market seasonality in September? Count us in for the bear-camp in the near foreseeable future.

Similar to our view on equities, our supporters might remember our comment from late last week that crypto would need a near-perfect mix of NFP outcomes to see higher prices. Instead, we received one of the worst-case outcomes as the repricing of risk sentiment dragged BTC down to ~54k and ETH to 2.2k, losing another ~6% on the week and continuing its recent underperformance.

ETF flows remain disappointing, with BTC seeing outflows of $170 million on Friday, keeping the losing streak at 8 consecutive days. ETH lost another $6 million on the day and cumulative flows have been declining precipitously since its July launch, with no apparent light at the end of the tunnel, yet.

Furthermore, rising implied and realized volatilies have weakened the risk-return profile of crypto at the current juncture, and its lack of risk-diversification properties (ie. SPX correlated) have weakened the near-term inflow narrative.

On-chain analysis from Glassnode paints a similar picture, showing increasing downside pressures and rising unrealized losses. It is perhaps no surprise that hedge funds are seen to be building on their short-positions against asset manager longs across listed BTC and ETH instruments, and we expect crypto sentiment to remain challenged and liquidation pressures to rise significantly as we approach $50K on BTC.

Looking ahead, the coming week might see more risk reduction with a lack of positive catalysts on the horizon. The focus will be on the US Presidential Debate on Tuesday, along with a busy week of inflation data (incl. US & China) and central bank speeches across the globe (ECB decision, RBA and BoJ speeches). We are cautious on risk exposures here and see tougher times ahead, with equities likely to remain on the backfoot this week and into the FOMC.

Amid recent bearish sentiment, Bitcoin has struggled since last night’s US trading session, falling by 2.5% around ten o’clock. This decline continued into the Asian trading session, where a liquidation event drove the price down to $55,606 before it slightly recovered and fluctuated around $56,000. Throughout the day, implied volatility showed a negative correlation with the price. After significant intraday fluctuations, the term structure for BTC and ETH experienced Bull Flattening, with ETH showing a more pronounced lift at the longer end. Short-term volatility levels even displayed a significant inversion pattern, highlighted by an intraday high of 85% RV.
Source： SignalPlus
The implied volatility (IV) of front-end ETH is not only higher than that of BTC but is also currently at historical highs, exceeding the 75th percentile. The elevated Volatility Premium Ratio (VPR), as reflected in the implied hedging costs from the Realized Volatility (RV) volatility cone, may attract bearish volatility strategies. This could potentially dampen the upward tilt of the term structure in the short term.
Source： SignalPlus
Source： SignalPlus
Source: Deribit (as of 4 SEP 16:00 UTC+8)
Due to the further price decline and the breaking of recent lows, the front-end Skew has erased all of yesterday’s gains and returned to lower levels. Volatility Premiums at longer maturities have also risen, with the most significant increase observed in BTC with 8 NOV expiration due to the U.S. elections. This has led to higher premiums for the subsequent two expiry dates as well. The convexity of ETH for the end of the year (December 27) remains at a local high, climbing to 3.53%.
Source: SignalPlus, Vol Skew
Source: SignalPlus, Fly
In terms of trading activity, the directional bias in BTC trades is relatively balanced. The recent price decline has led traders to set up extreme scenario protections for their positions (e.g., a 29 NOV-35000-P 500 BTC Long Put). At the same time, this provides an opportunity for those who remain bullish to establish more cost-effective bullish strategies. For instance, a 27 SEP 63000 vs 65000 Long Call Spread (200 BTC per leg) offers a cheaper entry point for bullish positions.

Source: SignalPlus， Block Trade

Bitcoin ended August with an 8.6% drop, and as September begins, the market is turning its attention to seasonal trends. Over the past six years, statistics show that BTC has averaged a 4.5% decline in September. If this pattern holds, BTC could fall to $55,000, with strong support expected around $54,000.
From a short-term perspective, BTC briefly dropped to a one-week low two days ago, finding support near $57,000 before bouncing back to around $59,000. Implied volatility showed a negative correlation with the price, and after today’s rebound, the term structure steepened. The front end gave back 2–3% of the gains, putting it slightly below the three-month median and roughly in line with Hourly RV. Not much opportunity is seen in the VPR.
Source: Deribit (as of 2 MAY, 16:00 UTC+8)

Source: SignalPlus, term structure steepened.

From a Vol Skew perspective, the far end remains elevated due to long-term bullish sentiment, while the positive correlation between short-to-mid-term Risky and price movements is notable. However, it’s important to point out that yesterday’s price action between BTC and ETH showed a marked divergence. On a macro level, significant outflows from BTC ETFs, the negative shift in the Coinbase Premium Index signaling selling pressure, and declining miner profits have all cast a shadow over market sentiment. In terms of flow, short-term bullish demand for ETH has helped drive up the Risky premium. While long-term bullish buy orders for BTC remain, the selling pressure on the front-end Top Side Wing, triggered by the recent price rise, has undoubtedly suppressed the growth in its Skew.
Source: SignalPlus, Risky rebounded.

Data Source: Deribit, BTC vs ETH trading distribution comparison.

Data Source: Deribit, BTC vs ETH trading distribution comparison.

Source: SignalPlus，Block Trade

Last week was a relatively quieter week, where global equities basically retraced to their interim highs and US treasuries ending the month at the lower end of August range. Data was supportive with Q2 GDP revised up to a 3.0% handle, initial claims coming steady on a week-on-week basis, and PCE confirming inflation’s gentle slide towards the Fed’s long-term target.
Core PCE inflation rose 0.16% MoM and 2.6% YoY, with healthy personal spending which saw another 0.4% MoM growth in real terms. However, much of the spending strength was powered by a continued fall in the US savings rate, dropping to 2.9% and sitting at the lowest point since June 2022 and below the pre-covid average.

In fixed income, yields held their range this week, though the vaunted treasury yield curve (2/10s) is now a stone throw’s distance from dis-inverting after spending 2yr years in negative territory, and is the strongest sign that macro participants are now fully buying into the start of a new easing cycle from the Fed. Long-end prices are suffering from some supply indigestion, while Sept is pricing in ~33% chance of a 50bp cut thanks for falling inflation.

Over in equities, long-only and mutual fund investors have been large buyers of the market since the early month sell-off, and investors continue to find comfort in equities with SPX earnings continuing to grow thus far. Furthermore, underlying fundamentals remain extremely healthy as well, with both EBIT and Net Margins still rising from their historically lofty levels, as companies continue to find ways to stay profitable despite the various economic uncertainties.

With that being said, September is seasonally the worst month for US equities during the entire year, reversing the good fortunes seen in July in the midst of summer. Will this year be any different? And will the potential catalyst come from a weak NFP to start things off in September? Will it come from a market pushback against Harris/Walz’s aggressive tax hiking plans? Will inflation be making a surprising and unwelcome return? We expect September to be a busy month, starting with this Friday’s payroll data once US markets return from their long-weekend holidays.

Crypto had an uneventful week but another quietly disappointing week, with both majors and alts losing around 10% on a weekly basis. Between, TG founder Durov’s arrest in France, SEC’s latest actions towards Opensea dampened the overall mood, and the continued outflows across both BTC and ETH ETFs (10 out the last 12 days saw outflows) gave markets little to cheer about.

We can dedicate an entirely separate commentary towards Ethereum’s structural struggles (unattractive L1 tokenomics, over-proliferation of L2s, divergence of protocol direction from core foundation members vs users, lack of recent DeFi breakthroughs), the entire crypto ecosystem is suffering from shaky liquidity challenges (lack of exit liquidity) against what is shaping up to be a busy Q4 TGE season (e.g. Eigenlayer, Zcircuit, Babylon, Solv, Soneium, Scroll, Berachan, Monad, Gross, Elixir, Hyperliquid, Dolomite, Polymarkets, Symbiotic, Solayer… and many more).
Things certainly don’t look any easier in the near-term — stay safe out there friends!

Key metrics: (26Aug 4pm HK -> 2Sep 4pm HK):
BTC/USD -9.8% ($63,600 -> $57,400) , ETH/USD -12.2% ($2,735 -> $2,400)BTC/USD Dec (year-end) ATM vol -1.4v (62.2-> 60.8), Dec 25d RR vol +0.2v (2.1 -> 2.3)

Attempt to break higher stalled at the range resistance level of $64–65k and we witnessed a sharp reversal lower to sit upon the short-term support levels of 57kA break of $57k would open up a bigger move down to test the range support at $53–54k. We think that risk-reward very short term is skewed towards an attempted test of the lows, but any strong reversal signals will likely mark a strong base from which upward momentum could build into FOMC and US Election
Market Themes:
Generally another quiet week across markets, with market participants still reeling from the aggressive moves earlier in the month and enjoying the last of summer before a busy run-in to the US election and year-endCrypto prices struggled for upward momentum once again, with the USD still benefitting from its superior carry and the Fed’s cutting cycle feeling priced in at this point. BTC/USD rejected the $64–65k resistance and flushed back below $60k, opening up a potential test of the lower end of the $50–70k range in the coming sessions. Meanwhile ETH/USD continues to trade poorly, unable to overcome what seems to be a wall of offers around $2800US betting odds have moved closer to 50–50 between Trump and Harris, which is dampening any exuberance from Trump’s ongoing bullish soundbites (despite some tentative pro-crypto comments from the Harris camp)
ATM implied vols:

Implied volatility traded with a heavy tone this week, driven by overlay call-side selling from market participants looking to take advantage of the pop higher in spotRealised volatility was broadly subdued after a quick flush back through $60k, weighing down the front-end of the curve significantly into the weekend despite the heavy even calendar coming up in September. However, almost all of this move lower in front-end implied volatility was unwound Monday morning, with spot testing the recent lows of the range at $57kMarket continued to see demand for US election optionality, again via rolling of September/October calls to November/December. There was also some decent demand for FOMC weight on 18–19Sep, with some 13 vs 20Sep calendars being bought in the market
Skew/Convexity:

Fairly stable price action in skew this week after a decent correction lower last week; implied volatility levels did drift lower on the retracement in spot and overlay call-side selling faded towards end of the week due to the lower spot levels, putting less pressure on topside skew and flyFlies generally reflated higher across the curve after reaching some quite depressed levels last week; we continue to think vols will pick up on any test/break of the well established $50–70k range
Good luck for the week ahead!

Over the past day, the price of BTC surged by 4% to $61,000 during the Asian trading session, only to sharply drop to $59,000 during the U.S. session, erasing all intraday gains. Additionally, in the past three days, there has been a significant outflow of funds from BTC ETFs, with increasingly stringent regulatory actions by the U.S. SEC posing further threats to the crypto industry and NFTs. This has heightened selling pressure and bearish sentiment in the market, leading to lower trading volumes. The decline in perpetual contract funding rates also indicates reduced participation and growing fear among traders. If the price falls below the strong support level of $58,000, bulls may face another wave of mass liquidations.
Source: Farside Investors

In the options market, the Fed’s closely watched PCE data is set to be released at 8:30 PM tonight. Implied volatility (IV) for the expiry day has slightly increased to around 50%, reflecting the uncertainty being priced in. Meanwhile, forward IV for the following day and the weekend remains in the 36%-38% range, indicating that overall volatility levels haven’t changed much. The situation for ETH is similar.
Source: SignalPlus, Economic Calendar

Source: Deribit (as of 30 AUG 16:00 UTC+8)

Source: SignalPlus

Although the overall change in IV isn’t significant, there are still notable shifts in the volatility surface. Firstly, the smile curvature for BTC and ETH has increased significantly for the last two months of the year. In trading, we’ve observed bullish spread strategies, such as the BTC 27DEC 80000 vs 100000 contracts, with single-leg volumes exceeding 200 BTC.
Source: SignalPlus

On the other hand, ETH’s front-end Vol Skew has dropped back to a low level. The decline in perpetual contract funding rates and shifts in ETF inflows have contributed to a continued bearish trend for Ethereum. Although the price has recently tried to rebound from $2,400, it has repeatedly failed to break through the strong resistance at $2,600.
Source: SignalPlus

Data Source: Deribit, ETH Overall Trading Distribution

A notable flow in BTC includes a Long Put Spread for 6SEP and a calendar spread at 66,000 for 13SEP/20SEP. These flows have also impacted the term structure of forward IV. For some traders, the non-farm payroll data release on the evening of September 6 has become particularly critical following Powell’s speech at the global central bank meeting in August. Although the 6SEP options will have expired by then and no closer expiry dates are available on the exchange, this date might still capture the uncertainty reflected in the ADP employment data (small non-farm payroll) released the day before.
Data Source: Deribit, BTC Overall Trading Distribution

Data Source: Deribit, BTC Overall Trading Distribution

Over the past day, Bitcoin’s price plummeted, briefly dipping below $59,000 and triggering over $100 million in long position liquidations. Intraday volatility surged by more than 70%, and the price squeeze severely impacted liquidity, significantly driving up the cost of short-term options. However, implied volatility on the back end remained relatively stable, resulting in a substantial flattening of the overall term structure. Analysts suggest that this phenomenon may be linked to the upcoming $1 billion payment to Mt. Gox creditors and Celsius’s recent repayment of $2.53 billion in debt to its users.

Source: Deribit (as of August 28, 16:00 UTC+8)

Source: SignalPlus，ATM Vol

From another perspective, the sharp price fluctuations have led to a renewed rise in the tail-end Volatility Premium, with significant rebounds in both the BTC and ETH Fly indicators. However, their performance in terms of Volatility Skew has been inconsistent. Notably, the front-end risk reversal (RR) for ETH has experienced a sharp decline, driven primarily by increased demand for put options, likely influenced by recent transfer operations by the Ethereum Foundation, which continue to impact market hedging sentiment. Meanwhile, BTC’s far-end RR has seen a slight uptick during this downturn, with flow data indicating the execution of some topside call strategies.

Source: SignalPlus, Fly

Source: SignalPlus，RR

Data Source: SignalPlus, Deribit BTC & ETH Trading Distribution

Data Source: SignalPlus, Deribit BTC & ETH Trading Distribution