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