Last week, the weak economic data represented by the US non-farm and manufacturing index triggered market concerns about economic slowdown, and global assets suffered from the selling pressure brought by "Black Monday". The exchange rate of the US dollar against the Japanese yen once fell below 142, giving up almost all the gains in the past year. The stock indexes of Japan, South Korea, and Turkey triggered the circuit breaker mechanism. The three major US stock indexes all closed down around 3%, and the market value of the "Big Seven" evaporated $1.3 trillion at the opening. The futures market fully priced in the Federal Reserve to cut interest rates by 50 basis points in September. The yield on the two-year US Treasury bond once ended the inversion with the 10-year bond during the session, and is now reported at 3.957%.

Source: TradingView

The market's selling sentiment has also spread from traditional markets to digital currencies. As a risk asset highly correlated with the SP 500, BTC plunged below $50,000 yesterday, triggering panic in the market. Short-term IV rushed to the three-digit range, liquidity was squeezed, and Vol Skew also fell along with the price. The surge in demand on Wing led to a rapid increase in Fly's valuation.

However, as the price gradually rebounded back to $55,000, the liquidity of the options market gradually returned, IV escaped from the local high point, the high tail Vol Premium was also repriced, and Fly fell overall. For Vol Skew, although the negative slope of the front end rebounded slightly, the more noteworthy change is the further sharp drop in the far end Vol Skew. In fact, when the price plummeted yesterday, only the front end responded, and the far end Risky with poor liquidity was not re-priced until today.

Source: Deribit (as of 6 AUG 16: 00 UTC+ 8)

Source: SignalPlus，ATM Vol

Source: SignalPlus, 25 dRR, Far End Vol Skew Repriced

Source: SignalPlus, 25 dFly

Data Source: Deribit, overall distribution of ETH transactions

Data Source: Deribit, overall distribution of BTC transactions

Source: Deribit Block Trade

Source: Deribit Block Trade

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