In the past 24 hours, the cryptocurrency market has focused on two focuses: why did IV collapse, and why did it rise? We can find some clues along the timeline.
Things started around 7:30 pm on August 8. Prior to this, yesterday’s BTC market gradually pushed the overall implied volatility of the market to a high point. Just when the price calmed down and slightly consolidated around 57,500, a large number of Dec and Oct put option transactions suddenly appeared in the Deribit market, and the year-end IV was smashed down by 3% Vol in a short period of time, driving the entire Vol Curve to move downward significantly.
Source: SignalPlus Time Lapse IV / Historical IV
Source: SignalPlus Trade Volume by Expiry; Recent Block Trade
Source: Deribit (as of 9 AUG 16: 00 UTC+ 8)
Later at 08:30 in the evening, the United States announced a new round of initial jobless claims, with the data falling by nearly the largest amount in a year, easing people's concerns about the slowdown of the world's largest economy. U.S. stocks rebounded strongly (Dow/S&P/Nasdaq closed up 1.76%/2.3%/2.87% respectively), and U.S. Treasury yields rose. As a risky asset with a high positive correlation with the U.S. dollar, BTC prices were also boosted, rising from 57,500 all the way to break through 60,000 U.S. dollars, and once challenged the key support level of 62,000.
But back to the macro side, this week was tough for global investors, as SoFi’s Liz Young Thomas commented: “It was up and down, all over the place. We learned how sensitive the market is to U.S. economic data, how widespread the yen carry trade is, and how investors are used to seeing rate cuts as a solution to everything.”
It is precisely in such a volatile market that the market's anxiety and uneasiness gradually accumulated, and investor sentiment has been in a depressed state, which caused such a large fluctuation in this data, which is usually not placed in the "High-Importance". Perhaps the panic that began at the beginning of this month was a bit exaggerated, but this data does not necessarily quell the panic of recession. JPMorgan's Lakos-Bujas warned the market that the stock market is no longer a one-way upward trade, but is increasingly a two-way debate around the downside risks of economic growth, the timing of the Fed's interest rate cuts, excessive positions, overvaluation, and the presidential election and rising geopolitical uncertainties.
Source: TradingView; SignalPlus, Economic Calendar
In addition, after these two rounds of events, we observed that the rise in currency prices drove the Vol Skew to rebound, and the massive selling from the bearish side significantly increased the slope of BTC from October to the end of the year, causing the 25 dRR indicator to rise sharply in a local range On the upside, the volatility surface shifted significantly overnight.
Source: SignalPlus
Data Source: SignalPlus， ETH Top Trade
Data Source: SignalPlus， BTC Top Trade
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