In the past day, the price of BTC rose 4% to $61,000 during the Asian session, but fell sharply to $59,000 in the US session, giving up all the gains during the day. In fact, a large amount of funds have flowed out of BTC ETF in the past three days. The increasingly stringent regulatory actions of the US SEC are also threatening the crypto industry and NFT. The market's selling pressure and bearish sentiment have increased, trading volume has decreased, and the decline in perpetual contract funding rates also indicates a decrease in participation and increased fear among traders. If the price falls below the strong support level of 58,000, bulls may face a large number of liquidations again.
Source: Farside Investors
In terms of options, the PCE data that the Federal Reserve favors the most will be released at 8:30 tonight. The IV of Doomsday has risen slightly to about 50% due to the advance pricing of this part of uncertainty, while the Forward IV of the next weekend is approximately in the range of 36%-38%. The overall volatility level has not changed much, and the situation of ETH is similar.
Source: SignalPlus, Economic Calendar
Source: Deribit (as of 30 AUG 16: 00 UTC+ 8)
Source: SignalPlus
Although the overall IV changes are not significant, there are noteworthy changes in the surface shape. The first is Fly. The smile curvature of BTC/ETH increased significantly in the two months at the end of the year. In trading, we saw a bullish spread strategy represented by BTC 27 DEC 80000 vs 100000, with a single-leg trading volume exceeding 200 BTC.
Source: SignalPlus
On the other hand, the Vol Skew of ETH has returned to a low level. The decline in perpetual contract funding rates and changes in ETF inflows have caused Ethereum to continue to face a bearish trend. Although the price of the currency has tried to rebound from 2400 recently, it has not been able to break through the strong resistance of 2600.
Source: SignalPlus
Data Source: Deribit, overall distribution of ETH transactions
Other obvious flows on BTC include the 6 SEP Long Put Spread and the calendar spread on 13 SEP/20 SEP 66000. Their influence is also seen in the term structure of Forward IV. For some traders, after Powell’s speech at the global central bank meeting in August, the non-farm payrolls data released on the evening of September 6th seemed extremely critical. Although the 6 SEP options had expired at that time and the exchange did not have a closer expiration date, this date might also cover the uncertainty that could be explained by the small non-farm (ADP employment) data of the previous day.
Data Source: Deribit, BTC transaction overall distribution
Data Source: Deribit, BTC transaction overall distribution
