Yesterday (23 JUL), the crypto community focused on the launch of the ETH Spot ETF in the evening. Prior to this, the options market had already priced in a considerable amount of uncertainty at the front end, causing the volatility term structure of ETH to be severely inverted and reaching an intraday high before the previous day's settlement. We observed that there were some fluctuations in the price of the currency before and after the launch of the ETF. The market expressed their views fiercely, but from the data collected by Farside Investors, we can see that Grayscale's products have indeed been redeemed in large quantities, similar to the situation of BTC ETF. Investors may want to take profits or simply transfer their positions to products with lower fees. But at the same time, represented by the products launched by Blackrock, Bitwise and Fidelity, more investors in the market chose to buy in the first place, completely offsetting the outflow of funds from the Grayscale ETF and dispelling some negative emotions. ETH finally closed down only slightly.
Source: Farside Investors
Source: TradingView
Source: Deribit (as of 24 JUL 16: 00 UTC+ 8)
Looking back at yesterday's entire trend, ETH's Realized Vol was far from supporting the market's IV of up to 80% Vol. After ten o'clock, ETH's volatility began to decline steeply, returning to around 60+%. The past 24 hours' trading was mainly based on Sell Vol, and was mainly distributed on expiration dates within one month.
Source: SignalPlus, ETF IV has been declining since its launch
Data Source: Deribit ETH transaction overall distribution
In terms of BTC, the IV term structure also shows the same trend as the uncertainty of ETH ETF dissipates, but the front-end IV plummets, which further highlights the extremely high Vol Premium contained in 2 AUG. As we mentioned before, the market is still looking forward to the 2024 Bitcoin Summit. If presidential candidate Trump really makes a speech at the meeting about increasing Bitcoin as a reserve for the US economy, it will inevitably lead to a bullish carnival. In fact, we can also see that in the past 24 hours, the Risky Flow of 2 AUG 24 is extremely obvious (refer to the figure below, BTC transaction distribution), 74000/76000 Calls are bought, 66000 Puts are sold, which makes the Vol Skew of BTC in the middle and back ends also maintain a high point of about 5%.
Source: SignalPlus, starting from 2 AUG, BTC’s Vol Skew has clearly tilted towards call options
Data Source: Deribit, BTC transaction overall distribution; 2 AUG 24 transaction distribution
Source: Deribit Block Trade
Source: Deribit Block Trade
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