SignalPlus Volatility Column (20240903): BTC Stress Resistant Month
Bitcoin ended August with a drop of 8.6%, and as September began, the market began to discuss seasonal trends. Statistics show that BTC has fallen an average of 4.5% in the past six Septembers. If this trend continues, BTC may fall to $55,000, but strong support is expected around $54,000.
Judging from the local price changes, BTC fell to its lowest point in a week the day before yesterday and was supported around US$57,000. It rebounded to around US$59,000 during the day. The change in implied volatility was negatively correlated with the price. After the price rebounded today, the term structure steepened, and the front end gave up 2-3% of the vol increase, which was slightly lower than the median of the past three months, basically the same as Hourlys RV, and there are not many opportunities in VPR.
Source: Deribit (as of 2 MAY 16: 00 UTC+ 8)
Source: SignalPlus, term structure steepens
From the perspective of Vol Skew, the long-term bullish sentiment maintained a high level, and the positive correlation trend between the mid-to-front-end Risky and the price was significant. However, it was worth noting that the increase in BTC and ETH yesterday was quite different. From a macro perspective, the massive outflow of funds from BTC ETF, the selling pressure implied by the negative Coinbase premium index, and the dilemma of declining profits faced by miners cast a shadow on the market sentiment. From the perspective of Flow, ETHs short-term bullish demand helped push up the Risky premium. Although there are still long-term bullish buys on BTC, the selling on the front-end Top Side Wing caused by this round of price increases has undoubtedly suppressed the increase in its Skew.
Source: SignalPlus, Risky rebound
Data Source: Deribit, BTC ETH transaction distribution comparison
Source: SignalPlus, Block Trade
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Disclaimer: The content of this article solely reflects the author's opinion and does not represent the platform in any capacity. This article is not intended to serve as a reference for making investment decisions.
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