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SignalPlus Vol Commentary (19 Jul 2023)

SignalPlus

Democratizing Options for Digital Assets

发布日期: 2023年7月19日

Yesterday’s June retail sales came in below expectations (+0.2% MoM vs. 0.5% expected), but core sales (retail data excluding autos, food and energy) remained strong, rising 0.6%, well above expectations of 0.3%. After the release of the data, traders have fully priced in the Federal Reserve’s 25 basis point interest rate hike next week. The implied volatility in the middle and front ends continued to fall, lower than the 25th percentile in the past three months, and the IV of ETH even appeared lower than RV.?, the ATM maturity curve steepens, and the Vol Premium brought on by the data release and next week’s FOMC is further wiped out.

In the past few days, the options trading volume of BTC has generally remained stable, while that of ETH is still relatively sluggish. The block trade today is mainly based on the forward long position layout. BTC Top Trade includes a set of 40000/50000 Long Call Spread on 29DEC23 with the amount of 500BTC per leg, and at the same time sell an equivalent amount of 50000/65000 Call Spread on 29MAR24 to cover most of its premium. Also in December, there are a total of 840 pairs of 34000/45000 C/S. The trades of ETH were concentrated on 29MAR24. Top Trade made two trades of 1:2 RR, which sold 4000 1500-P in total, and bought 8,000 2100-C. These transactions buy the forward Vol at the end of the year and the beginning of the next year, leaving a good vision for a bull market in the future.

On the other hand, with the continuous straddle/strangle being sold off, the mid-range volatility of ETH has fallen to the lowest level in the past three months today, and is lower than the RV in the past period of time. As a result, it attracts some bargain hunting strategies, opening 2000 pairs of 1850/1950 Long Strangle on 4AUG23 at the recent low price of 34.4%/36.0% IV to calmly deal with the unknown impact of the market in the next two weeks and the possible rebound of volatility.