SignalPlus Volatility Column (2023.07.06): Volatility picks up, big trades continue to be bullish

Just when the market believed that BTC/ETH would continue to enter a consolidating and volatile market similar to the previous few days, after the settlement at 16:00 today, a wave of BTC’s rapid rise regained its position at 31,000, and once reached nearly 13 The monthly high is near 31500. Volatility also regained lost ground due to this wave of market, smoothing out the decline during the day. Although the market continued to fall after the option settlement yesterday, the price was still adjusted back before settlement. Finally, BTC and ETH were delivered at 30826.49 (+ 0.14%) and 1926.9 (-0.52%) respectively.

Earlier, due to the lack of momentum for the digital currency to continue to rise in the past few days, and it was once close to the 30000/1900 boundary, some investors gradually lost their patience, and the volatility of date options rose. dRR is back in the negative range again. The trading focus of retail investors in the market has also shifted to put options. The P/C Ratio of BTC options has reached a rare 1.21. Traders have built a large number of PUTs that expire this Friday, concentrated on the strike price of 28,000-30,000. In addition, nearly 1,400 31000-C were sold on Deribit in the past 24 hours, most of which were sold at the end of this month.

Source: Deribit (until 16:00)

Source: SignalPlus, a quick rise after 16:00 erases the day's losses

Source: Binance BTCUSDT, BTC once hit the highest point in nearly 13 months

Source: Laevitas

Source: Deribit (until 16:00)

Source: SignalPlus, Short-Term Volatility Skew Shifts to Call Options

On the other hand, on the block trading side, traders still adhere to the bullish long-term investment strategy, and bought a large number of Call Spread on BTC 29 dec 23/29 mar 24 and ETH 25 aug 23/29 dec 23 respectively, which constituted yesterday’s two currencies Biggest strategy deals. In addition, at the end of July, a bearish volatility strategy based on Short Strangle/Straddle was traded, which made the volatility of ETH 28 ju l 2 3 drop again by -3% to a low of 40.80 as of today's delivery.

Source: Deribit Block Trade