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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