SignalPlus Volatility Column: BTC Soars 10% to Reach $56,000

2024-02-28 10:25:12

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The BTC rally has pushed the Vol Curve to flatten and rise, with the overall level reaching around 55%-60%, significantly narrowing the gap with ETH. However, it is observed that the Vol Skew has not shown any other significant changes apart from a slight increase within the Weekly.

Yesterday (26 FEB), the U.S. corporate bond issuance in February reached $153 billion, surpassing last year's record of $150.9 billion in February. This may be an opportunity for traders to scoop up high-yield notes before the Federal Reserve cuts interest rates. The yield on the 10-year U.S. Treasury rose to 4.3% before retreating, currently reported at 4.271%, while the two-year yield is at 4.691%. In the U.S. stock market, the three major indices slightly declined, while cryptocurrency-related stocks surged, with Coinbase and MicroStrategy both rising around 16%. This was mainly driven by MicroStrategy's announcement to increase its BTC holdings by $150 million, which boosted confidence in the cryptocurrency market, causing BTC to soar to 56027.26 (+9%), also pushing ETH above the 3200 mark (up 4% intraday).

Source: SignalPlus, Economic Calendar

Source: Binance & TradingView, BTC surged to 56000

In terms of options, the BTC rally pushed the Vol Curve to flatten and rise, reaching an overall level of around 55%-60%, with a noticeable narrowing of the gap with ETH. However, it was observed that the Vol Skew did not show any significant changes apart from a slight increase within the Weekly. From the trading perspective, a large number of 54000/52500/52000 Puts were sold on 1MAR, along with a significant number of profit-taking ITM call orders, which collectively suppressed the Vol Premium on that side; medium to long-term trades, represented by 29MAR, saw a large number of OTM options bought on both sides of the Wing, thus raising overall volatility without affecting the Vol Skew.

For ETH, a roll-over strategy represented by Sell 3000/3100 Buy 3400 Calls appeared at the end of March, along with a wide-spread 3200vs2500 Put Spread being sold (4000 ETH), demonstrating traders' confidence in the market rally driven by large capital inflows. Additionally, other expirations in March showed an overall flow of Buy Ratio Call Spreads and Buy Puts, causing ETH's Vol Skew to actually decrease during this expiration period.