SignalPlus Volatility Column (2023.07.04): Investors start medium and long-term layout

Yesterday, ETH did not complete the much-anticipated breakthrough of the 2000 mark. After rising to 1980, there was no momentum to move forward, and it slowly fell back to around 1950. The options market also expressed obvious disappointment. The short-term front-end volatility collapsed, and the cycle The right ATM IV fell 4.34% to 40.76%, and the date right only showed an implied volatility valuation of about 30%. BTC changed its calm a few days ago and achieved a small increase (+ 2%) last night, reaching a maximum of 31,400. Although the price has fallen back, it is still stable around 31,000.

The overall trading volume distribution of the market shows a shift to the medium and long term. Investors are beginning to pay more attention to long-term investment strategies. The BTC/ETH volatility surface shows a similar steepening trend as a whole, with the front-end IV decreasing and the mid- and long-term IV rising.

Source: Deribit

Source: SignalPlus

Source: Laevitas

The flow of large transactions also consistently supports this part of the change. In the past 24 hours, the most traded strategy transactions of the two currencies were Short Strangle, which was used to short volatility. A total of 1733 groups of ETH 7 JU L 2 3-1900-2050 were sold this week, which significantly lowered the front-end IV. At the end of the month, 900 sets of ETH-28 JU L 2 3-1800-2200 and 150 sets of BTC-28 JU L 2 3-29000-34000 were sold.

In addition to Short Strangle, Bull Call Spread and Bear Diagonal Calls Spread are also the main components of today's big trading. Call Spread is mostly concentrated in the long-term, and Diagonal Calls Spread is also selling short-term calls and buying long-term calls, which reflects the market's lower expectations for short-term price breakthroughs, but still has expectations for the rise of digital currencies in the second half of the year.

Source: Deribit Block Trade

Source: Deribit Block Trade