SignalPlus Volatility Column (20230604): ETH IV plunges

Yesterday (3JUN) the U.S. manufacturing PMI recorded 48.7, lower than expected and the previous value. At the same time, the Atlanta Fed GDPNow model ranked the United States second The quarterly GDP growth rate was revised down from 2.7% to 1.8%, jointly revealing the recent softening of US economic data. U.S. bond yields continued to fall, with the ten-year yield closing down for the fifth consecutive day and now at 4.382%. The two-year yield, which is sensitive to interest rate policy, barely remained above 4.8%. Looking ahead to this week, the next most important data will be Friday’s non-farm payrolls. In addition, next Wednesday night’s CPI and FOMC meeting will also be the focus of market attention.

##Source: SignalPlus, Economic Calendar

In terms of digital currency, BTC continued to rise after breaking through the 68,500 resistance level yesterday, once breaking through the $70,000 mark, but it soon It quickly pulled back from its highs and continued to fluctuate in the next three hours. During this period, a technical failure occurred on the New York Stock Exchange, and many stocks fell by more than 99%.

Source: TradingView

In terms of options, the ETH Vol Surface fell sharply across the board yesterday. This may be due to the performance of ETH in recent days relative to BTC. Not so good, the price slowly fell below $3,800; in addition, the selling pressure on call options on the front-end of options also forced IV and RR lower. The market's buying demand is still mainly after the end of June. We look forward to the new situation brought by Ethereum spot ETF. needs.

Source: Deribit (as of 2MAY 16:00 UTC+8)

Source: SignalPlus, ETH IV downlink

Source: SignalPlus, ETH RR fell

Data Source: Deribit, ETH transaction overall distribution

Data Source: Deribit, overall distribution of BTC transactions

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