SignalPlus Volatility Column: BTC fluctuates at high levels, IV drops steeply

#The market was relatively calm yesterday. U.S. Treasury Secretary Yellen was asked by the media why the White House’s proposal released on Monday included interest rate expectations for the next few years. Significantly higher than a year ago, it said: This reflects the current market reality that interest rates are "unlikely" to return to pre-epidemic low levels; while pointing out the fact that the road to normalization of inflation will be bumpy. U.S. bond yields rose slightly, with two-year and ten-year bonds at 4.630%/4.196% respectively. The three major stock indexes rose and fell, with the Dow rising slightly by 0.1%, and the S&P and Nasdaq falling by 0.19%/0.54% respectively.

Source: SignalPlus, Economic Calendar

Source: Binance & TradingView, Realized Volatility Contraction

In terms of digital currency, BTC and ETH fluctuated slightly at high points, and the actual volatility showed a shrinking trend. The implied volatility sharply steepened and declined, and the overall level returned to around 70%. Both BTCÐ Put and ETH Call of 15MAR were suppressed. A clear sell-off. On the other hand, BTC Sell 29MAR/26APR Call Spread has become a popular strategy for bulk trading. At the same time, it can be seen that the BTC Vol Skew has dropped significantly during this period, forming a local low in the term similar to ETH.

Source: Deribit (as of 14MAR 16:00 UTC 8)

Source: SignalPlus

Source: SignalPlus

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