November 14 Crypto Market Volatility Analysis
① Last Tuesday, the IV rose after the pie was boosted by the news. Although the actual fluctuations have decreased, the two pie is overall higher than the big pie by about 2 to 4% Vol. (See Figure 1, source: SP’s volatility column)
② Through the volatility cone, it can be clearly seen that the Dvol of the big pie and the second pie has dropped a bit, and they were all at the Max position before (Figure 2 and Figure 6)
③ This Friday - Gamma positions are mainly at 3.7W, and the cumulative OI is at 3.8W and 4W (the previous strategy of short vol layout above 4W was relatively safe, as shown in Figure 3, Figure 4, and Figure 5)
④ Bulk transactions mainly involve short straddle or diagnal spread, and the volume is not particularly large.
① Last Tuesday, the IV rose after the pie was boosted by the news. Although the actual fluctuations have decreased, the two pie is overall higher than the big pie by about 2 to 4% Vol. (See Figure 1, source: SP’s volatility column)
② Through the volatility cone, it can be clearly seen that the Dvol of the big pie and the second pie has dropped a bit, and they were all at the Max position before (Figure 2 and Figure 6)
③ This Friday - Gamma positions are mainly at 3.7W, and the cumulative OI is at 3.8W and 4W (the previous strategy of short vol layout above 4W was relatively safe, as shown in Figure 3, Figure 4, and Figure 5)
④ Bulk transactions mainly involve short straddle or diagnal spread, and the volume is not particularly large.