BTCVolatility Weekly Review (December 9th-December 16th)

December 16th, 4 pm Hong Kong time) 104,880 thousand USD), ETH rose 1.5% against USD (3,910 thousand USD Spot key technical indicators:

The trend of the currency price has changed from a unilateral correction to restrained upward movement. We see that the highest price continues to refresh in a very balanced way, implying that this round of progress will reach its peak in the next few weeks, with a target price range of 110-115 thousand US dollars, rather than our original target of 115-120 thousand US dollars. If the currency price falls below 100 thousand US dollars again before this, it may cause the price to fall back to the range of 90-95 thousand US dollars, which means that this wave of rise belongs to a longer correction, and the ultimate rise will come next year. On the other hand, if the currency price quickly breaks through 106.5 thousand US dollars, it may trigger a more turbulent explosive rise. Market Theme: In the absence of obvious short-term catalysts to reverse the uptrend, risk assets continue to grow slightly before the end of the year. The US Consumer Price Index is in line with expectations. Despite the core figures still being higher than the Fed's ultimate target, the market's expectation of a 25 basis point rate cut this week has not changed at all. The macro backdrop's support for cryptocurrencies has benefited Bitcoin greatly. The price of Bitcoin saw a surge in buying as it dropped below 100,000 US dollars, and it set a new high again this week. The news of Nasdaq Index including MSTR in the index pushed the price up over the weekend, while Taylor himself also hinted at more buyers entering the market, stimulating the price to finally break through the key resistance level of 104,000 US dollars. The funding rates for Bitcoin and other altcoins returned to normal this week, indicating that these positions are starting to unwind after a good year. ATM Implied Volatility

Despite the relatively turbulent BTCUSD spot price this week, which eventually hit a new high, the actual volatility did not increase too much. It seems that there were relatively few positions opened in the market at the end of last year, as evidenced by the return to normal funding rates and basis. This has created selling pressure for contracts expiring before the end of the year, with the implied volatility of the December 27th expiration dropping briefly by 50 points over the weekend. However, contracts expiring from January next year onwards still maintain strong buying interest. The market has seen significant demand for the upper range (130,000 US dollars-150,000 US dollars) of February/March next year, as well as demand for the lower range (70,000 US dollars-75,000 US dollars) of February/March. The former is likely to transfer spot long positions to options for the first quarter, while the latter is for hedging core bitcoin long positions. We expect implied volatility to return to lower levels in January. Currently, the market is priced above an average of 60 points of implied volatility per week for the first quarter, which will be difficult to sustain based on historical data. During this period, the market retains some risk premiums in implied volatility to prevent the impact of insufficient liquidity around the New Year. BTC Skewness/Kurtosis

Although the implied volatility level rises with the spot price, the skewness has been decreasing this week. This is mainly due to the demand for downside strikes (likely hedging flow) for February and March expiration, while the classic call spread has left market makers with a Vega long in the 105-110 kUSD range. With the correlation between coin price and skewness being broken at the current coin price level, the kurtosis has also unilaterally decreased. The market has priced volatility more in the range of 90-120 kUSD, and it seems that the coin price will stay within this range in the next month.