BTC Volatility Review (January 13th-20th)

Key indicators: (from 4 p.m. on January 13th to 4 p.m. on January 20th Hong Kong time) 107.3 thousand USD), and ETH rose 5.1% against USD (3.22 thousand USD BTC spot technical indicators overview: The price of the currency has found strong support around 92,000 US dollars several times, including a brief break below 90,000 US dollars but quickly rebounded. After that, it continued to rise and ended the week with a breakthrough of 100,000 US dollars, accumulating enough momentum before Trump's inauguration. After breaking through 100,000 US dollars, the price of the currency experienced several retracements but then rebounded, refreshing the historical high with a large bullish candlestick before Monday's settlement, pausing slightly before the next psychological level of 110,000 US dollars. From a technical point of view, the market will activate more upward momentum and reach our initial target range of 115-120,000 US dollars only after completely breaking through 110,000 US dollars. Otherwise, if the upward breakthrough fails as expected, the market will temporarily fluctuate within a wide range of 90-110,000 US dollars, which also means that there will be considerable volatility in the price trend in the next few weeks. Market Theme: In terms of the macro market, the Producer Price Index (PPI) data released on Tuesday showed weakness, setting the stage for the slightly lower-than-expected Consumer Price Index (CPI) on Wednesday. This alleviated concerns in the market about the Fed not even considering a rate cut. The market is looking for an opportunity to buy cryptocurrencies before Trump takes office. Since last week, rumors about a "pro-cryptocurrency policy" have been circulating. In a more friendly macro environment, the market unhesitatingly pushed the price of Bitcoin temporarily up to 106,000 USD last Friday night. The events over the weekend (do we need to mention Trump coin...) were not a big deal, but there is a potential for damage to Bitcoin's reputation during Trump's presidency, considering the instant surge in wealth of the Trump team. While SOL benefits in the short term, Bitcoin still outperforms other altcoins in the end. Influenced by the news of "Trump WLFI purchasing 14.4 thousand ETH," ETH experienced a short-term surge against BTC but quickly receded. BTC ATM Implied Volatility:

Last week, the fluctuation pricing of the inauguration ceremony event began to rise. At the beginning, the daily volatility was priced at about 80-82 points (equivalent to a 3.2% price fluctuation), but it gradually increased and stabilized at a volatility of 90 points over the weekend. However, before the settlement on Monday, the volatility rose sharply by 5%, pushing the volatility on the day of the inauguration ceremony to 110 points (equivalent to a 4.5% price fluctuation). Considering the significant price fluctuations in the short term, it is difficult to raise too many objections to this pricing. In the far end of the term structure, the volatility is still quite high, especially for the February and March expiration dates, where it appears that there is a lot of flow on both sides, causing the curve to fluctuate up and down by 2 points in a short period of time. Overall, the implied volatility of these expiration dates is roughly around 60 points, which appears to be quite high considering the actual volatility was close to 45 in the 72 hours prior to the event. However, the market may be considering the term premium brought about by the uncertainty of the Trump administration's plans for cryptocurrencies. BTC skewness/kurtosis

Overall, the skewness of this week has gradually shifted upwards due to the demand. Especially, the currency price has withstood the impact below 90,000 US dollars and re-entered the range of 100,000 US dollars. The most notable demand on the upside is the expiration date of the Gamma term, including the inauguration ceremony, considering the tail risk brought by the potential strategic savings policy. However, the price trend of skewness is more moderate in the far end of the term structure, as the market has not rolled over the holding call spread or increased more single-leg long positions, indicating that the market has heavily deployed too much position from the flow at the end of December and expects to continue to roll over after the currency price breaks through 120,000 US dollars. In addition to the demand for the inauguration ceremony, there is almost no significant fluctuation in the kurtosis on the Gamma term. The new upward demand is mainly executed through long call spreads or long call butterfly spreads, and the net position provides the market with buy pressure on the wings. However, considering our current highly volatile actual volatility and the partial range defined in 90-110,000 US dollars, we believe that it is a good strategy to be short in this range and long outside the range. Wish you all good luck in trading for the next week!