The QCP Capital official channel reported on August 5th that it seems we are experiencing a perfect storm. The panic selling and liquidation in the Asian morning session led to BTC and ETH dropping to lows of $49,000 and $2,116, respectively. The direct trigger in the crypto market appears to be the aggressive ETH dumping by Jump Trading and Paradigm VC. As the short-term ETH volatility surged over 30% to 120%, market makers rushed to reduce short gamma, which may have exacerbated the trend. Macro sentiment also deteriorated due to the poor US unemployment data released last Friday. In addition, the mass liquidation of various assets led to a sharp increase in volatility. The VIX index reached 50 (only higher during the Covid panic and the 2008 financial crisis), and the one-month at-the-money volatility of USD/JPY soared to 16%, which could lead to further liquidation. Global risk aversion is also beginning to spread. Surprisingly, despite the market turbulence, the futures basis and funding rate performed well. BlockBeats note: Common risk indicators for options include Delta, Gamma, Theta, Vega, and Rho. Among them, Gamma is used to indicate the sensitivity of Delta to changes in the underlying asset price, that is, the second derivative of the option price with respect to the underlying asset price. It is the only second derivative in common option risk indicators.
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QCP Capital：全球风险规避情绪开始蔓延，短期Biến động飙升
The QCP Capital official channel reported on August 5th that it seems we are experiencing a perfect storm. The panic selling and liquidation in the Asian morning session led to BTC and ETH dropping to lows of $49,000 and $2,116, respectively. The direct trigger in the crypto market appears to be the aggressive ETH dumping by Jump Trading and Paradigm VC. As the short-term ETH volatility surged over 30% to 120%, market makers rushed to reduce short gamma, which may have exacerbated the trend. Macro sentiment also deteriorated due to the poor US unemployment data released last Friday. In addition, the mass liquidation of various assets led to a sharp increase in volatility. The VIX index reached 50 (only higher during the Covid panic and the 2008 financial crisis), and the one-month at-the-money volatility of USD/JPY soared to 16%, which could lead to further liquidation. Global risk aversion is also beginning to spread. Surprisingly, despite the market turbulence, the futures basis and funding rate performed well. BlockBeats note: Common risk indicators for options include Delta, Gamma, Theta, Vega, and Rho. Among them, Gamma is used to indicate the sensitivity of Delta to changes in the underlying asset price, that is, the second derivative of the option price with respect to the underlying asset price. It is the only second derivative in common option risk indicators.