BTC Volatility Review (June 23 - June 30)

June 30, 4 PM Hong Kong Time ( BTC rose 5.1% against USD ) from 102 thousand dollars to 107.6 thousand dollars (, ETH rose 6.9% against USD ) from 2,320 dollars to 2,480 dollars (

In the past few weeks, the price of the coin has been trading in a narrow flag-shaped channel (except for a brief breakout above $100,000 due to the Israel-Iran situation). Currently, it feels like the market is ready for a wave up, but it just needs to find enough momentum to break through the strong resistance at $108,500 and then $112,500. However, if we fail to break through successfully, we could slowly return to the bottom of the flag-shaped channel, but we will encounter trend support at $101,000 and stronger support at $98,000. If these levels are further broken, we may see the price drop significantly to $90,000. We remain optimistic and believe there will be a rise to $125,000-$130,000 to complete the entire long-term trend. Market Theme After the tense geopolitical situation gradually eased, we have gone through a very calm week with an overall upward risk sentiment. The market's focus has shifted to developments in the United States. Trump announced the upcoming new Federal Reserve Chairman and assured the market that he would "lower interest rates," which led the market to quickly price in rate cuts (with a 20% probability of a rate cut in July and an expectation of 2-3 cuts by the end of the year). The US stock market did not encounter much resistance, with both the S&P 500 and the Nasdaq reaching all-time highs. The market is clearly positioning for low volatility/risk investments for the summer holiday and seems unconcerned about the upcoming trade tariff deadline. Compared to the overall rising risk sentiment, the performance of the cryptocurrency market has been very calm. Bitcoin's strong correlation with the Nasdaq has recently lagged, as too much long gamma has piled up in the market, leading to a pile of sell orders in front of the local resistance level at $108.5-109 thousand. Altcoins have also failed to join this wave of risk rally, with Solana stagnating ahead of the expected ETF launch this Wednesday.

BTC ATM Implied Volatility

Last week, the actual volatility rapidly weakened. This was mainly because the spot price returned to a comfortable zone between 110,000 and 112,000 dollars, where Bitcoin had previously stayed for more than two months; at the same time, the market clearly held a lot of long gamma, which also contributed to the price being confined within this range. As a result, implied volatility was significantly compressed, and for the first time this year, we saw daily volatility priced below 30, even the implied volatility for March (expiring in September) was nearly below 40 points. The term structure is quite steep within a one-month expiration, with the daily volatility for the next few days set at 27-28 points, but set at 40 points before the end of July. The further-out term structure has flattened significantly, and the market has completely lost consideration for a shift in actual volatility to a higher range, thus creating very attractive term trading opportunities. BTC Skew/Kurtosis

Last week, the skew price remained mostly stable, as there was no directional momentum in the spot market leading to a slightly dull trading environment for the skew. The short-term expiration date still leans downwards, considering the actual volatility during declines is more severe, while the longer-term leans upwards due to a lack of interest in downside Vega. The kurtosis initially also stayed flat but eventually saw a decline. This was due to the accumulation of long positions in the market, with many sellers continuously selling off one side to fund their long positions. However, considering the tendency for actual volatility to shift towards higher regions and the high volatility of volatility, we believe that in this environment, one should seize the opportunity to buy kurtosis during declines (especially considering that actual volatility has been performing poorly in the locality). Wishing everyone good luck this week!