Key Indicators: (June 2, 4 PM - June 9, 4 PM Hong Kong Time)

  • BTC against USD rose by 0.2% (105.4 -> 105.65 thousand dollars), ETH against USD fell by 0.6% (2,510 -> 2,495 dollars)

  • Last week the market tested the support level of 99-101 thousand dollars but then quickly rebounded back to the 105-106 thousand dollar range, strongly indicating that the coin price is about to attempt another upward breakthrough to a new high in the short term. If this breakout fails, this upward move may be delayed further, and we would first return to the 90-95 thousand dollar range. Otherwise, we expect this price breakout to lead us towards the anticipated target of 125 thousand dollars, and as the coin price reaches new highs, actual volatility will also rebound from its current low.

Market Themes

  • As we enter the last month of the second quarter this year, the market is basically consistent with the trends at the end of May. Cross-asset volatility continues to decline, and risk assets are gradually rising. Although last Thursday evening, SPX wavered in front of the psychological barrier of 6 thousand dollars after Trump and Musk publicly clashed, it finally broke through the next day due to better-than-expected employment data. In the past nine weeks, the VIX fear index has dropped from 45.3 to 16.8, marking the largest 9-week decline in history (63%, even surpassing the 58.5% drop from 65.5 at the end of March 2023 to 27.5 at the end of May 2023). Overall, macro and fundamentals still favor a rise in risk assets in the short term, and the market has adapted to the occasional tariff comments from the Trump administration. However, considering the currently normalized low volatility levels, we expect that with the July tariff deadline approaching, the market volatility levels will rise in the short term.

  • Bitcoin has continued to correct downwards since reaching its historical high last week, including the impact of the Trump-Elon news that triggered an assault on the critical support level of 100-101 thousand dollars, but the coin price quickly steadied and rebounded from a low of 100.4 thousand dollars back to 105 thousand dollars within 24 hours. Ultimately, the coin price returned to the upper position of the 100-110 thousand dollar range. We have lingered around here multiple times since the election.

BTC Implied Volatility

  • The actual volatility hovered near the bottom last week, failing to rise above the level of just over 30 when the coin price dropped to 100 thousand dollars (the coin price subsequently rebounded); the market's reaction to non-farm data was also very muted, providing no support for actual volatility. As the coin price returned to the 100-110 thousand dollar range, the implied volatility across the entire duration will continue to be suppressed. Demand for options has become scarce with the arrival of the summer vacation, while the market still appears to hold a large number of long volatility positions, simultaneously selling short-term expirations to provide support; however, considering the upcoming time this month, the front-end value has now become very low.

  • The volatility term structure has started to flatten. Considering the lack of buyers and persistent selling pressure, the market has gradually lost patience with holding long positions. It now seems that the rolling decline in the term structure is no longer so alarming, and considering the currently low actual volatility, any breakout may lead to a rapid increase in implied volatility along with actual volatility - we believe long-term maturities are starting to become worth holding.

BTC Skew/Kurtosis

  • The skew was basically flat last week, even as the coin price briefly dropped to near 100 thousand dollars, the market showed no interest in buying below. This caused the skew to lean upward across the entire term structure.

  • The kurtosis was generally flat last week. Interestingly, despite the decline in implied volatility in the ATM segment, the kurtosis for the long term rose. This is because, considering the volatility of Bitcoin asset prices, the market is unwilling to lower the pricing for the tail, but the ATM segment has gradually dropped due to the stabilization of the coin price at 100-110 thousand dollars. Overall, we believe this pricing is reasonable, and we continue to recommend holding kurtosis on shorter terms to protect against volatility spikes when coin prices surge.

Wishing everyone good luck this week!