BTC Volatility (September 8 - September 15)

Core Indicators (Hong Kong Time September 8 16:00 to September 15 16:00) BTC/USD rose by 3.8% (from $111,300 to $115,500), ETH/USD rose by 7.2% (from $4,290 to $4,600)

The BTC spot trend aligns with our gradually evolving view: the upward process that began in September 2024 has basically completed and is entering an adjustment phase. It is expected that this phase will be mainly sideways, with the market brewing a test of previous highs (or even breaking historical highs), followed by a larger downward correction. This adjustment may breach the support level of $101,000, leading prices back into the high volatility range of $88,000–$92,000, ultimately triggering a three-wave structural adjustment lasting several months (or even the entire year), targeting the range of $60,000–$75,000. The resistance levels above are at $118,000 and $120,000, and breaking through may challenge historical highs; so far, the support level below at $112,000–$113,000 remains relatively solid. Market Theme Last week, the market focused on U.S. economic data and corporate earnings reports. Against the backdrop of weak non-farm payroll data, expectations for a Fed rate cut in September have been high, and the weak University of Michigan Consumer Sentiment Index and PPI data further reinforced these rate cut expectations—before the CPI was released, the interest rate market had already begun pricing in a complete cycle of six rate cuts by the end of 2026. Although the core CPI month-on-month rate of 0.346% hit its highest level since January this year, the market quickly digested this impact due to the Fed's recent statements and focus on employment data, allowing U.S. stocks to continue their upward momentum into the weekend. Cryptocurrencies benefited from a warming risk appetite: BTC filled the gap of $116,000–$110,000 formed after the Jackson Hole meeting. After several months of sluggish performance, market confidence gradually restored, and ETF inflows significantly rebounded after the 'summer lull.' The collapse of the NAV premium rate of DATs (Bitcoin Trust) boosted overall sentiment, as the prices of coins and DAT equity prices decoupled once again. In addition, Galaxy Digital announced a lead investment of $1.65 billion to build a Solana ecosystem treasury, pushing SOL prices close to $250. BTC implied volatility

The actual volatility fell significantly to the range of 20%-25% last week, with ETF funds flowing back to support spot prices. However, every time there is an increase, there is a large amount of selling pressure, which limits the upward volatility. As prices gradually approach the psychological resistance zone of $120,000–$124,000, the liquidity of selling pressure may gradually thin out. The trend of actual volatility needs to be closely monitored next. The sluggish actual volatility has dragged down implied volatility (especially in the short term), but with the FOMC meeting coming up this Wednesday and the coin price continuously testing the upper range, short-term volatility has naturally rebounded. It is possible that we will see bullish spreads re-enter the market, betting that BTC will catch up with the interest rate cut trend that has already appeared in other markets, providing support for options contracts that expire after September. BTC USD Skew/Kurtosis

The skew indicator shows that the premium for put options continues to narrow: ETF inflows have suppressed the actual volatility below, and the risk-on environment has helped spot prices break through the initial resistance of $113,000–$114,000. However, compared to previous cycles, structural bullish demand remains insufficient. Given that volatility is low, long-term cash investors continue to buy downside protection during the uptrend. Kurtosis rose before the weekend: Historically, September has shown weak performance for BTC, and (other) markets have fully priced in the Federal Reserve's data risk appetite, leading investors to continuously seek wing-side protection. Earlier demand was mainly concentrated on the put side (with skew persistently leaning downward), but the recent rebound in coin prices has brought call options above historical highs into view, driving kurtosis higher (while put skew narrows) — indicating that the market strongly avoids holding too few option positions when breaking above previous highs. Wishing you a successful trading week ahead!