Last Friday’s lower-than-expected non-farm payroll data and the recent downgrade have reignited concerns about a potential economic recession, resulting in the worst weekly performance of the US stock market since March 2023. Negative risk sentiment has also negatively impacted digital currencies, once again confirming the seasonal statistical trends. Meanwhile, US bonds have experienced a strong bullish trend, with the 2/10 yield curve finally ending its inversion.

Source: SignalPlus, Economic Calendar

This week, the crypto community remains focused on macroeconomic events. After a relatively quiet weekend, options market makers have quietly increased the implied volatility (IV) of the front end. While BTC and ETH exhibit similar term structures, there are some nuances. Notably, the peak for BTC’s front end is on 11SEP, while ETH peaks on 12SEP, with both expiration dates showing high volatility premiums.

The uncertainty surrounding 12SEP largely stems from CPI data. Although inflation data has recently taken a back seat to employment figures, it has regained prominence for financial traders this week. It could play a crucial role in determining whether the Fed will significantly cut interest rates by 50 basis points at the FOMC meeting in late September.

For traders holding positions expiring on 11SEP, the main focus is on the presidential campaign speech scheduled for 9 a.m. Beijing time. This debate between Trump and Harris is a rare direct confrontation, with less than two months remaining until the official election day. Both candidates are likely to discuss various topics, including digital currencies. The market has responded with increased correlation for BTC, a trend also reflected in the term structure.

Source: SignalPlus

Source: SignalPlus

The mid-term structure has formed a trough, with 25OCT as the lowest point. Uncertainty is concentrated around the days leading up to the FOMC meeting and the presidential election. The two currencies show slight differences in their Forward IV structures, with ETH’s low point around 12SEP-13SEP potentially offering opportunities for leveling and correction. ETH’s flat slope at the end of the month, along with a volatility premium that is 10% higher than BTC’s, may also attract cross-currency volatility trading.

Examining the curvature of the volatility smile, the far-end Fly has seen a brief increase and has returned to a level close to where it was a week ago.

Source: Deribit (as of 9SEP 16:00 UTC + 8)

Source: SignalPlus