QCP Capital: Global risk aversion begins to spread, short-term volatility soars

BlockBeats news, on August 5, QCP Capital posted on its official channel that it looks like we are facing a perfect storm. Panic selling and liquidation in early Asian trading caused Bitcoin and Ethereum to fall to lows of $49,000 and $2,116, respectively.

The immediate trigger for the crypto market appears to be the aggressive ETH selling by Jump Trading and Paradigm VC. As short-term Ethereum volatility soared by more than 30% to 120%, market makers rushed to cut short gamma, which may have exacerbated the trend.

Macro sentiment was also worsened by the poor U.S. unemployment data released last Friday. In addition, large-scale liquidations of various assets have led to a sharp rise in volatility. The VIX index hit 50 (higher only during the Covid panic and the 2008 financial crisis), while the one-month USD/JPY par volatility soared to 16%, which may have led to further liquidations.

Global risk aversion has also begun to spread. Surprisingly, despite the turbulent market, forward basis and funding rates have performed well.

BlockBeats Note: Common risk indicators for options include Delta value, Gamma value, theta value, vega value, and rho value. Among them, Gamma is used to indicate the sensitivity of Delta value to the price change of the underlying asset, that is, the price change of the option is equivalent to the second-order derivative of the price change of the underlying asset. It is the only second-order derivative among the commonly used option risk indicators.