QCP Capital: Global risk aversion sentiment is starting to spread, short-term Volatility surges.

BlockBeats news, on August 5th, QCP Capital posted on its official channel, indicating that it seems we are experiencing a perfect storm. Panic dumping and liquidation in the early Asian session caused BTC and ETH to fall to lows of $49,000 and $2,116 respectively. The direct trigger in the encryption market appears to be the aggressive ETH dumping by Jump Trading and Paradigm VC. Due to the short-term ETH volatility skyrocketing over 30% to 120%, market makers are scrambling to reduce shorts gamma, which may exacerbate this trend. Macroeconomic sentiment also deteriorated due to the terrible U.S. unemployment data released last Friday. In addition, massive Close Position across various assets led to a sharp rise in volatility. The VIX index touched 50 (higher only during the Covid panic and the 2008 financial crisis), and the one-month at-the-money volatility of the USD/JPY soared to 16%, which could lead to further Close Position. Global risk aversion sentiment is also beginning to spread. Surprisingly, despite the market turmoil, the forward basis and funding rate are performing well. BlockBeats note: Common risk indicators used in Options include Delta, Gamma, Theta, Vega, and Rho values. Among them, Gamma is used to indicate the sensitivity of Delta to changes in the underlying asset price, i.e., the second-order derivative of the Options price change with respect to the underlying asset price change. It is the only second-order derivative among the commonly used Options risk indicators.