Yesterday's data showed that the US consumer confidence index rose to a two-year high, and the Philadelphia Fed non-manufacturing index rebounded into positive territory. US Treasury yields continue to rise, with short-term yields outperforming long-term yields. Tonight will witness the important FOMC meeting. Although the market has already digested the 25 bp rate hike this time, any guidance from Powell afterwards is expected to ignite the market.

Source: Deribit (As of 16: 00 UTC+ 8)

Source: SignalPlus, Short-term volatility rises

On the eve of the Fed meeting, the front-end implied volatility has risen sharply. Considering that the rate hike is already a done deal, it is relatively reasonable for the market not to react prematurely. What will really influence market sentiment today is undoubtedly a series of speeches after the policy announcement. At that time, Chairman Powell's output of both hawkish and dovish views will inevitably cause fluctuations in the cryptocurrency market. Short traders with bearish positions will face the challenge of potential lack of liquidity in hedging against exchanges.

In terms of block trades, the bullish strategy is back in the mainstream. On the BTC side, traders sold 500 positions of the March 2023 50000-C contracts and moved them to the 29 Dec 23 40000-C contracts, pushing the bullish time point forward to the end of the year. There is also a Long Call Spread for August, with a bullish view on the price trend of August, between 30000 and 33000. On ETH, the majority is made up of far-term Call Spreads, with the largest being the multiple purchases of the 21000 contracts of the 29 Mar 24 1900 vs 2800, buying at the money and selling at 25D, recovering about 1/3 of the cost. The next is the naked Call option in late August and September, with bulk traders buying 10500 contracts of the 25 Aug 23-2000-C and 2500 contracts of the 29 Sep 23-2300-C in one go. In September, there are also a large number of retail investors continuously buying the 2200 contracts, with the daily open interest increasing by nearly 17,000 ETH.

In addition, for BTC in September, there is a wider Sega strategy, selling ATM and buying Wing, with a breakeven point at around 26000/33000.

Source: Deribit Block Trade

Source: Deribit Block Trade

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