SignalPlus Volatility Column (20230731): Market volatility continues to decrease.
Chairman Bao's favorite inflation data continues to cool down, with the US Core PCE index MoM recording a minimum increase of 0.2% since November 2022! With a series of key data showing that inflation in the United States has fallen from its post-pandemic peak and economic growth remains stable, Minneapolis Fed President Kashkari, the newly appointed "hawk king" of the Federal Reserve, said that although a series of monetary tightening measures adopted by the Federal Reserve to curb inflation may lead to some unemployment and economic growth slowdown, the inflation outlook in the United States is "quite optimistic." He believes that the US economy can achieve a soft landing and also said, "If we need to raise interest rates, that is, raise interest rates further from now, we will definitely do so."
Source: SignalPlus
In terms of implied volatility, last week BTC/ETH IV continued to be in a downtrend. Without the support of actual volatility, front-end IV continued to be suppressed by structural product sellers and retail investors, and it briefly fell below 20%. Today, the front-end IV has rebounded significantly with the arrival of the US stock trading day and has returned to levels around 30%.
ETH did not rise with the market, and IV declined, which may be related to the saturation of bullish sentiment towards ETH in the market: in yesterday's trading, a large number of forward ETH were sold. Starting from a bulk sale of 5000 contracts of 2300-C in June next year, going back to 29 MAR 24, most of the wings up to 2400 and tails up to 6000 are retail sell orders. Going further back to 29 DEC 23, apart from a bulk buy-to-close order of 1000 contracts of 2500-C, the calls on Wing are still mostly sold.
On the contrary, in terms of BTC, benefiting from the recent decline in IV and RR, there has been buying by traders for the year-end Risky (300 BTC 29 DEC 23 20000/40000 RR). There was a cumulative buy of 575 BTC at 38000 in October, which was the biggest change in OI. In September, there was a cumulative Long Call Spread of 500 BTC, shifting the bullish position of 40000-C to a closer 33000-C.
Source: Deribit (As of 16:00 UTC+8)
Source: SignalPlus
Source: SignalPlus, remote RR decline
Source: Deribit Block Trade
Source: Deribit Block Trade
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