SignalPlus Volatility Column (20230811): Macro meets expectations, market returns to stable operation
Last night (10 Aug 8:30 pm UTC+ 8) the United States released a new round of CPI data, in which the overall CPI in July increased modestly by 0.2% month-on-month, the same as in June. The core CPI, which excludes the volatile food and energy categories, also rose just 0.2% mom, continuing a broad slowdown in price pressures. After the data was released, Philadelphia Fed President Harker believed that the United States had made progress on inflation; San Francisco Fed President Daly said that the CPI data was basically in line with expectations, but it is too much to discuss whether to continue to raise interest rates this year or keep interest rates unchanged. Early on, talk of a rate cut is expected next year, depending on the state of the economy and what happens next for inflation.
Source: US Labor Department；SignalPlus
Source: US Labor Department；SignalPlus
After removing the uncertainty caused by CPI, optionsThe front-end of implied volatility fell significantly, BTC/ETH plummeted 4.47%/2.17% respectively on ATM IV the next week, fell 3.12%/1.31% that month, and the remote end also declined by about 0.5%; overall,The slope of the curve increases, and the Relative Vol Premium of BTC to ETH continues to increase。
Source: Deribit (as of 11 Aug 16:00 UTC+8)
Source: SignalPlus
In terms of trading, it is observed that the currentETH 25 AUG 23 10 Delta’s position curve is steeper, the possible reason is that since the early morning of 11 Aug, Calls at this point have been continuously bought by bulk traders, including Call Spread, which sells 1900 to buy 2000, and Risky, which sells 1600-P and buys 2100-C. However, compared with before todays settlement (11 Aug 04: 00 pm UTC+ 8), the premium here has fallen somewhat. A large number of retail investors in the market chose to sell their 25 AUG when Vol was pushed higher this morning. The inventory of 23-2000-C makes this 2000 OI net less about 3000 ETH overall.
Source: SignalPlus, ETH 25 AUG 23 10 dRR is high
Source: SignalPlus, ETH 25 AUG 23 10 dRR is high
The large transactions on BTC are mainly divided into two parts. One is the Short Risky strategy represented by shorting OCT RR, with transactions at 25000 vs 32000 and 25000 vs 35000. The second is the Short Vol strategy in the short term, such as 18 AUG 23- 29000-30000 Strangle and 25 AUG 23 29000-30000 Strangle are bearish on BTCs recent volatility under two important resistance levels.
Source: SignalPlus
Source: Binance & Tradingview,BTCUSDT fluctuated within a relatively narrow range in the past three weeks
Source: Deribit Block Trade
Source: Deribit Block Trade
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