SignalPlus Volatility Column (20230814): Inflation Stickiness Exceeds Expectations, Cryptocurrency Market Maintains Low Volatility

According to data released by the US Labor Bureau on Friday, the US PPI in July increased by 0.8% year-on-year, exceeding the expected 0.7% and the previous value of 0.1%, ending 12 consecutive months of decline; The largest increase since January this year. The beat was mainly due to strong growth in service categories, reflecting increased costs in categories such as healthcare and passenger transportation.While consumer inflation data on Thursday showed signs of cooling, the strong PPI data revealed that U.S. inflation appears stickier than many expected. After the data was released, the U.S. bond yield curve rose by 5-7 basis points that day, and the three major U.S. stock index futures were mixed. The Dow closed up 0.3%, the SP 500 closed down 0.1%, and the Nasdaq fell 0.68%.

Source: SignalPlus

Source: Deribit (as of 14 Aug 16:00 UTC+ 8)

Source: SignalPlus

In terms of digital currency,Implied volatility hit a trough at the end of last week, 1 week ATM almost fell below the 20% support level, and thenUshering in a sharp rebound as the trading day approaches, reached its peak before the opening of the Asian market this morning (14 Aug 07: 00 am UTC+8). The IV amplitudes of BTC/ETH once reached 6.5%/6.8% for the week, and 4.92%/7.27% for the month. However, in the absence of actual currency value fluctuations, the rise caused by low liquidity over the weekend is unsustainable. As of the time of writing, the market has given back nearly half of the gains.

In terms of transactions, it was observed that the OI of BTC 29 DEC 23-40000-C in the past 24 hours has decreased significantly (approximately - 1000 BTC), mainly due to the large volume of two strategic transactions. 1. (Non-proportional) calendar spread strategy for 29 DEC 23-40000-C vs 29 MAR 23-40000-C. Two, 29 DEC 23-40000 vs 50000 Sell Call Spread (200 Group). In addition to this, there was a large amount of 30000-C selling in the short term, mainly contributed by Deribit retail investors (approximately 350 BTC), which depressed the volatility on the front end of the weekend.

The most notable transaction in ETH is the purchase of 1900-C by Deribit retail investors on the three expiration dates of 25 AUG 23, 1 SEP 23, and 27 OCT 23, with a cumulative transaction volume close to 10,000 ETH.

Source: Deribit Block Trade

Source: Deribit Block Trade

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