SignalPlus Volatility Column (20230831): The rise is weak, and the market is flat again

On Wednesday night (30 Aug 10: 15/10: 30 pm UTC+8) the GDP data and small non-agricultural ADP data released by the United States were both lower than expected, which helped to reduce the pressure on the Fed to raise interest rates further. After the data was released, U.S. bond yields The 10-year yield fell below 4.10% at one point, and finally closed above 4.10%; the two-year yield dropped 5 basis points the most, and is now around 4.87%.

Tonight at 8:30 (UTC+8) the BEA will release the important PCE/Core PCE index, as Powell reiterated in his Jackson Hole speech last week that Fed officials tend to pay closer attention to the core PCE index as food and energy prices are more susceptible to continued fluctuations in global factors and may therefore be misleading about the outlook for U.S. inflation. Although the core PCE index has gradually declined from a peak of 5.4% in 2022, it is still well above the Feds stated target of 2%. In this regard, PNC chief economist Gus Faucher wrote that the latest PCE data is unlikely to affect the That changes the overall picture too much, especially as inflation remains well above the 2% target.

Source: SignalPlus, Economic Calendar

In terms of digital currency, due to the lack of further upward momentum in the market, the price of BTC is still above 27,000 for the whole market, and the intraday volatility is low, which has led to a small drop in implied volatility today. Due to the premium brought about by the sharp rise in prices, the curve as a whole returned to steepness, but it was noticed that the uncertainty brought about by a series of heavy data to be released this week made the IV at the front of the curve more sticky, and there was still a small amount of Vol Premium.

Source: Deribit (as of 31 Aug 16:00 UTC+ 8)

Source: SignalPlus

Not surprisingly, after prices gradually stabilized, options trading volume fell sharply again, returning to daily levels. In terms of bulk transactions, compared with the relatively balanced situation in the Call Spread transactions yesterday, as the IV has gradually fallen recently, BTC/ETH has more consistent buying of Call Spreads of various terms in September. In addition, we can also see a large number of Long Risky transactions on the ETH forward (24 Nov, 29 Dec), which successfully resisted the downward pressure of the current Skew as IV gradually falls back.

Source: Laevitas

Source: SignalPlus

Source: Deribit Block Trade

Source: Deribit Block Trade

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