SignalPlus Volatility Column (20230920): US inflation slows down, BTC fluctuates upward

On the eve of the FOMC meeting, the two-year U.S. Treasury yield rose sharply, once breaking through the 5.1% mark and closing at 5.092%; the 10-year U.S. bond yield closed at 4.365%.Regarding the decision-making at this meeting, the market generally expects that the FOMC will keep interest rates unchanged. The focus will be on the update of the dot plot and the release of the summary of economic forecasts, as well as on whether there will be another interest rate increase during the year from Powells subsequent question and answer session. clues.

Since the July FOMC meeting, the U.S. economy appears to be moving in the direction officials want to see: inflation continues to ease (albeit slower than expected and still short of its ultimate goal), the economy remains solid, and the job market is beginning to cool. . However, judging from the data released last week, affected by rising oil prices, the U.S. CPI and PPI increased more than expected in August, highlighting the stubbornness of inflation. The large fluctuations in oil prices are also likely to require European and American countries to maintain high interest rates for a longer period of time. , the Federal Reserve still has the possibility of raising interest rates in the fourth quarter of this year. On the other hand, although energy prices have pushed up U.S. inflation, the gradual easing of supply and demand tensions in the job market is expected to drive down core services and help ease inflationary pressures.

Source: U.S. Bureau of Labor Statistics. From January to July this year, U.S. non-farm payrolls were revised downward.

Source: SignalPlus, Economic Calendar

In terms of digital currencies, BTC prices continue toThe shock moved upward, and the implied volatility surface increased again by about 1 to 1.5% Vol.. Ultra-short option IVs continue to move higher on the approach of the FOMC, with BTC/ETH’s ATM IVs reaching 37.76% (+2.56%) / 35.69% (+4.53%) for Friday expiration respectively.

Source: Deribit (as of 20 Sep 16:00 UTC+8)

Source: SignalPlus

In terms of trading, the transactions in the 24 H market in the past were mainly concentrated in the short and medium term before 6 OCT 23. The possible fluctuations in FOMC tonight have spawned a certain amount of trading.risk aversion, BTC’s Calls on Wing in September were bought and closed in large quantities, while ETH’s Puts were gradually repurchased.

In terms of large-scale transactions, BTC has accumulated more than 2,400 BTC Notional transactions in the period from the end of September to the end of September.Bull Call Spread, continues to be optimistic about BTC’s future upside. On the other hand, as mentioned yesterday, BTC’s Skew has reached highs over the past month, providing a generous Vol Premium for Short Risky portfolios, with a total of 1,250 BTC in the past day29 Sep 23 26000 vs 28000 Short Risky The deal is filled, causing the RR for that expiration date to fall from its peak.

Source: SignalPlus

Unlike BTC, ETH presents a different narrative. The buy Put Spread strategy represented by 6 OCT 23 1450 vs 1300 has become the focus of the past day. The strike price of 1450 for the bulls of this strategy has been close to the lowest point since January this year, providing effective protection for possible extreme situations. .

Source: Binance & TradingView 

It is also worth mentioning that in the Deribit market, BTC saw a large number of Tail Call buying and opening positions in June of the following year. The net buying volume of 85000-C/65000-C reached 821.7/522.6 BTC respectively, and the OI increased by 992.2/ 468.3 BTC.

Source: Deribit Block Trade

Source: Deribit Block Trade

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