SignalPlus Volatility Column (20231003): Front-end IV fell sharply
Yesterday, as the U.S. government shutdown crisis temporarily eased and strong PMI data (recorded 49, higher than the expected 47.7) strengthened expectations that the Federal Reserve will maintain higher interest rates for a longer period of time, the U.S. dollar index stood at the 107 mark and closed at rose 0.8%; U.S. Treasury bonds were sold off, with 5-year to 30-year U.S. bonds rising more than 10 basis points across the board, with the 30-year Treasury yield rising as high as 4.815%, a new high since 2010; the 10-year yield It has also continued to rise, and the current price is hovering around 4.69, a new high since 2007. The three major U.S. stock indexes rose and fell, with the Dow Jones closing down 0.22%, the SP and the Nasdaq rising 0.01%/0.67% respectively. Later today (3 OCT 23 10: 00 pm UTC+ 8), the United States will release JOLTS job vacancy data, and Fed Vice Chairman Barr expects the U.S. job market to weaken further.
Source: SignalPlus, Economic Calendar
Since the release of U.S. data at 23:00 (UTC+8) on Monday night and the speeches of Fed officials such as Powell and Harker, the recent (1 w ~ 1 m) implied volatility has begun to fall sharply, and the upturned front has gradually flattened. BTC IV It fell by about 1.5% to 3%, and ETH dropped by about 2.5% to 5%, with both returning to a position slightly above 30% Vol.
Source: Deribit (as of 3 Oct 16:00 UTC+8)
Source: SignalPlus
In terms of trading, the call spread strategy has dominated BTC transactions in the past 24 hours. Investors have focused part of their focus on the mid-to-long term, resulting in a large number of transactions involving the bullish triangle spread strategy; recently, most of them have been traded by Long Call Spread and Short Ratio Call Spread, expressing views on limited price increases.
It is also a bullish strategy, and the trading volume of ETH mainly comes from two large orders. One is the 1400 vs 2000 Long Risky at the end of the year, with the number of single legs reaching 8000 ETH; the other is the 1900 vs 2000 call spread on 20 OCT 23 (size is 5000: 10000), if ETH can achieve a move to 1900 in the near future A breakthrough in the pressure level may have the opportunity to rekindle the markets enthusiasm for challenging 2000.
Source: Binance & TradingView
Source: Deribit Block Trade
Source: Deribit Block Trade
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