SignalPlus Volatility Column (20231004): Bullish enthusiasm wanes
The JOLTS job vacancy data released yesterday (3 Oct) showed the strong resilience of the U.S. economy. U.S. Treasury bond yields continued to rise, and the U.S. 10-year and 30-year Treasury bond yields once again hit multi-year highs. The three major U.S. stock indexes collectively ended lower, with the Nasdaq falling 1.87%, the SP 500 and the Dow falling 1.37%/1.29% respectively. After the data was released, market expectations for the Federal Reserve to raise interest rates in November increased, and the probability of an expected rate increase of 25 bp rose to 30.2%.
Tonight the market will focus on the release of US September ADP employment numbers (4 Oct 08: 15 pm UTC+ 8) and the ISM non-manufacturing index (4 Oct 10: 00 pm UTC+ 8).
Source: SignalPlus, Economic Calendar
In terms of implied volatility, option ATM IV fell slightly today. The front-end IV of BTC/ETH fell by about 0.5 to 1.5%, and the back-end fell slightly by 0.1 to 0.4%. The BTC curve became steeper, and the ETH front-end still maintained an upward trend. state.
Source: Deribit (as of 4 Oct 16:00 UTC+8)
Source: SignalPlus
From another perspective, the price of digital currencies has continued to give back the gains brought about by the 2 OCT pull in the past two days. Although the recent price increase trend has not been broken, the bullish enthusiasm in the options market has clearly declined in the past day. . The following will analyze the changes in Skew in the past day and the bulk transaction data.
Source: Binance & TradingView
On the one hand, the option implied volatility surface slope (25d RR) fell again across the board, returning to the level before the current upward trend started 7 days ago. Even judging from the performance of the past three months, it is still on the low side ( Overall slightly lower than the 25% percentile)
Source: SignalPlus
From a trading perspective, the proportion of put option trading in the past 24 H market has increased significantly, and Long Put Spread with put protection has dominated the market. Traders bought Put Spread in batches at 13 OCT/27 OCT for BTC and 29 DEC for ETH, bringing the total amount to 4156 BTC/15424 ETH.
Source: Laevitas
Source: Deribit Block Trade
Source: Deribit Block Trade
You can search for SignalPlus in the Plugin Store of ChatGPT 4.0 to get real-time encryption information. If you want to receive our updates immediately, please follow our Twitter account @SignalPlus_Web3, or join our WeChat group (add assistant WeChat: SignalPlus 123), Telegram group and Discord community to communicate and interact with more friends.
SignalPlus Official Website：https://www.signalplus.com
