SignalPlus Volatility Column (20231009): U.S. employment is strong and U.S. debt remains high

Announced last Friday (6 Oct)Nonfarm payrolls data were almost twice as expected,showThe U.S. job market remains strong, after the data was released, U.S. bonds once rose by more than 10 basis points, and then gave back most of the gains. The 10-year Treasury bond yield is currently around the 4.73 price.The three major U.S. stock indexes reversed the early decline caused by non-farm payrolls (down about 1%) and achieved overall gains., among which, the Nasdaq rose 1.60%, the SP 500 rose 1.18%, and the Dow Jones Index rose 0.87%. Affected by the Palestinian-Israeli conflict,Market risk aversion rises, gold and crude oil prices opened sharply higher. This week, you can focus on the US Consumer Price Index data on Thursday night (12 Oct 08.30 pm UTC+ 8). The market generally expects CPI to increase by 0.3 – 0.4% month-on-month.

Source: SignalPlus, Economic Calendar

In terms of options, implied volatility has not changed significantly compared to yesterday.BTC mid-front end IVIt was successfully completed after two days over the weekend.Bottom bounce, back above 30% (currently around 33% Vol). Looking back at ETH, the IV within a month is basically still below 30% Vol, and there is still a 3 to 5% Vol gap between the mid-to-long term and BTC.

Source: Deribit (as of 9 Oct 16:00 UTC+8)

Source: SignalPlus

Big trading was relatively muted over the weekend. In the option chain market, BTC transactions are concentrated at 28000-C and 30000-C. Further analysis shows that the main reasons areCalls around 28000-C were sold off heavily during the week,andThe next week (20 OCT 23), 30000-C was bought in large quantities to build a position., forming a FLow similar to the calendar triangle spread. The transaction distribution of ETH shifts to the mid-term,Buy Late November 1700-C CallsThe transaction became a hot spot in the market. According to statistics, the cumulative buying volume of this contract in the past day reached 20.57K ETH, and the OI increased to nearly 19K.

Source: Laevitas

Source: Deribit Block Trade

Source: Deribit Block Trade

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