SignalPlus Volatility Column (20231012): RR rebounded slightly, ETH IV rose

Yesterday (11 Oct), U.S. stocks achieved four consecutive gains. U.S. PPI in September exceeded expectations, increasing 0.5% month-on-month. Core PPI increased 0.3%, and year-on-year growth also jumped to 2.7%, the highest level since April.

Driven by market risk aversion, more investment attention has been shifted to bonds, making it difficult for yields to remain high. The 10-year U.S. bond yield fell more than 10 basis points to close at 4.56%. The 2-year yield is more sensitive to policy. U.S. Treasury futures hovered near 5%, closing at 4.98%. The release of the FOMC meeting minutes expressed more dovish remarks. The market now generally believes that the rise in U.S. bond yields may extend the Feds pause in interest rate hikes. Tonights CPI data (12 Oct 08: 30 pm UTC+ 8) The announcement may further guide the market direction.

Source: SignalPlus, Economic Calendar

In terms of volatility, the overall IV level of ETH increased by about 0.6 to 0.7%; BTC/ETH 13 Oct saw a sharp rise due to the release of CPI data tonight (12 Oct 08: 30 pm UTC+ 8), currently reaching around 41% Vol .

Source: Deribit (as of 12 Oct 16:00 UTC+8)

Source: SignalPlus

Observed from the slope of the volatility surface, despite the slight decline in recent price changes, the medium and long-term Vol Skew of BTC/ETH achieved a slight rebound yesterday. At the same time, Long 29 Mar 23 Risky became the focus of the ETH bulk, with a cumulative transaction volume of 14 K ETH, and RR at the bottom.

Source: Binance & TradingView

Source: SignalPlus, RR rebounds slightly from bottom

BTC trading is concentrated on the 29 Dec call. On the one hand, there were two purchases of bullish triangle spreads on the bulk platform, and they were made separately.29 Dec 26000 c vs 29 Mar 50000 cas well as 27 Oct 28000 c vs 29 Dec 23 29000 c, the number of each leg exceeds 1,000 BTC; on the other hand, on the option chain, the period26000-C was bought in large quantities to close the position（OI -1 K），60000-C was sold off miserably, the active selling amount reached 1.66 K BTC.

Source: Laevitas,BTC transactions are concentrated on 29 DEC 23 Call

Source: Deribit Block Trade

Source: Deribit Block Trade

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