SignalPlus Volatility Column (20231013): ETH calendar spreads traded heavily

The CPI data released last night (12 Oct) slightly exceeded expectations, with a year-on-year increase of 3.7% and a month-on-month increase of 0.4%.Strengthening market expectations for the Federal Reserve to raise interest rates again this year. Affected by this, the 10-year U.S. Treasury yield once rose by more than 20 bps to around 4.7%, and fell slightly before the deadline; while the two-year U.S. Treasury yield returned to above the 5% mark. U.S. stocks turned sharply lower during the session, with the three major stock indexesEnded under pressure, with a maximum drop of more than 1%. In the end, the Dow Jones closed down 0.51%, and the Nasdaq and SP 500 closed down 0.63%/0.62% respectively.

Source: SignalPlus, Economic Calendar

In terms of options, after the release of yesterdays data, the mid- and front-end volatility declined slightly, while the far-end volatility increased slightly, and the volatility surface became steeper.

Source: Deribit (as of 13 Oct 16:00 UTC+ 8)

Source: SignalPlus

In terms of transactions, the BTC bulk volume in the past day was slightly flat. The largest Trade came from the 32,000 vs 37,000 Bull Call Spread at the end of the year, with a single-leg transaction volume of 1,000 BTC. However, the same bullish statement is made for the medium and long term, and ETHs Flow is mainly based on calendar spreads. First, on the options chain24 Nov 1650 CstillBuy Callhot spot, at the same time27 Octsufferedselling pressureIt is still continuing; similarly, there is also a 20,000 ETH (per leg) on ​​the bulk platform27 Oct vs 24 Nov 1650 C Calendar Spread. Looking at the ETH IV Curve, the front-end Vol is high and the 24 Nov is at the bottom, chasing a certain volatility spread.

Source: SignalPlus, a large number of calendar spread transactions in the ETH market

Source: Laevitas, ETH transactions are concentrated on the call on 27 Oct/24 Nov

Source: Deribit Block Trade

Source: Deribit Block Trade

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