SignalPlus Volatility Column (20231113): Market consolidates, call spreads sold off

On the evening of last Friday (10 Nov), the United States announced that the Michigan consumer sentiment index recorded 60.4, lower than the expected 63.8. The three major U.S. stock indexes opened higher and moved higher, with the Dow/SP 500/Nasdaq rising 0.9%/1.3%/2% respectively. The 10-year U.S. Treasury yield edged higher before giving up gains and is now at 4.638%; the yield on the more policy-sensitive two-year U.S. Treasury note held steady above 5%, now at 5.062%. This week the market will focus on the release of the US CPI index at 14 Nov 21:30 (UTC+ 8) and the PPI index at 15 Nov 21:30.

Source: SignalPlus, Economic Calendar

Source: Binance & TradingView

In terms of digital currency, after the media last week reported the news that BlockRock registered iShares Ethereum Trust and successfully pushed ETH to the key point of $2,000, due to the lack of a new narrative, the price of BTC/ETH has remained around 37,000/2050 in recent days. Whole plate. However, although the actual fluctuations have decreased, the IVs of both have remained stable at recent highs. Among them, the ATM Curve of ETH is relatively flat, and is generally about 2 to 4% higher than BTC Vol.

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

Source: SignalPlus

In terms of transactions,Sell Call SpreadBecome the focus of this market cooling period. On ETH, on 24 Nov and 29 Dec deadlinesEven value Call（K= 2000）Sold off heavily, while using the call of buying 2100/2200 as protection; for BTC, there is a set of customized strategies, by selling 1 Dec 38000 vs 42000 Call Spread to obtain Premium and buy back part of the 11 at almost zero-cost. At the end of the month, the total transaction volume of ITM 35000-C was close to 1,300 BTC.

For the same customized strategy, we also observed traders making a one-time move on ETHBuy to close positionSeveral ITM Calls were made between 1750 and 1900 on 24 Nov and 29 Dec, and the amounts ranged from 2000 to 9000 ETH.

Source: Deribit Block Trade

Source: Deribit Block Trade

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