SignalPlus Volatility Column (20231114): ETH failed to challenge 2100, front-end IV fell

Yesterday (13 Nov) the New York Feds survey showed that future inflation expectations have weakened, with one-year and five-yearInflation expectations were revised down 0.1% from September, 3.6% and 2.7% respectively, with three-year inflation expected to be flat at 3%.U.S. Treasury yields fall slightly, two-year and ten-year yields are now trading at 5.03%/4.618%.The three major U.S. stock indexes were mixed, the Dow/Nasdaq closed up 0.1%/0.22%, and the SP 500 fell 0.08%.

Source: SignalPlus, Economic Calendar

Source: Binance & TradingView

In terms of digital currency, ETH is at 0:00 UTC+8 today (14 Nov)Challenged the 2100 mark many times and failed, back to near 2050Whole plate. At the high of 2100, we observed the Put Spread (2000 vs 2100) transaction near the 24 Nov upper level, and the long-short comparison was balanced (2: 3); BTC opened a few hours before zerodowntrend,one timeExploringto around 36200, the Asian Handicap started slowlyreboundBack around 36500.

In terms of implied volatility, the sideways trend for several consecutive days has once againReduces market expectations for short-term fluctuations in ETH，Options IV fell sharply during the week; This decline in BTC prices is even more directDepresses the level of the entire volatility surface，Widens the gap with ETH Vol，and makes its ATM Curve steeper, the trading aspect is recently represented by Short 1 Dec 37000 Straddle.lookFall Volatility StrategyBecome the focus of the market.

Source: Deribit (as of 14 NOV 16:00 UTC+8)

Source: SignalPlus

Finally, we would like to mention that yesterday’s custom strategy of selling 1 Dec Call Spread and buying back 24 Nov ITM 35000 Call is still continuing, with the total transaction volume reaching 186 2B TC.

Source: Deribit Block Trade

Source: Deribit Block Trade

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