SignalPlus Volatility Column (20231211): The macro week kicks off, BTC adjusts significantly

Last Fridays strong non-agricultural data (recorded 199 K, expected 180 K) hit the markets expectations for the Federal Reserve to cut interest rates in the middle of next year. U.S. bond yields rebounded across the board. The current two-year/ten-year U.S. bond yields are respectively Reported 4.744% / 4.261%. There will be many key macro data released this week, including CPI, PPI, retail sales data and other indicators, as well as the important FOMC meeting early Thursday morning. The market has fully priced in that this meeting will not raise interest rates (525-550 probability is 98.6 %, from CME FedWatch), and still expects a rate cut to begin in mid-2024.

Source: SignalPlus, Economic Calendar

Source: SignalPlus & TradingView

As the opening day of the macro data week, BTC plunged more than 7% in the short term around 10 a.m. (UTC+ 8), and once challenged the 40,000 mark, reaching its lowest level in a week. The continuous rise in the previous week was followed by more funds entering the market due to FOMO sentiment. Even though the market had certain adjustment expectations, this round of decline still liquidated nearly 100 million US dollars of BTC long positions (the overall liquidation amount of Crypto exceeded 300 million). USD), once again sounded the alarm for investors on the volatility of crypto.

In terms of options, the surge in actual volatility has flattened the IV curve. Although the IV has gradually declined as the price adjusted after a rapid retracement, the current overall BTC/ETH implied volatility level remains at around 50 to 55%, which is the highest level in the past three years. month-high. In terms of trading, the overall trading volume was slightly sluggish. The proportion of BTC put options trading increased sharply, which once again suppressed the front-end Vol Skew. Among them, 40000-P received a large number of purchases on 15 Dec, and OI increased to 1580 BTC; the largest group of ETH transactions was The following year, the bullish triangle spread of selling near and buying far (29 Mar 2300 vs 28 Jun 3000) resulted in a single leg trading volume of 10,000 ETH.

Source: Deribit (as of 11 DEC 16:00 UTC+8)

Source: SignalPlus

Source: SignalPlus

Source: Laevitas, BTC P/C Ratio surges

Source: Deribit Block Trade

Source: Deribit Block Trade

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