SignalPlus Volatility Column (20231213): Volatility decreased at the end of the year
Yesterday (13D ec), the November CPI data released by the United States was in line with market expectations. The core CPI index excluding food and energy recorded 0.3%. Such a growth rate has hit the market’s interest rate cut expectations to a certain extent. The two-year U.S. Treasury yield The yield rate exceeded 4.7% and closed at 4.726%. The ten-year yield once challenged the 4.25 mark and then fell back to close at 4.192%. International crude oil prices also fell under this influence, with WTI and Brent crude oil closing down 3.74%/3.53% respectively. The three major U.S. stock indexes rose slowly, with the SP/Dow/Nasdaq closing up 0.46%/0.48%/0.7% respectively.
Source: SignalPlus, Economic Calendar
Source: SignalPlus & TradingView
In terms of digital currencies, BTC/ETH is still oscillating below 42000/2200. The actual fluctuations have slowed down slightly compared to yesterday. A significant downward adjustment in IV between 2 2D ec and 29 Dec was observed on the implied volatility curve, which may be due to options. The selling of OTM calls on the chain is concentrated around BTC 44000/48000 and ETH 2400. From another perspective, the current slope of Vol Skew in term is relatively obvious, and the overall level has been low in the past three months. s position. The bulk transactions were slightly dull. On 29 Mar 24, 50000 C sold and closed 800 BTC, which was the largest position reduction point in a single day.
Source: Deribit (as of 1 3D EC 16:00 UTC+8)
Source: SignalPlus,2 2D EC 23/29 DEC 23 IV dropped significantly
Source: SignalPlus
Source: Deribit Block Trade
Source: Deribit Block Trade
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