SignalPlus Volatility Column (20231214): BTC challenges $43,000 again, Vol Skew returns
Yesterday (13D ec), the U.S. PPI annual rate in November was recorded at 0.9%, slightly lower than the expected 1%, a new low since June this year. At the FOMC meeting held in the early morning, the Federal Reserve announced that it would keep interest rates unchanged and admitted that the economy and inflation had slowed down. Powell issued dovish remarks: We believe that policy rates have reached, or are close to, their peak, and interest rate cuts have begun to enter the horizon. Meanwhile the dot plot suggests three possible rate cuts next year, with swaps markets pricing in more than 140 basis points of Fed rate cuts by the end of 2024. The Federal Reserves obvious dovish tendency has pushed U.S. bond yields down sharply across the board. The 10-year U.S. bond yield, which is the anchor of global asset pricing, fell below the 4% mark at 3.954%, and the two-year yield even fell below 4%. 30 basis points, now trading at 4.334%. The three major U.S. stock indexes rose collectively, with the SP/NASDAQ/DOW closing up 1.37%/1.38%/1.40% respectively.
Source: SignalPlus, Economic Calendar
Source: Binance & TradingView
In terms of digital currency, BTC rose from below 41,000 to around 43,000, with an intraday increase of 4%. In terms of options, the front-end fell sharply due to the uncertainty of FOMC, and the Vol Curve became steeper; on the other hand, the price rebound successfully helped Vol Skew regain its lost ground, the BTC front-end returned to near zero, and ETH even shot up to 3% ~ 5%, the return of the bullish strategy can also be observed in trading. The Dec vs Jan triangle spread on BTC has been hotly traded, and the total buying and selling volume of the strategies in both directions is relatively balanced. ETH has a large number of 1900 vs 2300 Long Call Spread at the end of the year. At the same time, Buy call transactions also appeared again at the 2500/2800 level in January.
Source: Deribit (as of 14 DEC 16:00 UTC+8)
Source: SignalPlus
Source: SignalPlus
Source: Deribit Block Trade
Source: Deribit Block Trade
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