SignalPlus Volatility Column (20231215): BTC once again staged a spike, and bullish sentiment was hit.

Yesterday (16 Dec), the United States announced that the monthly retail sales rate in November was 0.3%, higher than market expectations of -0.1%, and a new high since September this year; another data on the number of initial jobless claims for the week recorded 202,000, Lower than the expected 220,000, the two-year U.S. Treasury yield, which is sensitive to interest rate policy, rose above 4.4% and is now at 4.430%. The ten-year yield line fell below 3.9% and then rebounded to recover all lost ground, at 3.946%. On the other hand, the market is still digesting the possible long-term impact of the Federal Reserves dovish speech yesterday. According to a report by financial media ZeroHedge, U.S. money market funds fell to $11.5 billion for the first time in seven weeks after soaring to their highest point recently. Outflows (including institutional fund outflows of US$14.5 billion and retail inflows of US$3 billion), BlackRock commented that the era of cash being king may have ended, and the US stock market will see an important turning point: funds are beginning to move from the currency market to riskier High assets or move to term products to lock in current interest rates. At the same time, the Atlanta Feds GDPNow raised the U.S. fourth-quarter GDP growth rate from 1.2% to 2.6%. Statistics also showed that the Feds balance sheet expanded by about $2.2 billion last week, the first expansion since August 9. and the largest increase since June 7.

On the other side of the ocean, in the European market, the United Kingdom and the European Central Bank both responded to the markets interest rate cut views after deciding to keep their benchmark interest rates unchanged, in sharp contrast to the Federal Reserve. According to King Ten reports, Bank of England Governor Bailey said: It cannot be said that interest rates have reached a peak, and it is too early to start speculating on interest rate cuts. Lagarde, President of the European Central Bank, also made it clear that she should not let down her guard because of falling inflation, and there was no discussion of interest rate cuts at all.

Source: SignalPlus, Economic Calendar

Source: Binance & TradingView

In terms of digital currencies, BTC suffered a spike of about 5% at around 9:00 pm yesterday evening (UTC+ 8), and gradually recovered its losses and returned to sideways around 43,000 in the following three hours. Although the price recovered quickly, the markets bullish sentiment was hit. BTC Vol Skew fell again, and the ETH Vol Skew moved downward as a whole. The selling of recent call options on the retail platform was also obvious. On the other hand, as the weekend approaches, the IV of ETH’s mid-front end also fell slightly, narrowing the gap with BTC.

In terms of bulk, the triangular spread strategy of BTC from December to January of the following year has been very popular. Among them, the call of 26 Jan 24 is mostly used as a selling leg to offset the cost, and the calls of 44000 ~ 45000 in the shorter term are more common. for buy.

Source: Deribit (as of 15 DEC 16:00 UTC+8)

Source: SignalPlus

Source: SignalPlus

Source: Deribit Block Trade

Source: Deribit Block Trade

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