SignalPlus Volatility Column (20231220): The volatility curve steepens, BTC maintains local highs on 12Jan
Yesterday (19 Dec), Richmond Fed President Barkin, who has monetary voting rights for next years FOMC, made remarks stating that the Fed has made good progress in reducing inflation, but wants to see more consistent data before starting to cut interest rates; Chicago Fed President Goolsby also said in a speech that the Fed has not yet committed to cutting interest rates, noting that the markets current reaction is somewhat premature. Although Federal Reserve officials have poured cold water on expectations of interest rate cuts, U.S. bond yields are still falling, with the 10-year yield falling below the 3.9% mark to 3.891% and the two-year yield at 4.386%. The three major U.S. stock indexes collectively closed higher. The Dow Jones index hit a record closing high of 37557.92 points (+0.68%). The SP and Nasdaq closed up 0.59%/0 respectively. 66%. In terms of the yen, the Bank of Japan decided to keep the benchmark interest rate and YCC unchanged. Governor Kazuo Ueda said at the press conference that the possibility of raising interest rates at the next meeting is very low, and it is currently difficult to determine a plan to exit the negative interest rate policy.
Source: SignalPlus, Economic Calendar
Source: Binance & TradingView
In terms of digital currency, the price of BTC fell slightly to US$42,000 after yesterdays close, and then gradually recovered almost all its losses, closing almost flat (-0.3%). In terms of options, the front-end implied volatility of BTC/ETH has been reduced again, the back-end has slightly increased, and the overall curve has become steeper. In addition, affected by the market’s decision on the SEC’s possible approval of BTC ETF in early January, BTC’s ATM Vol was on 12 Jan 24 The local high of the period was maintained. In terms of trading, BTC’s at-the-money call options expiring in December have been heavily sold, while the calls on the 12 Jan and 26 Jan Wings have continued to be bought, which partially explains the steepening of the IV Curve today; ETH’s 5 Jan upper leg The 1950 vs 2100 Long Put Spread transaction close to 10,000 ETH attracted the markets attention and provided protection for possible downward price fluctuations at the beginning of the year.
Source: Deribit (As of 20 DEC 16: 00 UTC+ 8)(As of 20 DEC 08: 00 UTC)
Source: SignalPlus
Source: Deribit Block Trade
Source: Deribit Block Trade
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