SignalPlus波动率专栏(20240104)：BTC短线暴跌，期权IV再度飙升
Yesterday (3 JAN), the number of JOLTs job vacancies in the United States in November was 8.79 million, lower than the expected 8.85 million, indicating that the demand for labor in the United States has cooled; the manufacturing PMI rose to 47.4, which has been below the 50 baseline for 14 consecutive months; Richmond Fed President Barkin said yesterday: There is a high possibility of a soft landing, and the possibility of further interest rate hikes still exists. On the other hand, the minutes of the Federal Reserve meeting revealed that internal officials have different opinions on the trend of interest rates, and believe that interest rates will stop. The time at the peak may be longer than expected. In terms of U.S. Treasuries, the 10-year yield once exceeded 4% and then gradually gave up all gains, now trading at 3.959%, and the two-year yield is at 4.335%. The three major U.S. stock indexes all fell, with the Dow/SP/Nasdaq closing down 0.75%/0.8%/1.18% respectively. In terms of crude oil, the complete shutdown of Libyan oil fields heightened concerns about the decline in global oil supply. International crude oil closed up for the first time in five days, with WTI and Brent crude oil closing up 3.64%/3.2% respectively.
Source: SignalPlus, Economic Calendar
Source: Binance & TradingView
In terms of digital currencies, a comment from Matrixport yesterday evening suggested that the U.S. SEC would reject the approval of spot ETFs. The market reacted violently to this. BTC plummeted by US$5,000 (approximately -11%) in the short term and challenged the 40,000 mark, causing more than 600 million US dollar BTC long futures were liquidated, and the ATM IV for the next week’s options market once soared to around 80%. Although many people, including Wu Jihan himself and Bloomberg analysts, subsequently launched various reactions and clarifications on Twitter, saying that there is still a 90% chance of spot ETF being approved, and the price has gradually risen to around 43,000, However, this unexpected market reaction has undoubtedly increased traders pricing of forward volatility uncertainty, causing the overall option implied volatility to rise steeply. The recent IV has almost reached the highest level in the past three months. , among which BTC’s ATM IV reached a peak of 72.81% (+ 8.09%) on 12 JAN the next week. On the other hand, the price decline also collapsed the front-end Vol Skew, and the short-term 25 dRR of BTC/ETH has fallen to negative values. In terms of trading, the callback in the underlying price provides traders with the opportunity to build a bullish position. A call spread/proportional call spread transaction represented by 26 JAN Buy 44000-C vs Sell 50000-C appeared on the bulk platform. At the same time, ETH is also seeing large call option buying across all tenors.
Source: Deribit (as of 4 JAN 16:00 UTC+ 8)
Source: SignalPlus
Source: SignalPlus,Current ATM IV is close to all-time highs over the past three months
Source: SignalPlus, Frontend Vol Skew Plunges
Source: Deribit Block Trade
Source: Deribit Block Trade
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