SignalPlus Volatility Column (20231221): Butterfly, Butterfly

Yesterday (20 Dec), U.S. bond yields continued to fall, and gradually recovered some of the lost ground after the Asian market opened. The two-year/ten-year yield is now at 4.377%/3.886%. The three major U.S. stock indexes fell in late trading, with the Dow and Nasdaq ending their nine-day winning streak, falling 1.27%/1.5% respectively, and the SP closing down 1.47%. On the other hand, due to the unexpected increase in crude oil inventories in the United States last week, the larger-than-expected increase in fuel inventories and the record oil production, international oil prices have corrected, with WTI and Brent crude oil closing down 0.53%/0.24% respectively.

Source: SignalPlus, Economic Calendar

Source: Binance & TradingView

Digital currency price todayContinued upward trend, BTC has a tendency to challenge the resistance level of 45,000 again, but from an options perspective, its implied volatility curve has not changed much. On the other hand, ETH IV has moved downwards and is closer to BTC after a lag of one day.The difference between front-end IV and BTC reverses into negative numbers.

In terms of transactions,BTC trading volume is rarely occupied by bulk butterfly strategy, specifically, the Short 40000-55000-80000 Fly in June next year continued to open a pair of call spreads while closing the position with a profit of 40000-C, while the Long 45000-47500-50000 Fly at the end of December was It is to buy 45000-C as the starting point, sell 47500-C upward at the same time, and buy 50000-C as extreme market protection. ETH transaction hotspots are mainly concentrated in the triangular bearish strategy game of 5 Jan 2100/2050-P vs 26 Jan 1600-P, in which the total trading volume of selling short-term Put in this direction is approximately twice that of the other side.

Source: Deribit (as of 21 DEC 16:00 UTC+8)

Source: SignalPlus

Source: Deribit Block Trade

Source: Deribit Block Trade

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