SignalPlus Volatility Column (20231222): Heavy macro data is to be released, Doomsday IV soars

Yesterday (21 Dec) at 9:30 p.m. (UTC+ 8), the U.S. Department of Commerce reported that the annualized quarter-on-quarter GDP value of the U.S. in the third quarter was revised lower than expected to 4.9%, indicating that growth in the quarter was not as strong as expected.Pushing Treasury yields lower in the short term, but the number of initial jobless claims announced at the same time was 205,000, lower than the expected 215,000, remaining near historical lows, showingLabor market stability, after digesting this round of data,U.S. Treasury yields quickly regain ground, the two-year and ten-year periods are currently trading at 4.346%/3.891%. Three major U.S. stock indexesOpen high and close high, the Dow/SP/Nasdaq closed up 0.87%/1.03%/1.26% respectively.

In terms of crude oil, according to Angolan News Agency, due to dissatisfaction with production arrangements,Angola says it will withdraw from OPEC. This move further ignited market concerns about increased supply, causing international crude oil futures prices to fall overnight, and then rebounded in shock. WTI and Brent crude oil finally closed up 0.22%/0.3% respectively.

Source: SignalPlus, Economic Calendar

Source: Investing,WTI crude oil futures price

Source: Binance & TradingView

In terms of digital currency,BTC continues its upward trend and has repeatedly challenged the $44,000 mark.. In terms of options, partly affected by the release of multiple sets of macro data tonight,Doomsday options IV rise strongly, BTC/ETH currently reaches the level of 50%/60% respectively. On the other hand,Rumors that ETH ETF may be launched next yearThe news is getting more and more popular, which may be one of the supporting beliefs that the far-end IV rose by 2% Vol today, and the Vol Skew also rose significantly.

In terms of large-volume trading, Januarys volatile trend remains a hot topic in the market. A group of 500 BTC Per leg Buy 12 Jan Straddle vs Sell 26 Jan Straddle intertemporal volatility spread strategy appeared on the Deribit trading platform.Keep betting on SEC action at the start of the year;At the same time, there is a group of 1000: 2000 BTC Sell 40000-P vs Buy 37000-P put spread at the end of January, each group costs about 0.001 BTC. In terms of ETH, 29 Mar 24 2000 vs 3000 Long Call Spread dominated the trading volume list, with a total transaction volume of 31,250 ETH per leg, and OI increased by approximately 22,030/29,400 ETH respectively.

Source: Deribit (as of 2D EC 16:00 UTC+8)

Source: SignalPlus

Source: SignalPlus

Source: Deribit Block Trade

Source: Deribit Block Trade

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