SignalPlus波动率专栏(20240103)：新年伊始，BTC破四万五
Yesterday (2 JAN) traders were somewhat shaken by the Feds interest rate cut message. The probability of starting to implement easing policy in March dropped to 75% from 85% last week. At the same time, they reduced their bets on the extent of interest rate cuts. It is expected that cumulative interest rate cuts will occur this year. The amplitude will not exceed 150 basis points; the fixed income market is actively trading, and U.S. bond yields have risen across the board. The ten-year yield is now at 3.976%, a two-week high, and the two-year yield is at 4.347%. In terms of U.S. stocks, due to the impact of Barclays downgrade, Apple and a number of chip stocks fell. In addition, the market reduced expectations for the Federal Reserve to cut interest rates. The three major stock indexes diverged. Among them, the Dow closed flat (+0.07%). The Nasdaq and SP 500 closed down 1.6%/0.57% respectively. On the other hand, the Markit Manufacturing PMI of the United States in December recorded 47.9, lower than the expected 48.4. According to the Golden Ten report, SP Global issued a statement stating: As the number of U.S. manufacturing orders declines at a faster rate, output shrinks again , and manufacturing employment fell at the fastest pace since June 2020. This week will be relatively dense with data releases, including ISM, JOLTS on Wednesday, initial jobless claims on Thursday, and ISM services and non-farm payrolls data on Friday.
Source: SignalPlus, Economic Calendar
Source: Binance & TradingView
In terms of digital currency, BTC exceeded $45,000 for the first time since the end of 2022, and once challenged the $46,000 mark. The option implied volatility once soared, but as the price gradually stabilized above 45,000, the overall level of IV fell back. A large number of large bearish volatility strategies represented by Short Straddle/Strangle appeared on the BTC front; on the other hand, IV Surface A steeper slope is formed at 12 JAN 24, expressing the markets expectations for ETF approval. In terms of trading, the bullish (triangular) spread strategy in March vs. June has become the focus, which is represented by selling 29 MAR 24-60000-C and buying 28 JUN 24-70000-C on BTC, with the number of single legs exceeding 1,000 BTC; ETH The trading directions are opposite in term, mainly buying in March and selling in June.
Source: Deribit (as of 3 JAN 16:00 UTC+8)
Source: SignalPlus
Source: SignalPlus
Source: Deribit Block Trade
Source: Deribit Block Trade
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