SignalPlus波动率专栏(20240108)：新的一周，新的IV高点

Last Friday, as the market had digested the impact of the previous days higher-than-expected small non-agricultural ADP data, the market relatively peacefully accepted the release of U.S. non-agricultural data for December (216,000 recorded, 170,000 expected) , but then the big plunge in ISM manufacturing data once shocked the U.S. bond market, causing the yield to plummet in the short term. The ten-year period once fell below the 4% mark, and then quickly recovered most of the lost ground. The current two-year/ten-year period Year-on-year rates reported 4.379%/4.035% respectively. The three major U.S. stock indexes all closed slightly higher, with the Dow/Nasdaq/SP rising 0.07%/0.09%/0.18% respectively.

Source: SignalPlus, Economic Calendar

Source: Binance & TradingView

In terms of digital currency, although the price has started to consolidate around 44000 and the actual volatility has converged, as the ETF judgment day approaches, the front-end IV is still rising linearly. The IV near BTC 11 JAN once exceeded 100, and the intraday change reached 10%. Vol; On the contrary, since the end of January, the IV of the medium and long term has declined, escaping from the recent high point. From a trading perspective, although the weekend trading volume is as flat as ever, the BTC block volume is 29 MAR 24 50000 vs The Short Call Spread represented by 65000 has become the focus of the market, and similar transactions were also performed at the end of February; on the other hand, we observed that Vol Skew dropped significantly to negative values ​​in mid-January. Taking ETH Vol Smile as an example, it can be clearly seen that Out of this expiration date, the IV of the put option side rises.

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

Source: SignalPlus

Source: SignalPlus, Vol Skew dropped significantly in mid-January

Source: SignalPlus

Source: Deribit Block Trade

Source: Deribit Block Trade

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