SignalPlus波动率专栏(20240109)：IV从高点回落
Yesterday (8 JAN) Atlanta Fed President Bostic (2024 FOMC Voting Committee) gave a speech, reiterating that it is appropriate to cut interest rates twice by 25 basis points before the end of this year, and expected that the Federal Reserve will make its first interest rate cut in the third quarter, and at the same time It was mentioned that the current pace of balance sheet reduction is appropriate, and whether it should be changed is an open question; but at the same time, Fed Governor Bowman mentioned in his speech that there are still risks of upward inflation, mainly from geopolitical and financial conditions. Relax. The U.S. Treasury yield showed a V-shaped reversal trend of first falling and then rising. The ten-year yield fell again to below 4% and then gradually rebounded to recover all the lost ground. It is now at 4.046%, and the two-year yield is at 4.377%. The three major U.S. stock indexes collectively closed higher, with the Dow/SP/Nasdaq rising 0.58%/1.4%/2.2% respectively. In terms of crude oil, Saudi Arabias sharp reduction in oil prices and OPECs increase in production triggered investors concerns about overproduction, causing international oil prices to plummet, with WTI and Brent crude oil closing down 4.13%/3.22% respectively.
Source: SignalPlus, Economic Calendar
In terms of digital currency, BTC strengthened again, rising more than 10% to break through the 47,000 mark. ETH maintained weak linkage, briefly breaking through 2,300 and then slowly falling back below it. In terms of options, after the price rise, the overall implied volatility has been significantly reduced. The forwards can see a fall of about 2 to 3%, and the front-end IV has plummeted by as much as 15-20% Vol. With the expiration date of 11 JAN 24 On the line, 12 JAN 24 handed it over to its long-lasting volatility surface high point; in addition, from the surface slope, BTCs strong upward drive drove the front-end Vol Skew back to zero; on the contrary, the ETH Vol Skew as a whole is Further decline, its 25 dRR before March were all negative. From a trading perspective, the new breakthrough in price boosted the transaction volume of the buy-call strategy. The bullish spread strategy significantly occupied the bulk market. ETH was long-buy within one month, while BTC was traded in the lower two and three. month, waiting for the ETF incident to ferment.
Source: Binance & TradingView
Source: Deribit (as of 9 JAN 16:00 UTC+8)
Source: SignalPlus
Source: SignalPlus
Source: Deribit Block Trade
Source: Deribit Block Trade
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