SignalPlus宏观研报(20240110)：BTC波动率上升，市场静待SEC做出裁决

The largest option block in BTC today was a certain boss who sold 400 call options with a price of 55,000 at the end of June, earning a premium of 2.41 million. It is estimated that it is covered, that is, he has 400 BTC in hand. If the spot price rises, he will sell it at a price of 55,000, which is a 20% premium based on the current price. If the price does not rise, the net income will be 12% (annualized 24%) ).

The IV of BTC on January 11 was still 100, down from the high of 111; but it is still high, indicating that the market predicts that there will be big fluctuations in the market today and tomorrow. Recently, you can place an order to make an option grid. If you have a U in hand and want to open a position, you can place a sell order on a high-priced virtual index put option and open a low-price spot position. If you have coins in hand, you can place a high-priced virtual index call order. Options, earn some interest.

Bond issuers seized on a brief lull in economic data and market activity to continue the issuance boom. European bond supply hit a record high, with SSA, financial institutions and corporates issuing more than 50 billion in new debt. As investors look forward to the new year Actively investing new funds, the demand for bonds is also extremely strong. Belgiums 7 billion euro 10-year bond issuance has a bidding amount of 72 billion euros (10 times), and the UKs 2.25 billion pound 20-year bond issuance also has a bidding amount of 8 billion pounds. Buying (3.6 times), Italian 7-year and 30-year bond demand also exceeded the issuance by 7 times, while bond issuances in the Netherlands (6-year) and Austria (9- and 30-year) also received investor support response actively.

The U.S. 3-year Treasury bond auction also saw good demand. The bid yield was -1 basis point compared to the pre-issuance level. The bid amount was as high as 139 billion US dollars. The bid multiple was 2.67. The terminal demand accounted for 82%. Indirect bidders were allocated The proportion reaches 65%.

Even with the recent decline in yields of about 100 basis points, the bond buying spree continues, with fixed income giants such as PIMCO bullish on the bond market in anticipation of more aggressive interest rate cuts from the Federal Reserve. They pointed out:

…If current economic conditions persist, bonds are likely to earn returns similar to stocks based on current yield levels; if the economy enters a recession, bonds may outperform stocks; and if inflation revives, central banks will need to raise interest rates again , then both bonds and stocks will face challenges, although higher starting yields can provide a potential cushion for bonds.

Based on a sample analysis of 140 interest rate hike cycles in 14 developed markets from the 1960s to the present, when the economy enters a recession, the central bank will lower the policy interest rate by an average of 500 basis points. Even if the recession does not coincide with the interest rate cut cycle, the central bank will loosen policy while Rate cuts are still averaging 200 basis points in the first year, which is double the 25 basis points of cuts implied in the FOMCs latest economic forecasts at every other meeting.

PIMCO, January 2024 Cyclical Outlook

The cryptocurrency market is more active than the TradFi market. Near the end of the New York trading session, BTC experienced a series of turbulence and chaos. The SEC’s official However, the tweet was deleted within an hour, and the chairman himself later issued a statement clarifying that the SEC’s official account had been hacked and that the previous tweet was not true.

After the news came out, spot BTC soared to nearly $48,000, and then fell back to around $45,000 after the clarification. This is reminiscent of Cointelegraph’s fake news incident in October last year, as to whether this was really a hacking incident, or whether it was a hacking incident. A staff member leaked the draft statement in advance, and there were quite a few theories and speculations in the market.

Regardless, today (January 10th) is the deadline for the SEC to respond to the Ark 21 filing, and we should see the final results within the next 24 hours, capping off a busy and exciting week.

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