SignalPlus Volatility Column (20240110): Waiting for SEC ruling

The bond market continues its issuance boom, with the supply of European debt reaching a record high; the U.S. three-year Treasury bond auction also went smoothly, with the winning yield lower by one basis point than before the issuance. The overall yield continued its decline, and the ten-year Treasury note turned down midday and hit the mark again The 4% mark is currently at 4.001%. The two-year period has fluctuated downwards and is at 4.348%. The three major U.S. stock indexes saw mixed gains and losses, with the Dow and SP closing down 0.42%/0.15% respectively, while the Nasdaq rose slightly by 0.094%.

Source: SignalPlus, Economic Calendar

Source: Binance & TradingView

Trading in digital currencies is active. The BTC price fluctuated close to 8% in a short-term range at the end of the New York trading session (10 JAN 24 4: 00 UTC+ 8). Within one hour, the entire network liquidated more than 40 million U.S. dollars. According to analysis pointed out that the trigger for this fluctuation was mainly due to the U.S. Securities and Exchange Commission (SEC) posting on its official Twitter account announcing that the Bitcoin ETF had been approved, but then quickly deleted the post to clarify, saying that it was the work of hackers. After the brief storm, the market left a lot of speculation on this, but in any case, today (10 JAN) is the deadline for the SEC to respond to the Ark 21 application, and the market will wait for the SEC to make a ruling.

In terms of options, Doomsday IV quickly rose before the judgment day, once again breaking through the 100% Vol mark, and the curve inversion intensified. Observed from Vol Skew, BTC and ETH once again showed opposite trends, in which the overall level of BTC 25 dRR dropped significantly. From the overall market transactions, we observed that the number of purchases of 43,000 to 39,000 Put on the option chain increased significantly, and at the same time, On the Call side, although the popularity of buying and calling positions near ATMs and at 50,000 points continues unabated, there are more Wing upward and selling Call transactions on BTC relative to ETH. It is speculated that this may be a backup operation in a high IV environment, or The sell leg is filled as a call (proportional) spread.

Source: Deribit (as of 10 JAN 16:00 UTC+8)

Source: SignalPlus

Source: SignalPlus

Source: Deribit Block Trade

Source: Deribit Block Trade

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