SignalPlus波动率专栏(20240111)：SEC妥协，数字货币迎来历史性的一天
Yesterday (10 Jan) traders were more cautious before the release of CPI and initial jobless claims data. U.S. bond yields rose slightly during the day and then gradually gave up all the gains. The current two-year/ten-year yields are 4.341% respectively. /3.993%. The three major U.S. stock indexes collectively closed higher, with the Dow/SP/Nasdaq rising 0.45%/0.57%/0.75% respectively. New York Fed President Williams mentioned in the conversation that there are currently sufficient restrictions on interest rates to reach the 2% target. When it is confident that inflation will reach the 2% target, the Fed can lower interest rates. The speed of interest rate reduction depends on the economy. Condition. We are not close to the time to slow down the balance sheet, which is to be gradually achieved in 2024.
Source: SignalPlus, Economic Calendar
Source: Binance & TradingView
Digital currency ushered in a historic day. On 10 JAN local time, the SEC officially approved the listing of Bitcoin Spot ETF with a vote of 3:2. Many approved exchanges also quickly stated that they would attract funds by reducing handling fees. market, triggering carnival in the crypto community. Although SEC Chairman Gary Gensler cast the decisive vote, he still issued a document stating that he did not recognize Bitcoin, once again emphasizing that Bitcoin is a speculative and volatile asset. The approval of the Bitcoin spot ETF will bring Come more regulation. In terms of price, perhaps the advance exercise the day before made the market ready. BTC did not make any further breakthrough after rebounding from 45,000 to below 47,000. During this period, it was also accompanied by multiple early cashing and favorable selling pressure shocks. Through the upper From the comparison chart, we can see that the market has put more enthusiasm into ETH, which finally got rid of the weak linkage with BTC all day long. It made great progress during the day and successfully exceeded 2600 points.
Source: SEC official website
In terms of options, after the ETF incident came to light, due to the relatively calm reaction of the spot market, the overall IV of BTC fell sharply to around 60%, and the degree of curve inversion weakened. On the contrary, the market clearly planned for greater upside space for ETH in the future. The blueprint gives higher uncertainty. The mid- and back-end IV of ETH has fallen slightly, and the IV levels of each term are 6 to 8% higher than BTC Vol. In terms of trading, the buy-call strategy still dominates the bulk market, and the number of ETH transactions has been greatly boosted. A large number of Long Call Spread orders represented by 23 FEB 24 2700 vs 3100 have hit the market. There are also obvious changes in the Vol Skew of each period. of upward movement.
Source: Der.bit (as of 11 JAN 16:00 UTC+ 8)
Source: SignalPlus
Source: SignalPlus
Source: Deribit Block Trade
Source: Deribit Block Trade
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