SignalPlus波动率专栏(20240112)：ETF首日上线，BTC冲高回落
Yesterday (11 JAN), the US December CPI annual rate recorded 3.4%, exceeding the expected 3.2%, and the monthly rate recorded 0.3%, also slightly higher than expected; the core CPI index excluding energy and food recorded a monthly rate/annual rate of 0.3 respectively. % /3.9% (expected to be 0.3% /3.8%). The bond market reacted immediately after the CPI data was released, with the 10-year yield rising back to above 4% in the short term. However, after Fed officials spoke, traders re-increased their bets on the Fed cutting interest rates this year, and U.S. bond yields quickly gave up all gains. The current two-year/ten-year yields are 4.264%/3.984% respectively. The three major U.S. stock indexes showed a V-shaped trend and finally closed close to flat. Digital currency concept stocks collectively fell sharply on the first day of the launch of the BTC ETF, with CoinBase -6.7% and Microstrategy -5.21%.
Source: SignalPlus, Economic Calendar
The digital currency market ushered in the first trading day after the approval of the BTC Spot ETF. According to data shared by Bloomberg analyst Eric Balchunas on Twitter, the 11 online ETFs have accumulated a total of 700,000 transactions, with a turnover of more than 4.3 billion. USD, of which Greyscales GBTC accounts for 2 billion, BlackRocks IBIT follows with a share of 1 billion, and the third is Fidelitys FBTC, with a trading volume of approximately US$673 million. It is worth noting that among these eleven ETFs, GBTC, which has the largest trading volume, was transformed from the original closed-end fund into a spot ETF. The source of such high trading volume is not all due to the influx of large amounts of funds. , on the contrary, it is more likely that the withdrawal of funds triggered by its high management fees and the easing of the negative premium problem turned into other new ETFs.
Source: Twitter
Source: Coinglass
On the other hand, as the debut day of the ETF, the U.S. stock market attracted a large number of BTC spot purchases in a short period of time after the market opened, causing its price to rise by about 6% and breaking through the 49,000 mark. However, all the gains were quickly retracted, and the price returned to 46,000. Nearby, the markets limelight was temporarily snatched away by BTC, and ETHs change range was relatively gentle. After rising slightly, it fell back to 2,600 US dollars.
Source: Binance & TradingView
In terms of options, due to the uncertainty caused by ETF issuance, the level of implied volatility has dropped significantly, with BTC/ETH at about 53%/58% respectively. At the same time, ETH Vol still has a relative premium of about 5 to 7%. . Vol Skew has fallen significantly, and BTC 25 dRR has hit its lowest point in the past three months as a whole. From a trading perspective, it is similar to the situation in the past few days. The market is buying Put protection in the near term, while continuing to do Call Spread in the medium and long term. As represented by BTC 29 MAR 24 50000 vs 60000, the buy leg is close to 45 Delta, while the sell leg is around 20 Delta, which partially explains the cause of the Vol Smile tilt.
Source: Deribit (as of 12 JAN 16:00 UTC+ 8)
Source: SignalPlus
Source: SignalPlus
Source: SignalPlus
Source: Deribit Block Trade
Source: Deribit Block Trade
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