SignalPlus宏观研报(20240118)：金融市场避险情绪蔓延，加密市场波动降低

BTC’s volatility DVOL suddenly fell from the high of 70 before the ETF passed to 50, a drop of nearly 30%. It has been higher than this value 55% of the time in the past year. The market is expected to be flat for a period of time. Those who want to build a position can slowly buy in spot stocks, or sell put options to stock up at low prices.

Today’s largest 2 ETH option blocks:

1. A certain boss sold 6,000 ETH 3,000 call options at the end of June, earning a premium of 1.86 million -> This type is usually covered. He has 6,000 ETH in hand for financial management, and the currency standard annualized rate is 23 %;

2. Buy June’s 2800 call + sell 5500 call (bull market spread); at the same time, buy 2800 put and sell 1500 put (bear market spread), spend 1.47 million, and go long volatility.

Today’s largest 2 BTC options blocks:

1. A wealthy boss spent $1.59 million to buy 300 BTC year-end 65,000 call options at the spot price of 42,778.

2. A certain boss spent 1.13 million US dollars to buy the January low of 42,000 for the put and the 44,000 for the call. Why do I think this is a stop-profit order? He probably sold it when the volatility was high. Now he can close the position and buy it back.

The volatility DVOL of ETH also fell from a high of 78 to 54. Volatility was lower than this about half of the time over the past 1 year. The market is not very clear, but a low-risk and reliable operation is to sell put options to build a spot position. In this way, you can slowly build a position at a price 10-15% lower than the current price.

Yesterday, led by Europe and the United Kingdom, the asset market finally made a sharp correction in its expectations for easing policies. First, the British inflation data unexpectedly rose for the first time in 10 months, causing the 5-year British government bond yield to jump 23 basis points, the highest level since 2022. The most dramatic change since the LDI crisis in September. At the same time, the FTSE 100 index also fell by 1.8%. The CPI increased by 4% year-on-year, which is twice the inflation target of the Bank of England. The probability of an interest rate cut in May implied by market pricing quickly plummeted from 80% to 55%.

The European Central Bank followed suit, with President Christine Lagarde saying euro zone interest rates may be cut in the summer rather than spring, which is inconsistent with current market pricing. Largarde commented at the World Economic Forum that the ECB would not be cut until late spring. Only in this way can the necessary information be obtained to make decisions on interest rate easing.

Then, Fed Governor Waller said that although the United States is very close to the Feds 2% inflation target, there should be no rush to cut interest rates until it is certain that lower inflation can be sustained.

The key is that the economy is doing very well, which gives us room to act cautiously and methodically, and we can see how the data plays out and see whether the current progress can be continued, Waller said in an online discussion organized by the Brookings Institution.

The last thing we want to see is a reversal after we started cutting rates, and we really want to see evidence that the current progress ... continues in real data and in inflation data, and I believe it will.

Wallers comments were among the strongest from a Fed official in recent weeks in response to market expectations for policy easing to begin in March.

On the economic data front, retail sales were unexpectedly strong, rising 0.6% month-on-month in December, excluding autos up 0.4% month-on-month, equivalent to a 5.2% annual increase, strong department store sales (+3% from -2.5%) and General merchandise sales (+1.3% from -0.2%) contributed to the better-than-expected growth, while the control group (excluding building materials, auto parts and gasoline sales) also performed strongly, rising 0.8%, well above expectations of 0.2%.

The above factors jointly pushed the 2-year U.S. Treasury yield to rise by 13 basis points, while the results of the US$13 billion 20-year U.S. Treasury additional issuance were not satisfactory, with a tail of 0.9 basis points and a bid multiple of 2.53; the SPX fell for a time to 1%, mainly dragged down by interest rate-sensitive sectors (real estate -2%, utilities -1.5%) and high-beta growth stocks (retraced 2.4% on the day). The probability of an interest rate cut in March has dropped to around 58%. Last week At one time it was as high as over 80%.

Risk aversion is not limited to the United States. China/Hong Kong stock markets also suffered a similar bloodbath at the opening of Asia. Disappointment with Chinas economic growth and policies caused the Hang Seng Index to drop nearly 4%. The lack of obvious incentives in the mid-term greatly suppressed market sentiment. , the technical picture looks increasingly deteriorating, and brokers warn that the unwinding of automatically redeemable securities and callable CBBCs may lead to further declines in the Hang Seng Index; in addition, a growing number of local reports show significant real estate losses in Hong Kong and bank loan impairments, local regulators may soon be forced to take liquidity intervention actions to prevent the situation from worsening.

In terms of cryptocurrency, according to Bloomberg estimates, GBTC outflowed approximately US$1.2 billion in 3 days, while the other 9 spot ETFs saw an inflow of US$1.9 billion, with a net inflow estimated at US$800 million; the newly launched Bitcoin spot ETF had a total inflow of US$800 million in the first three days. The trading volume exceeded US$9.7 billion, of which GBTC accounted for more than 52%. The spot price has been stable at around US$42,500 over the past week. The inflow of funds may take some time, and the short-term price trend may depend on the overall risk sentiment and the markets repricing of the Feds policy.

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