SignalPlus波动率专栏(20240118)：IV加速下行
Yesterday (17 JAN), the US December retail sales data recorded 0.6%, exceeding the expected 0.4%, which once again hit the markets expectations for the Federal Reserve to cut interest rates. US bond yields continued their upward trend, and the 10-year maturity once exceeded the 4.1% mark. It closed at 4.086%, and the two-year period returned to above 4.3%, at 4.327%; as a result, the three major U.S. stock indexes came under pressure and closed down, with the Dow/SP/Nasdaq falling 0.25%/0.56%/0.59% respectively. In addition, the Federal Reserves Beige Book shows that various regions have mentioned signs of cooling in the labor market.
Source: SignalPlus, Economic Calendar
Source: Binance & TradingView
Digital currencies ushered in the fifth day of sideways trading. BTCs maximum intraday amplitude was only about 1%, and the overall implied volatility accelerated downward. ETHs mid-to-front-end plummeted by 8 to 10% Vol, falling to a level comparable to BTC. In terms of trading, BTC’s Call Spread, represented by 23 FEB 24 56000 vs 65000, still occupies the majority of the block space. In addition, in the past 24 hours, 19 JAN 24 and 26 JAN 24 have both completed several long block purchases on 40000-P. The price level of relatively low volatility provided protection for the downward scenario; the proportion of ETH trading volume increased significantly, among which the largest volume was the triangle of buying 29 JAN 24 2550-C and selling 29 MAR 24 2900-C The price difference, the transaction volume of a single leg reaches 25,000 ETH.
Source: Deribit (as of 18 JAN 16:00 UTC+ 8)
Source: SignalPlus
Source: SignalPlus
Source: Deribit Block Trade
Source: Deribit Block Trade
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