SignalPlus波动率专栏(20240125)：市场情绪低迷，ETH大宗看涨
Yesterday (24 JAN), the initial values of the US manufacturing and services PMI in January were both higher than expected, recording 50.3 and 52.9 respectively. At the same time, the initial composite PMI value recorded 52.3, a 7-month high. In addition, the five-year U.S. Treasury auction The results are not ideal either. Market risk sentiment has improved and U.S. bond yields have slowly risen. The current two-year/ten-year rates are 4.376%/4.158% respectively. In terms of U.S. stocks, energy and large technology stocks once again led the gains, with the SP and Nasdaq rising slightly by 0.08%/0.36%, while the Dow closed down 0.26%.
Source: SignalPlus, Economic Calendar
In terms of digital currency, since the approval of the ETF, the total outflow of GBTC has almost unilaterally offset the total inflow of the other nine ETFs. The market is still facing the dilemma of short-term capital outflows and lack of positive incentives. In the past 24 hours, BTC and ETH were around 40,000 each. /2220 US dollars fluctuated in a narrow range, with the front-end implied volatility steepening and falling by about 3%. In addition, after the price stabilized, Vol Skew also rebounded by about 2-3%, but it is still at a low in the past three months.
From a trading perspective, there are a large number of bullish strategy transactions in the mid-to-long term of ETH. The exercise prices of long positions are concentrated at 2300-2400. The largest volume is the Call Spread transaction composed of 23 FEB 2400 vs 2700 combinations on the option chain. The single-leg transaction volume All around 26,000 ETH. The most prominent one for BTC is a customized strategy, which involved selling 1,500 groups of 23 FEB Stangle and simultaneously buying 1,000 groups of 26 APR Straddle, forming an intertemporal volatility spread trade.
Source: Binance & TradingView
Source: Deribit (as of 24 JAN 16:00 UTC+ 8)
Source: SignalPlus
Source: SignalPlus
Source: Deribit Block Trade
Source: Deribit Block Trade
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