SignalPlus波动率专栏(20240126)：BTC IV触及近期最低点，ETH买Call不断
Thanks to strong government and personal consumption expenditures as well as growth in inventories and exports, the GDP data released by the United States yesterday (25 JAN) recorded 3.3%, significantly exceeding the expected 2%, increasing the probability of a successful soft landing; in addition, initial requests Unemployment benefits were recorded at 214,000, exceeding the expected 200,000, showing the continued cooling of the U.S. labor market. U.S. bond yields have gradually fallen as a whole, with the two-year/ten-year currently at 4.308%/4.116% respectively. In Europe, the central bank kept interest rates unchanged for the third consecutive time, and Governor Lagarde expressed a dovish turn through a statement. As a result, the 2-year German government bond yield fell sharply by 12 basis points.
Source: SignalPlus, Economic Calendar
Source: SignalPlus & TradingView
Digital currencies continued the narrow range fluctuation trend of the previous day. BTC IV fell by 3% Vol as a whole, hitting the lowest point in the past three months across the board. ETH fell slightly by 0.5%, and was slightly higher than BTC by 1 to 2% Vol. Due to the sluggish market sentiment, option trading volume has gradually declined. In the past 24 hours, the trading volume of BTC/ETH was 760 M/600 M respectively. The proportion of ETH trading has increased significantly, mainly due to the exercise price around 2300-2400 in February and March. The contribution of large-scale buying call options; BTC transactions are relatively balanced, and the game of 40000-P is still the focus of the market, including yesterdays largest customer transaction, selling 200 groups of 40000 vs 42000 Put Spread at the end of this Friday. The position Roll reached the next Friday (2 FEB), continuing to show a defensive stance against the recent selling pressure from various factors such as GBTC.
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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