SignalPlus波动率专栏(20240129)：BTC反弹回到42000，Vol Skew回归
Last Friday, U.S. economic data showed strong performance. Among them, the core overall PCE increased by 0.17% month-on-month in December, and existing home sales recorded one of the strongest monthly increases in history outside the epidemic period. U.S. bond yields were once overall higher, but in the past two days, Giving back most of the gains, the current two-year/ten-year yields are 4.324%/4.099% respectively. This week will be the busiest macro week this year. The FOMC meeting will be held on Wednesday local time in the United States. Although the market has fully priced in the decision not to raise interest rates, it is still optimistic about the data released before the meeting (such as ADP). And the Fed’s comments during the interview are of great concern.
Source: SignalPlus, Economic Calendar
Source: Binance & TradingView
In terms of digital currency, BTC continued to rise after rebounding from below 40,000, and has remained stable near 42,000 since it broke through 42,000 in the short term on Saturday. In terms of options, the ATM Vol before 23 FEB is still relatively flat, and BTC/ETH is around 40% Vol.
From a trading perspective, the price rebound did not stimulate a return in trading volume. The overall market trading volume in the past 24 hours was only about 700 M. The distribution of BTC transactions is relatively evenly distributed on 23 FEB and its previous expiration dates, and shows a positive Risky Flow. At the same time, it can also be observed that the recent 25 dRR has returned from negative values to near 0 values. ETH transactions are concentrated on the triangular spread strategy composed of Buy 24 FEB 2400-C vs Sell 29 MAR 2700-C on the option chain, with a single-leg transaction volume exceeding 13,000 ETH.
Source: Deribit (as of 29 JAN 16:00 UTC+ 8)
Source: SignalPlus
Data Source: Deribit
Source: SignalPlus
Data Source: Deribit
Source: Deribit Block Trade
Source: Deribit Block Trade
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