SignalPlus宏观分析(20240130)：美国经济数据强劲，SPX持续看涨

If you want to hoard BTC on spot, it is strongly recommended to continue selling put options: sell 38,000 put options at the end of March: the premium is 2.65%. The position of 1 BTC is an income of 1,136 dollars in premium. If you exercise the option, you will buy BTC at 36,864 dollars; if you do not exercise the option, the annualized income will be 16%.

The futures premium (premium) of BTC at the end of the year is 9.2%, which is the annual risk-free basis arbitrage in the current currency circle of 10%.

Last week, there was a net outflow of US$500 million from the currency circle.

Yesterdays economic data was relatively quiet, the most important of which may be the U.S. Treasurys refinancing announcement. In short, the Treasury cut its first-quarter financing estimate by 6.9% to $760 billion, lower than market expectations , helped U.S. bonds rebound slightly, the overall yield curve fell by about 5-6 basis points, and the SPX index broke to a new high.

The Treasurys lower borrowing needs are due to an expected increase in fiscal funding and higher-than-expected cash levels at the start of the new year.

Despite the adjustment in interest rate cut expectations since the beginning of the year, stocks have continued to rise, although the stock/bond correlation continues to decline. Strong economic data coupled with the dovish stance of central banks around the world (rate cuts are only a matter of time) are still driving rising risk sentiment, and the options market has already priced in the rising risk sentiment, with SPX call option skew increasing significantly over the past two weeks, even in small-cap stocks. It also looks like it is about to break out of the 2-year consolidation. Rising bull markets are often the most difficult to trade.

In the field of cryptocurrency, just when GBTCs capital outflows finally showed some signs of slowing down, Blackrocks IBIT is catching up with GBTC step by step in terms of trading volume, and spot prices have rebounded accordingly, with BTC returning to above $43,500.

On the fee front, the price war continues, with Invesco/Galaxy agreeing to cut ETF fees from 39 basis points to 25 basis points, in line with other institutions and well below Greyscales 1.5% fee. TradFi’s entry into the cryptocurrency space means lower fees, lower spreads, and ultimately lower alpha (increased competition)… Let’s hope the window of opportunity doesn’t close too soon.

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