SignalPlus波动率专栏(20240130)：BTC再涨1300点，看涨情绪上升
Yesterday (29 JAN), the U.S. Treasury Department lowered its estimate of net borrowing in the first quarter from $816 billion to $760 billion (-6.9%), which was unexpectedly lower than market expectations. This prompted a rebound in U.S. debt, with long-term bond yields leading the decline. Currently The two-year/ten-year periods were 4.314%/4.061% respectively, which also helped US stocks strengthen in late trading, with the Dow/SP/Nasdaq closing up 0.59%/0.76%/1.1% respectively.
Source: SignalPlus, Economic Calendar
Source: Binance & TradingView
Source: SignalPlus
In terms of digital currency, BTC continued to lead the market upward, closing up 1,300 points during the day and once again returning to above $43,000. The Future APR in the futures market was also boosted by this, basically reaching about 10%. In terms of options, the overall implied volatility of BTC rose slightly by 1-2% Vol; ETH rose by 1.84% from the low at the end of February, and other terms rose slightly by about 0.6%; the overall shape of the ATM Curve remained unchanged, and still maintained a relatively flat front end. The current situation started to rise at the end of February.
Source: Deribit (as of 30 JAN 16:00 UTC+8)
Source: SignalPlus
Looking at it another way, Vol Skew, an important market sentiment indicator, is rising again today. From the transactions in the past 24 hours, we have also observed that ETH transactions concentrated in February showed obvious risk flow, pushing the 25 dRR in the mid-to-front end to reverse; in terms of BTC, some transactions shifted to the mid-to-long term, and a large number of Buying call options is concentrated around 0.2-0.3 Delta of 9 FEB/29 MAR/26 APR, but at the same time, there is also obvious selling pressure at 2 FEB this week, concentrated on the 43000 and 44000 strike prices, which may be stop loss orders or It is a lower expectation for another price breakthrough in the short term.
Source: SignalPlus, Vol Skew rises again
Data Source: Deribit, ETH Risky Flow drives mid-front-end 25 dRR upward
Data Source: Deribit, heavy call buying concentrated around 0.2-0.3 delta at 9 FEB/29 MAR/26 APR
Source: Deribit Block Trade
Source: Deribit Block Trade
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