SignalPlus波动率专栏(20240131)：ETH二月底2500C海量买入
Yesterday (30 JAN) US December JOLTs job openings data recorded 9.026 million, beating expectations of 8.75 million and a three-month high. After the data was released, U.S. bond yields surged in the short term. The 10-year bond yield once exceeded 4.10% and then continued to fall and hit the lowest point of the day. It is now at 4.019%. The two-year bond has a similar trend and barely closed higher, now at 4.316%. The three major U.S. stock indexes were mixed, with the Dow closing up 0.35%, the Nasdaq down -0.76%, and the SP unchanged (-0.06%).
Source: SignalPlus, Economic Calendar
Source: Binance & TradingView
In terms of digital currencies, the upward momentum of BTC/ETH prices has weakened after breaking through the US$43,000/US$2,300 level respectively, with slight fluctuations during the day. However, the implied volatility level of options has not been affected by the actual volatility. From a front-end perspective, , the IV of the two major currencies 2 FEB rose again by 3+%Vol, exacerbating the inversion of the curve, which included the uncertainty brought about by the FOMC early Thursday morning. For this meeting, although the market has already fully priced in this meeting There is no expectation of raising interest rates, but we are still paying close attention to the Feds stance on the next policy direction during the interview; in addition, ETHs Vol in other terms has almost increased by about 3% in parallel, and the Vol Skew in the medium and long term has also further increased. , active Long Call transactions can be observed in the transaction, mainly concentrated at the end of February, among which the purchase of 23 FEB 24-2500-C has become the focus of the market with a volume close to 70,000 ETH, which is mainly composed of bulk purchases of Outright Call (including The size of a transaction reaches 30,000 ETH), and there is also an inter-temporal bullish triangle spread represented by Buy 23 FEB Sell 29 MAR. In comparison, BTC transactions are more evenly distributed, and most of them are bullish strategies in the form of Long Call or Call Spread.
Source: Deribit (as of 31 JAN 16:00 UTC+8)
Source: SignalPlus
Data Source: Deribit, ETH transactions concentrated on buying 23 FEB 24-2500-C
Source: SignalPlus
Source: Deribit Block Trade
Source: Deribit Block Trade
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