SignalPlus波动率专栏(20240201)：美债过山车，数字货币承压下跌
Yesterday (31 JAN) the Federal Reserve held its first FOMC meeting of the new year and announced that it would keep the current interest rates unchanged, in line with market expectations. In the following interviews, Federal Reserve officials issued a hawkish stance, believing that inflation can continue to move towards 2%. More It is confident that it will not cut interest rates before, and deleted the wording possible further tightening of policy in the statement. Chairman Powell later clearly mentioned that an interest rate cut in March is unlikely, which is seen as the Feds growing concern for the market. A direct denial of the expectation of easing policy, the current swap markets interest rate cut expectations for March have dropped to 36%.
In terms of U.S. Treasuries, although the ADP employment growth that was less than expected (recorded 107,000, expected 145,000) and the labor cost index that was slightly lower than expected brought a decline in yields, the hawkish remarks during the FOMC meeting promoted Yields jumped again, but on the other hand, the U.S. Treasury Department hinted that it is unlikely to increase the issuance scale before next year, boosting market demand for U.S. debt, causing yields to fall again. The current two-year/ten-year period respectively It is 4.231%/3.942%. The three major U.S. stock indexes ended under pressure, with the Dow/SP/Nasdaq falling 0.83%/1.6%/2.2% respectively. They gave up a full weeks worth of gains in just a few minutes and recorded their largest single-day decline this year.
Source: SignalPlus, Economic Calendar
Source: Binance & TradingView
As risk assets, digital currencies are also under pressure. BTC fell to around $42,000, and ETH was around 2,270. The large proportion of buying and bullish strategy transactions stimulated by the consecutive rises in the past few days also lost enthusiasm today. The market in the past 24 hours The trading volume fell, and the February Put Spread strategy became the focus of the market yesterday. The Vol Skew, which had just risen in the middle and front end, returned to near zero. At the same time, the overall volatility level of BTC/ETH also gradually fell after the end of the FOMC. Approximately 3-4% Vol.
Source: Deribit (as of 31 JAN 16:00 UTC+8)
Source: SignalPlus
Data Source: Deribit
Source: SignalPlus
Source: Deribit Block Trade
Source: Deribit Block Trade
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