SignalPlus波动率专栏(20240205)：非农远超预期，美债收益率再度上行
Last Friday (2 FEB) US January seasonally adjustedNon-agricultural employment increased by 353,000, and hourly wages increased by 0.6% month-on-month and 4.5% year-on-year, both exceeding market expectations and further proving the strength of the economy.;The swap market once againCuts expectations for rate cut in MarchTo about 14%, U.S. Treasury yieldsOverall short-term pull-up, the ten-year yield quickly returned to above 4.0% and continued its upward momentum in the past two days to challenge the 4.1% mark, and the two-year yield, which is more sensitive to policy, rose to 4.445%; the day after the data was released, Fed Governor Bowman pointed outWage rise worries upward pressure on prices, warns against premature rate cuts, and expressed caution about future changes in policy stance, and even reiterated that ifInflation levels continue to stagnate, she is still willing to raise interest rates.
Source: SignalPlus, Economic Calendar
Source: Binance & TradingView
In terms of digital currency, the BTC price has stayed near the 42,000 to 43,000 range for nearly 9 days. After entering the working day, the front-end rose by about 3% Vol, the curve flattened, and the recent implied volatility stayed near 40% Vol.
In terms of transactions, the transaction volume of ETH on Deribit in the past 24 hours was less than 200 M, mainly concentrated at 29 MAR 2400 2500.Long Call(The trading volume is around 4000/7000 ETH respectively) and the short-term 7/9 FEB 2200 2250 positionShort Put. The total trading volume of BTC is 360 M, and the trading volume is evenly distributed in terms of terms. The proportion of put options has risen linearly to about 50%, forming an option chain.Sell Put Spread combination with 41000 as cutoff point.
Source: Deribit (as of 30 JAN 16:00 UTC+8)
Source: SignalPlus
Source: SignalPlus
Data Source: Deribit
Data Source: Deribit, BTC’s Flow formed a Sell Put Spread combination with 41000 as the cut-off point on the option chain.
Source: Deribit Block Trade
Source: Deribit Block Trade
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