SignalPlus波动率专栏(20240214)：CPI数据令人失望，BTC大涨迈向5W2
Yesterday (13 Feb), high housing prices put pressure on inflation. The core CPI index rose 0.4% month-on-month, exceeding market expectations. The swap market priced in the Feds interest rate cut being postponed to July. U.S. bond yields jumped overall, with the two-year/ten-year yields exceeding 4.6%/4.3% respectively, which strongly suppressed the rising risk sentiment in the U.S. stock market in the past few days. Interest rate-sensitive sectors were sold off by investors, and the SPX index It dropped from a record high close to 5050 points to 4953.17 (-1.37% on the day). The Nasdaq and the Dow closed down 1.8%/1.35% on the day. Under this circumstance, this weeks retail sales data and PPI data are crucial and may affect the markets short-term risk sentiment.
Source: SignalPlus, Economic Calendar
Source: Binance & TradingView
In terms of digital currency, the analysis report pointed out that the inflow of funds into 9 BTC spot ETFs other than GBTC has offset the outflow caused by the GBTC sell-off. The price of BTC has also surged by more than 20% in the past week, breaking through several resistance levels one after another. After the closing of options at 16 oclock today, there was another wave of pullback, heading towards the 52,000 mark.
In terms of options, the overall implied volatility shows an upward trend, and as the RV changes, it produces local shocks with large amplitude in the mid-to-front end. Observing the transactions in the past 24 hours, the market did not continue to bet on the upward movement of BTC. On the contrary, when the current RR is at its historical high (in the past three months), we can observe on the bulk platform Go to the Short Risky trade represented by 26 APR Buy 43000 P vs Sell 60000 C. There are also short sell call (proportional) spread transactions. The situation on ETH is relatively optimistic. While a large number of short-term call options were liquidated at profits, some bullish positions were transferred to medium and long-term positions, such as 29 MAR 3000 vs 3500 Call Spread, and 28 JUN 4000 Long Call, with single-leg transactions reaching 5000 ETH.
Source: Deribit (as of 14 FEB 16:00 UTC+8)
Source: SignalPlus
Source: SignalPlus
Data Source: Deribit
Data Source: Deribit
Source: Deribit Block Trade
Source: Deribit Block Trade
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