SignalPlus波动率专栏(20240219)：ETH突破2900，本周五2200-P被大量买入

SignalPlus

特邀专栏作者

2024-02-19 19:06 (UTC+8)

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BTC在达到52000附近后已经连续4天停滞不前，ETH则在加密行业预计其ETF将在五月获批的利好传闻中再度上行突破2900点，自此ETH今年的涨幅已经超过BTC约3.8%左右。

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Last Friday, the U.S. PPI rose 0.9% year-on-year and 0.3% month-on-month, both exceeding expectations and weakening the prospect of a rate cut by the Federal Reserve. The swap market lowered the probability of an interest rate cut in May to 34.9%. U.S. bond yields have gradually moved higher in the past two days. Returning to the high point after the CPI index was released in the middle of last week, the current two-year/ten-year yields are 4.644%/4.305% respectively. The three major U.S. stock indexes fell slightly, with the Dow/SP/NASDAQ closing down 0.37%/0.49%/0.82% respectively.

Source: SignalPlus, Economic Calendar

Source: Binance TradingView, ETH price has increased more than BTC since the beginning of the year

In terms of digital currency, BTC has stagnated for 4 consecutive days after reaching around 52,000. ETH has once again risen above 2,900 points amid positive rumors that the crypto industry expects its ETF to be approved in May. Since then, ETH’s increase this year has exceeded BTC is about 3.8%, and the difference in options is more obvious. The overall implied volatility level of ETH reaches more than 60%, the surface is relatively flat, and the middle and front end is 4-9% higher than BTC. Vol; from the slope of Vol Smile, ETH The front-end Call still maintains a high Vol Premium, and the Skew and BTC since March have maintained their historical highs in the past three months.

In terms of trading, BTC transactions were relatively lackluster. It was observed on ETH that traders placed orders to open a full 15,000 2200-P positions on Friday after breaking through 2900, which expired this Friday, with a total cost of 27 ETH (18 bp per contract). This It is just the starting point of this round of rise, and it has also been an important support level in the past three months.

Source: Deribit (as of 19 FEB 16:00 UTC+8)

Source: SignalPlus

Data Source: Deribit, ETH 2200-P opened a single position and bought 15,000 contracts, and the total OI increased by nearly 20,000 contracts.

Data Source: Deribit, BTC showed a flow similar to Long Ratio Call Spread at the end of March

Source: Deribit Block Trade

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