SignalPlus波动率专栏(20240227)：BTC暴涨10%达到56000美元

SignalPlus

特邀专栏作者

2024-02-27 19:25 (UTC+8)

This article is about 658 words, reading the full article takes about 1 minutes

BTC的拉盘行情推动Vol Curve走平上行，整体水平达到55%-60%左右，与ETH的差距明显缩小，但观察到Vol Skew除了在Weekly内有所抬升以外并没有其他显著变化。

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BTC的拉盘行情推动Vol Curve走平上行，整体水平达到55%-60%左右，与ETH的差距明显缩小，但观察到Vol Skew除了在Weekly内有所抬升以外并没有其他显著变化。

Yesterday (26 FEB), the scale of corporate bond issuance in the United States in February reached $153 billion, surpassing last year's record of $150.9 billion set in February. This may be an opportunity for traders to buy high-yield securities before the Fed cuts interest rates. The yield on 10-year U.S. Treasury bonds briefly rose to 4.3% and then fell, now reported at 4.271%, while the yield on 2-year bonds is 4.691%. As for U.S. stocks, the three major indices fell slightly, while cryptocurrency concept stocks rose sharply, with Coinbase and MicroStrategy both up about 16%. The main reason for this was MicroStrategy's announcement of a $150 million increase in its BTC holdings, which once again boosted confidence in the cryptocurrency market and caused BTC to surge to 56,027.26 (+9%), also pushing ETH above the 3,200 level (up 4% for the day).

Source: SignalPlus, Economic Calendar

Source: Binance & TradingView, BTC surged to 56000

In terms of options, the BTC rally pushed the Vol Curve to flatten and rise, with an overall level of about 55%-60%, narrowing the gap with ETH. However, it was observed that Vol Skew showed no significant changes except for a rise within the Weekly. From the trading perspective, a large number of 54000/52500/52000 Put options were sold, along with a significant number of profit-taking bullish ITM orders, collectively suppressing the Vol Premium on that side. Mid-to-long term transactions are represented by 29 MAR, with a large number of OTM options being bought on both wings, thus not affecting the Vol Skew while raising the overall volatility.

In terms of ETH, at the end of March, there was a roll strategy represented by Sell 3000/3100 Buy 3400 Call, and a wide range of exercise prices with 3200 vs 2500 PutSpread being sold (4000 ETH), demonstrating the confidence of traders in the market rally guided by the expectation of large capital inflows. In addition, in other expiry dates in March, there was an overall performance of Buy Ratio Call Spread and Buy Put Flow, leading to a decrease in the Vol Skew of ETH during this expiry period.

Source: Deribit (As of 27 FEB 16:00 UTC+8)

Source: SignalPlus, BTC surge drives IV to flatten and rise

Source: SignalPlus, changes in Vol Skew in the past 24 hours

Data Source: Deribit, BTC trading distribution

Data Source: Deribit, ETH Trading Distribution

Source: Deribit Block Trade

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