SignalPlus波动率专栏(20240228)：BTC挑战6W美元关口
This year, the market's expectations for a rate cut by the Federal Reserve in 2024 were generally around 150 basis points. However, some of these expectations were based on the possibility of the US economy entering a recession due to continuous interest rate hikes by the Federal Reserve. In contrast, numerous data this year have indicated that the US economy remains strong, and the downward trend in inflation has also slowed down somewhat. As a result, the market is gradually adjusting its overly optimistic expectations for rate cuts and is awaiting more new data. Tonight, the Fed's favored inflation indicator PCE will be released at UTC+8 21:30, further revealing the current price pressures. Yesterday (27 FEB), the market was relatively quiet, with the three major US stock indexes showing mixed movements. The S&P and Nasdaq respectively closed up 0.17% and 0.37%, while the Dow Jones closed down 0.25%.
Source: SignalPlus, Economic Calendar
Source: Binance & TradingView
Cryptocurrency-wise, BTC continues its upward momentum challenging the $60,000 mark, while ETH reaches around $3,350. The settlement-driven rally has pushed option IV higher once again, with the front end reaching a high point of 70% Vol. Vol Skew has also significantly increased.
Looking back at the past 24 hours of trading, there has been significant buying activity for BTC front-end $60,000-C, while the post-March expiry mostly consists of Sell $60,000-C bullish price spreads executed by institutional traders, with long leg strike prices distributed at $65,000/$70,000/$75,000. ETH Buy 8 MAR-3000-P has become a market focus, with a single transaction reaching a high of 19,000 ETH.
Source: Deribit (as of 28 FEB 16:00 UTC+8)
Source: SignalPlus
Source: SignalPlus
Data Source: Deribit, BTC Trading Distribution
Data Source: Deribit, ETH Trading Distribution, Buy 8 MAR-3000-P Becomes Market Focus
Source: Deribit Block Trade
Source: Deribit Block Trade
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