SignalPlus波动率专栏(20240229)：向历史最高点发起挑战
Yesterday (28 FEB) the Federal Reserve revised down GDP growth in the fourth quarter of last year from 3.3% to 3.2%; Federal Reserve officials made remarks and postponed expectations of a U.S. interest rate cut again. Collins said it was too early to say whether the Federal Reserve would cut interest rates in May. , it is appropriate to cut interest rates later this year; Williams believes that three interest rate cuts during the year are reasonable options after discussions by officials. The path of interest rate cuts does not have to be linked to the dot plot, and an interest rate cut later this year can be considered. U.S. bond yields have shown a V-shaped trend, with the 10-year yield once again returning to above 4.3%, now at 4.315%, and the two-year yield challenging the 4.7% mark, at 4.693%. The three major U.S. stock indexes collectively declined, with the Dow/SP/Nasdaq closing down 0.06%/0.17%/0.55% respectively.
Source: SignalPlus, Economic Calendar
Source: Binance & TradingView
Source: Coinglass
In terms of digital currencies, BTC continues to advance rapidly. It once jumped to a peak of $64,300 in the early morning of this morning and then quickly fell back below 60,000, triggering a large-scale long and short explosion. Then the price continued to rise during the day, challenging the historical high again.
In terms of options, the implied volatility has flatlined and increased significantly, reaching the highest point in the past year, and the option IV at the end of the day is approaching 100%. In terms of transactions, the high price and Vol Skew attracted Short Risky transactions represented by 8 MAR Buy 58000-P vs Sell 640000-C; in addition, it was noted that 80000-C on 29 MAR Tail was sold in large quantities, mainly as a (Current Intertemporal) Achieved by the hedging leg of the call spread. There is more net inflow of buying call options on ETH, mainly composed of 29 MAR 3800/4000 and 8 MAR 3450/3500, which is optimistic about the upside space of ETH in the future.
Source: Deribit (as of 29 FEB 16:00 UTC+8)
Source: SignalPlus
Data Source: Deribit, BTC transaction distribution; 29 MAR 24 transaction distribution
Data Source: Deribit, ETH transaction distribution; 29 MAR 24 transaction distribution
Source: Deribit Block Trade
Source: Deribit Block Trade
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