SignalPlus Volatility Column (20240314): BTC fluctuates at high levels, IV falls steeply
The market was relatively calm yesterday. When asked by the media why the White Houses proposal to announce interest rates in the next few years had significantly higher expectations for interest rates in the next few years than a year ago, U.S. Treasury Secretary Yellen said: This reflects the current market reality and interest rates are unlikely. Return to pre-pandemic low levels; while pointing to the fact that the road to normalization of inflation will be bumpy. U.S. bond yields rose slightly, with two-year and ten-year bonds at 4.630%/4.196% respectively. The three major stock indexes were divided into gains and losses, with the Dow rising slightly by 0.1%, and the SP and Nasdaq falling by 0.19%/0.54% respectively.
Source: SignalPlus, Economic Calendar
Source: Binance TradingView, Realized Volatility Contraction
In terms of digital currency, BTC and ETH fluctuated slightly at high points, and the actual volatility showed a shrinking trend. The implied volatility sharply steepened and fell, and the overall level returned to around 70%. Both BTCÐ Put and ETH Call of 15 MAR were significantly affected. of selling. On the other hand, BTC Sell 29 MAR/26 APR Call Spread has become a popular strategy for bulk trading. At the same time, it can be seen that the BTC Vol Skew has clearly declined, forming a local low on the term similar to ETH.
Source: Deribit (as of 14 MAR 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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