SignalPlus Volatility Column (20240315): BTC Dives from Highs

Yesterday (16 MAR), the US PPI index recorded its largest increase since August last year, exceeding market expectations. The number of initial jobless claims was still at a historical low, recording 209,000, lower than expected, and the previous value was revised downwards. to 210,000 people. The swap market reduced bets on the Federal Reserves interest rate cuts, U.S. Treasury yields rose sharply, with the two-year/10-year rates at 4.692%/4.278% respectively, and all three major stock indexes ended lower.

Source: SignalPlus, Economic Calendar

Source: Binance & TradingView

In terms of digital currency, BTC once again staged a high dive, fluctuating sharply and falling by more than 10%. After falling below the 68,500 support level, it once touched the area below $66,000. Implied volatility levels have moved sharply higher overall, with Vol Skew showing a surprising negative reversal. The proportion of large transactions in the past 24 hours was relatively small. At the end of March, ETH 5000-C was sold close to 30,000 contracts. At the same time, the demand to buy Put Spread increased significantly, such as ETH 29 MAR 3500 vs 3300, and BTC 22 MAR 66000 vs 64000.

Source: Deribit (as of 14 MAR 16:00 UTC+8)

Source: SignalPlus

Source: SignalPlus

Data Source: Deribit, ETH transaction distribution

Data Source: Deribit, BTC transaction distribution

Source: Deribit Block Trade

Source: Deribit Block Trade

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