SignalPlus Volatility Column (20240318): Volatility continues
Last Friday (14 MAR), the U.S. economic data was slightly weak. The New York Fed manufacturing index was significantly lower than expected (recorded -20.9, expected -7), and the University of Michigan consumer confidence index also declined compared with before. In terms of U.S. stocks, the market The performance was dominated by risk reallocation and delta hedging caused by large option expirations, with technology stocks leading the decline, closing -0.5% ~ -1% lower. This week will usher in the FOMC meeting. It is expected that Chairman Powell’s response to the recent higher-than-expected inflation performance and loose financial conditions will be heard during the question and answer session. In addition, dozens of central banks including Japan/UK/Australia will participate in the meeting. The market generally expects major central banks to maintain a dovish stance on monetary policy decisions, and the Bank of Japan may end its negative interest rate policy at the meeting.
Source: SignalPlus, Economic Calendar
Source: Binance TradingView, BTC ETH trend comparison
Digital currencies experienced a turbulent weekend. The price of BTC once fell close to the $65,000 mark and then gradually recovered its losses and returned to around 68,000. It closed at 68196.83 (+4.29%) today, and ETH was at 3626 (+4.84%). In terms of options, the implied volatility has fallen from the high point as the price rebounded, and the overall level is about 75%; the Vol Skew level is low, and the term pattern is steep. In terms of transactions, the price fluctuation caused traders to repurchase BTC 22 MAR 24-64000-P and 29 MAR 24-70000-P, releasing a large amount of short-term margin; on the other hand, it is observed from the above figure that ETH has recently The trend is slightly weaker than that of BTC. The triangular spread strategy represented by SELL ETH-26 APR 24-4500-C Vs BUY ETH-29 MAR 24-3400-C has become a hot spot for bulk trading, betting on the correlation in the short term. return.
Source: Deribit (as of 18 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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