SignalPlus Volatility Column (20240320): Buy Put Spread

特邀专栏作者

2024-03-20 19:55 (UTC+8)

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Digital currencies once again experienced a tough day, with BTC/ETH falling below the $63,000 and $3,300 levels respectively, closing down 62,778 (-2.52%) / 3,198.3 (-4.45%), and implied volatility rising sharply.

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Yesterday (19 MAR), the Bank of Japan raised its benchmark interest rate from -0.1% to 0-0.1%, completing the first interest rate increase in 17 years and announcing the official end of the eight-year era of negative interest rates. In the United States, on the eve of the FOMC meeting, U.S. bond yields fell, with two-year/ten-year bonds now trading at 4.677%/4.280%. The three major stock indexes rose again, with the Nasdaq/SP/Dow closing up 0.39%/0.56% respectively. 0.83%.

Source: SignalPlus, Economic Calendar

Source: Binance & TradingView

The digital currency once again experienced a difficult day. BTC/ETH fell below the 63,000 and 3,300 US dollars respectively, closing down 62,778 (-2.52%) / 3,198.3 (-4.45%). The implied volatility sharply increased, and ETH fell sharply. The weak performance and higher actual volatility created a Vol Premium gap with BTC, and the overall level reached more than 80%. From the perspective of transactions, ETH concentrated in the Flow at the end of March and April, forming a Long Put Spread protection, and at the same time at 3600- There are also a considerable number of call strategies on C; BTC also had a transaction distribution close to Long Put Spread at the end of March. In addition, a large number of call options were sold during this period and moved towards the 70000/100000 position at the end of April. transfer, forming a bullish triangle spread strategy.

Source: Deribit (as of 20 MAR 16:00 UTC+8)

Source: SignalPlus

Data Source: Deribit, ETH transaction distribution

Data Source: Deribit, BTC transaction distribution

Source: Deribit Block Trade

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