SignalPlus Volatility Column (20240321): Rebound!
Yesterday (20 MAR), the Federal Reserves interest rate resolution stated that it unanimously agreed to maintain interest rates unchanged, emphasizing the increased confidence in the fall of inflation. The dot plot maintained the expectation of three cumulative interest rate cuts this year, but at least 5 officials reduced the extent of interest rate cuts this year, 2024-2026 The median GDP forecast for the end of the year has been revised upward across the board, and economic activity has been expanding steadily, but the outlook is uncertain. Powell reiterated that policy rates may have reached a peak and will keep interest rates at a higher level for longer if necessary. He also said that a rate cut at some point this year would be appropriate and that significant weakness in the labor force would be a reason to initiate a rate cut. U.S. bond yields gradually declined amid dovish remarks, and the three major stock indexes all rose. The SP closed up 0.89%, and the Dow/Nasdaq closed up 1.03%/1.25% respectively.
Source: SignalPlus, Economic Calendar
Source: Binance & TradingView
Digital currency continued to strengthen after the FOMC, rebounding from the support level of $62,000 to below 67,000. The nervousness in recent days has been released. The front-end implied volatility in options has significantly steepened and fallen, and the sloping volatility surface has finally reversed. , ETHs strong call option buying at the end of March pushed the 25d RR back to near zero. BTC also saw long call option openings at the end of March. At the same time, 387.5 groups of 68,000 Long Straddle were traded at 73% Vol. Note the fluctuations before quarterly delivery.
Source: Deribit (as of 21 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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