SignalPlus Volatility Column (20240326): Put Option Strategies in a Rising Market

特邀专栏作者

2024-03-26 20:39 (UTC+8)

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Yesterday (MAR 25), market transactions slowed down due to the upcoming holidays, and the US Treasury yield fluctuated slightly. In terms of digital currencies, BTC and ETH rose further after the opening of the US stock market, breaking through the 70,000 and 3,600 mark respectively, breaking away from the recent range of fluctuations, and BTC challenged its historical high again.

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Yesterday (25 MAR) market trading slowed down due to the holiday, and U.S. bond yields fluctuated slightly, with the two-year/ten-year bonds currently at 4.235%/4.591% respectively. The three major U.S. stock indexes closed slightly lower. Digital currency concept stocks led the market with the help of the surge in BTC and ETH. CoinBase and MicroStrategy closed up 9% and 21% respectively.

Source: SignalPlus, Economic Calendar

Source: Binance & TradingView

In terms of digital currencies, BTC and ETH rose further after the opening of US stocks, breaking through the 70,000 and 3,600 levels respectively, getting rid of the recent shock range, and BTC once again challenged the historical high. In terms of options, ETH IV gradually fell after breaking through 3600. A large number of long put spread/ratio put spread in March and April became a hot topic, and the profits brought by this wave of rise were held at a relatively small cost. At the same time, 3750 Strike at the end of March There is still an obvious net inflow of bought call options above, which raises the front-end Vol Skew; in terms of BTC, the Vol Surface has experienced a slight steepening change with the beginning of April as the fulcrum, and the Long Risky Flow at the end of March has promoted the upward return of Vol Skew. Variety.

Source: Deribit (as of 26 MAR 16:00 UTC+8)

Source: SignalPlus

Source: SignalPlus, front-end Vol Skew returns upward

Data Source: Deribit, ETH transaction distribution

Data Source: Deribit, BTC transaction distribution

Source: Deribit Block Trade

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