SignalPlus Volatility Column (20240403): Prices rebounded slightly, and option risk sentiment warmed up
Following Chairman Powell’s speech, the Fed’s Daley and Mester yesterday (2 APR) also tried to withdraw any expectations of imminent interest rate cuts. Daley mentioned that the three rate cuts currently widely expected by the market are baselines but cannot be guaranteed. , also said continued rise in oil prices would become a problem. The ten-year U.S. Treasury yield once exceeded 4.4% and then fell back to 4.365%, while the two-year yield is still fluctuating above 4.7%. The three major U.S. stock indexes all closed down around -1% due to the risk aversion triggered by this, which was also dragged down by Teslas sharp decline (-4.9%) due to its poor first-quarter earnings report.
Source: SignalPlus,Economic Calendar; this week will release U.S. non-farm employment index, hourly wages and other data
Source: SignalPlus & TradingView
In terms of digital currency, the price of BTC rebounded slightly around US$65,000, option volatility fell in parallel, and risk sentiment recovered. In the past day, BTC saw a large number of put option sales at the two levels of 64,000 and 60,000. At the same time, at the end of April, Later, call options with strike prices above 70,000 appeared again. In terms of ETH, the 8500 group 26 APR 24 2600 vs 3100 sell put spread has become the focus of the market, and there are also a large number of bullish strategy transactions.
Source: Deribit (as of 3 APR 16:00 UTC+8)
Source: SignalPlus, ATM Vol
Source: SignalPlus, Vol Skew
Data Source: Deribit, ETH transaction distribution
Data Source: Deribit, BTC transaction distribution
Source: Deribit Block Trade
Source: Deribit Block Trade
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