SignalPlus波动率专栏(20240409)：ETF大量净流出，BTC挑战新高失败
The traditional market was relatively calm yesterday, with all three major U.S. stock indexes closing flat. However, a large number of important macro data will be released in the next week. For traders focusing on U.S. debt, Wednesdays CPI will be the focus. In the past few days, bond market yields have risen amid unexpected inflation data and hawkish speeches by Federal Reserve officials. The markets expectations for future interest rate policies have gradually shifted from optimistic interest rate cutters of three interest rate cuts to 50 basis points to higher interest rate cuts. Interest rates may be maintained for a longer period of time.”
Source: SignalPlus,Economic Calendar, a busy week ahead with macro data releases
In terms of digital currency, BTC once again challenged the historical high after returning to the $70,000 mark, reversing near 73,000, and pulled back to around 7 W. Judging from the data provided by Farside, the BTC ETF experienced a large net outflow (-223.8 $M) for the first time in the past day. This was mainly due to the sudden decrease in the buying flow of IBIT and FBTC, making it difficult to balance GBTCs single-day exceedance of 300 $M. outflow, this may be one of the negative factors that affected the continued upward trend of BTC price yesterday.
Source: SignalPlus TradingView, BTC failed to challenge all-time highs, and the price fell back to $7W
Source: Farside Investors, BTC ETF experienced large net outflows, mainly due to a sudden decrease in buying flows of IBIT and FBTC
In other places that can reflect market sentiment, we have observed that after the BTC futures leveraged longs suffered a large number of liquidations in the previous week, the funding rate level also fell significantly. On the other hand, the short-term Vol Skew reflected in the options market was in In the past three days, it has gradually pulled back above the zero axis, the front-end implied volatility has dropped significantly, and the curve has steepened. Emotions of all kinds seem to reflect a cooling off.
Source: Coinglass. After the leveraged long positions were liquidated some time ago, the funding rate level has been corrected.
Source: Deribit (as of 3A PR 16:00 UTC+ 8)
Source: SignalPlus,ATM Vol, front-end implied volatility falls again
Source: SignalPlus,Vol Skew, short-term Vol Skew gradually rebounds back to positive
From a trading perspective, the Vol Premium brought about by the recent difference between IV and RV has attracted bearish short-term fluctuation transactions. ETH’s Put of 3400 this week has been heavily sold. In terms of BTC, this view is more driven by Sell Put/ The call spread method is implemented to protect profits and losses in extreme situations. At the same time, a large number of net sales of 75,000-C were observed at the end of April, which may raise doubts about BTCs ability to break through historical highs this month. However, in terms of forwards, BTC still received a lot of large OTM call options transactions, with exercise prices as high as 10W/20W USD.
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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