SignalPlus波动率专栏(20240410)：震荡区间有缩窄倾向，BTC四月底大量看涨期权卖出

On the eve of the release of U.S. CPI data, the ten-year yield fell from a high of 4.40% to around 4.36%, and the two-year yield is now at 4.741%. Investors are focused on the minutes of the next Federal Reserve policy meeting and key inflation data. New clues tracking the timing and magnitude of rate cuts.

Source: SignalPlus, Economic Calendar

Source: SignalPlus TradingView, the shock range has a narrowing trend

In terms of digital currency, the buying flow of IBIT ETF resumed yesterday, basically equaling the outflow of GBTC; in terms of currency price, BTC maintained stability below 7 W, and the shock range showed a narrowing trend. In terms of options, the implied volatility in April fell by 3-4% Vol. From a trading perspective, the selling pressure on BTC at the end of April was extremely strong in the past day, mostly hitting key water levels such as 75,000/80,000/100,000 US dollars, resulting in front-end Vol. Skew tilts sharply again. A bullish test of ETH 19 ARP 24 presents Seagull Flow, with a relatively cautious approach to bearish upside moves.

Source: Deribit (as of 10 APR 16:00 UTC+8)

Source: SignalPlus, ATM Vol

Source: SignalPlus, Vol Skew

Data Source: Deribit, ETH 19 APR 24 presents Seagull Flow; 28 JUN 24 is 3000-2500 Long Put Spread; 31 MAY 24 is 4000 4100 Long Call

Data Source: Deribit, BTC trading distribution, large number of call options sold at the end of April

Source: Deribit Block Trade

Source: Deribit Block Trade

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