SignalPlus Macro Research Report 20230608: BTC continues to rebound, Nasdaq index faces resistance to interest rate hikes

特邀专栏作者

2023-06-08 15:56 (UTC+8)

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The cryptocurrency market did not react negatively to the allegations of SEC action against Coinbase, and the price rebounded higher, but its impact is expected to last; Volatility fell, and the return of interest rate hikes will pose more headwinds to t

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Source: Deribit

The next day after the SEC took action against Binance, it charged CoinBase with violating securities laws, but the cryptocurrency market did not react negatively to this. As of today's options delivery, 24 HBTC rebounded by 4.34%, with a maximum amplitude of 8.05%. Skew has also risen all the way back to positive territory. Under the double blessing of strong realized volatility and next week's FOMC event, the short-term IV continued to rise, while the long-term still declined, and the volatility surface became more inclined. The monte iv for BTC and ETH is up 1.71% and 1.1%, respectively, while the 3m forward is down 1.31% and 0.35%, respectively.

Data Source: Deribit

With the price fluctuations in these two days, the term spread (Future vs Perp) showed a strong positive correlation with the index price. On 30 JUN 23, the Future Yield returned to 2.61% from the lowest point of 0.313% of yesterday’s sharp drop, and the rest of the terms also had callbacks .

Source: Deribit Block Trade

In terms of large transactions, the Top Trade of BTC in the past 24 hours was mainly composed of Long Call Spread, a total of 2550 Bull Call Spread (mainly at the end of June), and 1263 Bull Diagonal Call Spread (forward) traded on Deribit. For ETH, there were 30,000 calls with a spread of 2,000 vs 2,500 at the end of August, and a total of 9,000 Short Strangles at 1,500-2,000 at the end of December.

Notable events next week:
US CPI (Tuesday 20:30, UTC+8),
US PPI (Wednesday 20:30, UTC+8),

FOMC (Thursday 02:00, UTC+8)Yesterday, in addition to another set posted in the morningVery weak China trade data (exports down 7.5% YoY vs -1.8% expected)

, U.S. markets were expecting another very quiet session until the Bank of Canada surprises with a rate hike, which many believe could signal the same predicament the FOMC is currently facing.The Bank of Canada's rate hike action is noteworthy as it was the first and only G-7 central bank to pause tightening early (for about 5 months), but has now abandoned this stance and raised rates by 25bps to 4.75%, with only a 20% chance of a rate hike ahead of the meeting, the move caught traders completely off guard and sent 2-year Canadian bond yields surging 16 basis points on the day (up 38 basis points in June), the Bank of Canada said. officials admit theirMonetary policy "has not been restrictive enough" to bring inflation back to the 2% target, and "excess demand persists, with core inflation holding steady at a strong 3.5-4% level, raising concerns that inflation may continue to run above target worth worrying”, in addition, the central bank also"The re-heating of the housing market is also of particular concern"

, which echoed the concerns of the Reserve Bank of Australia, which also resumed raising interest rates early on Tuesday.Statement from the Bank of CanadaEchoing some of the biggest fears of central banks this cycle, namely a rebound in inflation following a pause in monetary tightening

, we also believe that the current environment is different from all past rate hike cycles, rare pent-up systemic liquidity, deteriorating geopolitical relations and supply chains, widening global wealth gap, employment in all developed markets Market tightness, coupled with the post-pandemic national reshoring policy (bringing higher manufacturing costs), means that the fight against inflation will be a protracted battle, and we still firmly believe that the Fed will not start cutting interest rates anytime soon.In equities, unexpected upward pressure on yields and a recent strong risk rally have prompted manyProfessional managers shift positions from big tech stocks to cheaper and relatively underperforming sectors, such as energy, real estate and small caps (Russell), etc. Although the overall SPX index fell only slightly by 0.4%, the shift in sector allocation is obvious and considerable, and the return of interest rates will pose more resistance to technology stocks / Nasdaq index ,。

We expect investors to continue to be active in equities, but with more defensive portfolio choices

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Cryptocurrency prices have stabilized amid all the SEC action, though the impact is expected to linger, as federal lawsuits are often a powerful deterrent that can effectively dampen mainstream interest. Volatility continues to decline, with weekly options volume (on Deribit) hitting its lowest level so far this year, although futures activity has been more impacted, with options volume still up on a year-over-year basis.
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