SignalPlus Vol Commentary (09 Apr 2024)
Yesterday, the traditional market was relatively calm, with the three major U.S. stock indexes closing flat. However, a large volume of important macroeconomic data will be released over the next week, making Wednesday’s CPI a focal point for traders focused on U.S. Treasuries. In the past few days, bond market yields have risen amid unexpected inflation data and hawkish statements from Federal Reserve officials, gradually shifting market expectations for future interest rate policies from an optimistic view of “three rate cuts” and “a 50 basis point cut” to a more cautious stance of “higher interest rates may persist for a longer period.”
In terms of digital currency, BTC challenged its historical high again after returning to the $70,000 mark, reversing at around $73,000 and pulling back to near $70k. According to data provided by Farside, there was a significant net outflow (-$223.8M) from BTC ETFs for the first time in the past day, mainly due to a sudden decrease in buying flows from IBIT and FBTC, unable to offset the outflow of over $300M from GBTC in a single day. This may have been one of the negative factors affecting the continuation of BTC’s price increase yesterday.
In other areas where market sentiment can be observed, we noticed that after a significant liquidation of BTC futures long positions with leverage in the previous week, the funding rate levels also saw a notable decline. On the other hand, the short-term Vol Skew reflected in the options market gradually retreated above the zero axis over the past three days, with the front-end implied volatility sharply decreasing, and the curve steepening. Various sentiments seem to indicate a trend towards cooling off.
From a trading perspective, the recent difference between IV (Implied Volatility) and RV (Realized Volatility) has attracted trades betting on short-term bearish volatility due to the Volatility Premium. There has been a significant sell-off of ETH’s Put at 3400 for this week. As for BTC, this viewpoint is more often realized through selling Put/Call Spreads, which protects against extreme profit and loss scenarios. Additionally, a notable net sell-off of April end 75000-C indicates skepticism about BTC’s ability to break historical highs this month. However, in the long term, BTC still witnessed substantial trades in deep OTM (Out of The Money) bullish options with strike prices reaching up to 100K/200K USD.
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