SignalPlus Vol Commentary (11 Jul 2024)
On Tuesday, Federal Reserve Chairman Jerome Powell delivered a speech highlighting the Fed’s success in reducing inflation by cooling the labor market. He noted that the labor market is no longer a driver of inflation. However, his overall tone was cautious, and he did not provide clear guidance on future policy direction. The market reaction has been mixed: the S&P and Nasdaq have been repeatedly hitting new highs over the past two days, while U.S. Treasury yields have seen slight fluctuations, likely in anticipation of tonight’s CPI data. If the CPI data meets expectations (3.1%), it would suggest that inflation is moving towards the Fed’s target of 2%, potentially supporting a rate cut in September.
Risk markets, including digital currencies, are intensely focused on the upcoming data releases over the next two days. According to options data, the overall implied volatility (IV) for mid-to-late-term options is gradually declining, with ETH showing a 2–3% decrease compared to the previous day. However, short-term options remain at high levels, indicating that traders are heavily betting on the impact of this round of macroeconomic data.
In recent trading, there’s been a noticeable increase in the Put/Call (P/C) Ratio, maintaining around 1:1. For instance, a large number of put options were sold on ETH 19JUL24 today, and the Sell Put Spread on 26JUL24 has also become a market focus, which explains the return of ETH front-end Volatility Skew. For BTC, both Sell Call Spread and Sell Put Spread strategies have appeared, indicating a relatively cautious bearish outlook on short-term volatility.
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