SignalPlus Vol Commentary (16 Apr 2024）
Yesterday’s (15APR) retail data in the US showed strong performance, with a month-on-month growth rate of 0.7%, significantly surpassing expectations of 0.4%. The previous figure was also revised upwards from 0.6% to 0.9%. This has further postponed market expectations for a rate cut by the Federal Reserve. The probabilities of no rate cuts in June and August are now 80% and 54% respectively. US bond yields are gradually rising, with the two-year and ten-year yields at 4.946% and 4.655% respectively. Under pressure, US stocks declined, with the Dow Jones, S&P, and Nasdaq falling by 0.65%, 1.2%, and 1.79% respectively.
Amid escalating tensions in the Middle East and the repeated postponement of US rate cut expectations, the cryptocurrency market is oscillating at low levels in a climate of risk aversion. BTC experienced a brief rebound following the approval of ETFs in Hong Kong but then declined again, breaking the crucial support level of $62,000 several times.
From the data perspective, this downturn was primarily triggered by liquidating of longing futures and stop-losses being hit, with funding rates returning to relatively neutral levels (even reaching negative values). Looking at the bright side, this deleveraging operation has put BTC’s overall position (compared to early March) into a relatively healthy state.
On the other hand, the halving this week has a greater direct impact on BTC prices. According to reports from Bitfinex, a large number of BTC holders on centralized exchanges have chosen to exit recently, and the number of BTC held in inactive addresses for over a year has also decreased to a new low in nearly 18 months. This reveals the behavior of long-term holders (LTHs) reducing positions or continuously moving holdings from exchanges elsewhere in recent times. At the same time, short-term holders (STHs) are observed absorbing the positions they sell. If the flow of STHs continues, the price of the coin may continue to have upward potential.
In terms of options, the front-end Vol Skew has dropped to its lowest point in the past three months. Long Put positions have been established at numerous significant striking prices for BTC and ETH in April. Meanwhile, under such steep IV Surface, the selling pressure of front-end bullish options for BTC remains strong. Only a few sell put spreads have been transacted below the relatively distant $60,000 mark. The bullish sentiment in the market has been thoroughly suppressed by the tense atmosphere of risk aversion in these two days.
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