SignalPlus Volatility Column (20240612): Pre-market Rebound

Tonights CPI data, FOMC meeting decision and the Feds outlook on interest rates are undoubtedly the focus of market attention. The 10-year U.S. Treasury yield has slightly given up its gains to around 4.40%. The BTC price still maintains a high correlation with it, rebounding at the $66,000 support level, recovering half of yesterdays losses and rising to below $68,000.

Source: Investing

Source: TradingView

In terms of options, the front-end IV rose sharply as the US economic event gradually approached, and the far-end was also slightly adjusted upward. In terms of trading, with the price rebound, low Vol Skew and a sharp increase in IV, the front-end did not continue to buy Put Flow yesterday. On the contrary, a large number of bullish strategies were established yesterday. The more representative ones on BTC are 13 JUN 68000 vs 69500 Call Spread (1287 BTC per leg) and 28 JUN 65000 vs 75000 Risky (450 BTC Per leg); on the other hand, the president of The ETF Store expects that the ETH Spot ETF S-1 document will be approved before the end of June, and the overall call option purchase ratio of ETH has also increased significantly. 25 dRR has risen above zero as a whole, close to the highest value of the data in the past three months; in addition, under the overall upward trend of IV, ETH 28 JUN 24 IV has slightly declined, and the main driving factor may be from several large Short Straddle strategies.

Source: Deribit (as of 12 JUN 16: 00 UTC+ 8)

Source: SignalPlus, Front-End IV surges ahead of release of important US economic data

Source: SignalPlus, ETH Vol Skew has risen sharply overall

Data Source: Deribit, overall distribution of ETH transactions

Data Source: Deribit, overall distribution of BTC transactions

Source: Deribit Block Trade

Source: Deribit Block Trade

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