SignalPlus Volatility Column (20240711): Be careful with macro data

On Tuesday, Federal Reserve Chairman Powell gave a speech in which he affirmed the Feds past efforts and achievements in reducing inflation by cooling the labor market, and said that the labor market is no longer the cause of inflation. But on the other hand, the audience could feel that his overall wording was more rigorous this time, and he did not give clear guidance on the policy direction. Judging from the markets reaction, the SP and Nasdaq have been eager to set new highs in the past two days. U.S. Treasury yields fluctuated slightly, perhaps waiting for instructions from tonights CPI data. If the data meets expectations (3.1%), it can confirm to a certain extent that inflation is indeed moving towards the Feds target of 2%, and it can also provide support for its interest rate cut in September.

Source: SignalPlus, Economic Calendar

Risk markets, including cryptocurrencies, are paying close attention to the data releases today and tomorrow. Judging from the options data, the overall IV level represented by the middle and back ends is gradually declining, especially for ETH, which is 2-3% lower than the previous day; but the end-of-day options are still at a high level, which fully reflects the traders game on this macro data.

Source: SignalPlus

Source: Deribit (as of 11 JUL 16: 00 UTC+ 8)

From the perspective of transactions, a feature of recent transactions is that the P/C Ratio has increased significantly, basically maintaining at around 1: 1, just like today, a large number of Puts were sold on ETH 19 JU L2 4, and the Sell Put Spread on 26 JU L2 4 also became the focus of market attention, explaining the return of the Vol Skew on the front end of ETH. BTC has both Sell Call Spread and Sell Put Spread, which is relatively cautious about short-term fluctuations.

Data Source: Deribit, ETH overall transaction distribution; SignalPlus, ETH 25 dRR

Data Source: Deribit, overall distribution of BTC transactions

Source: Deribit Block Trade

Source: Deribit Block Trade

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