SignalPlus Volatility Column (20240125): Market sentiment is sluggish, ETH bulk bullish
Since the approval of the ETF, the total outflow of GBTC has almost entirely offset the total inflow of the other nine ETFs. The market is still facing the dilemma of short-term capital outflows and a lack of positive incentives. In the past 24 hours, BTC and ETH have fluctuated narrowly around $40,000 and $2,220, respectively, while the front-end implied volatility has steepened.
Yesterday (24 JAN), the preliminary values of the US manufacturing and services PMI for January were both higher than expected, recording 50.3 and 52.9 respectively, while the composite PMI preliminary value reached 52.3, a new high in 7 months. Additionally, the results of the five-year US Treasury auction were not ideal, market risk sentiment improved, and US Treasury yields rose slowly, currently at 4.376% for the two-year and 4.158% for the ten-year. In the US stock market, energy and large tech stocks led the gains again, with the S&P and Nasdaq slightly up by 0.08% and 0.36% respectively, while the Dow closed down by 0.26%.
Source: SignalPlus, Economic Calendar
In terms of digital currencies, since the approval of ETFs, the total outflow of GBTC has almost entirely offset the total inflow of the other nine ETFs. The market is still facing the dilemma of short-term capital outflow and lack of positive incentives. In the past 24 hours, BTC and ETH have fluctuated narrowly around $40,000 and $2,220 respectively, with the front-end implied volatility steepening, dropping by about 3%. Additionally, after the price stabilized, the Vol Skew also rebounded by about 2-3%, but it remains at a low point for the past three months.
From a trading perspective, a large number of bullish strategies have been executed in the mid-to-long term for ETH, with the strike prices for bulls concentrated around 2300-2400. The largest volume was from a Call Spread formed by the 23 FEB 2400 vs 2700 options chain, with individual leg transaction amounts around 26,000 ETH. For BTC, the most notable transaction was a custom strategy, selling 1,500 sets of 23 FEB Strangle while buying 1,000 sets of 26 APR Straddle, forming an inter-period volatility spread trade.
Source: Binance & TradingView
Source: Deribit (as of 24 JAN 16:00 UTC+8)
Source: SignalPlus
Source: SignalPlus
Source: Deribit Block Trade
Source: Deribit Block Trade
