SignalPlus Volatility Column: Month-End Options Settlement, Slight Pullback in Digital Currencies
Today marks the delivery date for the end of February options/futures, releasing a large amount of margin that was locked during this round of rising market. BTC/ETH prices have seen a slight adjustment, closing at 51000 (-1.6%)/2933 (-1.8%).
Yesterday (22FEB), the U.S. economic data showed strong performance, and Federal Reserve officials continued to pour cold water on the recent expectations for interest rate cuts: the number of initial jobless claims recorded 201,000, lower than the expected 218,000, and the Markit Manufacturing PMI unexpectedly rose to 51.5, above the expected 50.5; Philadelphia Fed President Harker warned that the biggest risk is cutting rates too early, and there is no urgency for a rate cut at this time; Fed's Jefferson also expressed concerns that overly accommodative policies could lead to a reversal or stagnation of inflation, suggesting that a rate cut later this year might be appropriate. As a result, U.S. Treasury yields gradually rose, with the two-year/ten-year yields reported at 4.739%/4.343%. The three major U.S. stock indices rose, boosted by Nvidia's better-than-expected earnings report, with the Dow/S&P/Nasdaq closing up 1.18%/2.11%/2.96%.
Source: SignalPlus, Economic Calendar 
Source: Binance & TradingView, ETH once again pulled back from the 3000 point level
In the cryptocurrency sector, today marks the end of February options/futures expiration day, releasing a large amount of margin locked in this round of upward trends, leading to slight pullbacks in BTC/ETH prices, closing at 51,000 (-1.6%)/2,933 (-1.8%).
In terms of options, the implied volatility curve has steepened downward, with ETH's Vol Premium relative to BTC remaining unchanged. From a trading perspective, BTC transactions were concentrated on 1MAR/29MAR, with a significant increase in the proportion of put options traded, mainly consisting of the 1MAR 50,000/49,000 Long Put Spread and two sets of disc-style put spread strategies for 29MAR. The attached chart at the end of the text shows the profit and loss changes for the two sets of strategies. Most ETH transactions were also concentrated in March, with the most noticeable net inflows being the 3100/3200 call buys and the 3000 put buys.
Source: Deribit (as of 23FEB 16:00 UTC+8) 
Source: SignalPlus, implied volatility steepens downward 
Data Source: Deribit, in the past day, BTC transactions were concentrated on 1MAR/29MAR 
Source: SignalPlus, Short 48000/43000/38000 PutFly profit and loss changes; Long 54000/50000/46000 PutFly profit and loss changes 
Source: Deribit Block Trade 
Source: Deribit Block Trade 
