SignalPlus Volatility Column (20240423): US Stocks Rebound, Gold Prices Plummet

Yesterday (22 APR), the risk sentiment in the US stock market rebounded slightly, ending the six-day decline of the SP 500. The market got a breather ahead of Friday's PCE index, a busy earnings week, and the upcoming FOMC meeting. On the other hand, recent poor inflation data has delayed market expectations for the Federal Reserve to shift to an easing policy. US Treasury yields remain high and volatile, forcing global investors to reconsider their anticipated global easing cycle. Some investors are beginning to doubt the European Central Bank's determination to cut rates, and the money market no longer fully digests the expectation of three rate cuts by the ECB by December. Morgan Stanley analysts pointed out in a report, "Compared to the previously more aggressive rate cut path, inflation driven by exchange rates gives us reason to be concerned about the ECB's rate cut actions."

Source: TradingView, SP 500

The premium on gold prices caused by geopolitical conflicts is gradually fading from the market, with spot gold recording its largest single-day drop in two years, continuing its downward trend today.

Source: TradingView, XAUUSD

In the digital currency sector, ETFs continue to see positive inflows, with FBTC inflows exceeding its big brother IBTC for three consecutive days, and outflows from GBTC are also decreasing. Additionally, according to data analysis company Artemix, net inflows of stablecoins have continued for 15 out of 16 weeks this year, with last week's net inflow reaching $3.4 billion, the third highest level in 2024.

Source: Farside Investors; Twitter

In the past day, the price of BTC broke through $66,000 to $67,000 before retracing back to around $66,000.

In options, implied volatility has significantly steepened downward. There were two opposing Iron Condor trades in BTC, with one buying Vol at the end of April and the other selling Vol at the end of May. Additionally, it was noted that a large amount of BTC call options for the end of June were sold off, mainly influenced by two triangular spreads on a large platform, selling the 28 JUN 75000 & 80000 Calls while buying the 27 DEC 80000-C and 27 SEP 90000-C, possibly reflecting uncertainties brought by the US elections.

ETH transactions are relatively concentrated, with large holders buying massive amounts of 3100 Puts at the end of April for protection ahead of the upcoming monthly settlement, while retail investors are taking advantage of the implied volatility not having fully receded, selling OTM Puts on May 3 and 31 to earn premiums.

Source: Deribit (as of 23 APR 16:00 UTC+8)

Source: SignalPlus

Data Source: Deribit, ETH trading distribution

Data Source: Deribit, BTC trading distribution, large sell-off of Calls at the end of June

Source: Deribit Block Trade

Source: Deribit Block Trade