SignalPlus Volatility Column (20240516): Macroeconomic Factors Favorable, BTC Returns to 66000

Yesterday (15 MAY 24) saw the release of significant economic data. In the context of three consecutive inflation data exceeding expectations in the past few days, the U.S. CPI index was roughly in line with expectations; retail data unexpectedly remained flat, continuing the trend of weak consumer data recently. Although the current level and momentum of inflation are still far above the Federal Reserve's target, these two pieces of data somewhat alleviated market concerns about a renewed acceleration in prices, restoring market confidence in a potential rate cut by the Fed in September. U.S. Treasury yields fell in the short term, and the three major U.S. stock indices all rose by about 1%, reaching historic highs.

Source: SignalPlus, Economic Calendar

Source: Investing

In terms of digital currencies, boosted by the soft U.S. economic data, BTC prices surged past the 66,000 mark, leading to celebrations in the community. The recent inflow into BTC Spot ETF has also been relatively healthy. Although IBIT no longer shows growth, the total inflow yesterday reached 303 $m, mainly contributed by FBTC and BITB. On the other hand, as seen in the comparison chart below, ETH's performance has been relatively poor in this round of market, gaining only half of BTC's increase in the past 24 hours, oscillating back around the 3,000 USD mark.

Source: TradingView

Source: Farside Investors

In the options market, the implied volatility levels of BTC and ETH have shown starkly different changes. The main change for BTC is reflected in the upward movement of mid-to-long-term IV, with yesterday's large trades mainly concentrated in the mid-to-long term. The largest single trade was a Long Straddle of 277.5 BTC per leg betting on volatility at the end of June, along with a diagonal spread selling May calls and buying June calls. ETH's front-end IV has dropped significantly, attracting a large trade of 19,450 ETH per leg in a Buy 17 MAY vs Sell 24 MAY transaction. At the same time, there are also many bullish options being established on the May-end options chain. Despite ETH's relatively poor recent performance, some traders are still betting on its upcoming upward potential.

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

Source: SignalPlus

Data Source: Deribit, overall distribution of ETH trades

Data Source: Deribit, overall distribution of BTC trades

Source: Deribit Block Trade

Source: Deribit Block Trade