SignalPlus Volatility Column (20240612): Rebound on the Battlefield

Tonight's CPI data, FOMC meeting decisions, and the Federal Reserve's outlook on interest rates are undoubtedly the focus of the market. The yield on the 10-year U.S. Treasury bond has slightly retreated to around 4.40%. The price of BTC continues to show a high correlation, rebounding at the support level of $66,000, recovering half of yesterday's losses and rising to below $68,000.

Source: Investing

Source: TradingView

In terms of options, the front-end IV has surged significantly as U.S. economic events approach, while the long-end has also been slightly adjusted upwards. In trading, with prices rebounding, a low Vol Skew, and a sharp rise in IV, the front-end did not continue the buying flow for puts yesterday. Instead, a large number of bullish strategies were established, with notable BTC positions being the 13 JUN 68000 vs 69500 Call Spread (1287 BTC per leg) and the 28 JUN 65000 vs 75000 Risky (450 BTC per leg). On the other hand, the president of The ETF Store expects the ETH Spot ETF S-1 filing to be approved before the end of June, and the overall buying ratio of ETH call options has also significantly increased, with the 25 dRR rising above zero, approaching the highest value in the past three months. Additionally, despite the overall upward trend in IV, the ETH 28 JUN 24 IV has slightly decreased, likely driven by several large Short Straddle strategies.

Source: Deribit (as of 12 JUN 16:00 UTC+8)

Source: SignalPlus, the front-end IV surged before the release of major U.S. economic data

Source: SignalPlus, ETH Vol Skew has significantly increased

Data Source: Deribit, overall distribution of ETH trading

Data Source: Deribit, overall distribution of BTC trading

Source: Deribit Block Trade

Source: Deribit Block Trade