SignalPlus Volatility Column (20240711): Beware of Macroeconomic Data

On Tuesday, Federal Reserve Chairman Powell delivered a speech affirming the Fed's efforts and effectiveness in reducing inflation by cooling the labor market in the past. He stated that the labor market is no longer the cause of inflation. However, on the other hand, the audience could sense that his overall wording was quite cautious this time, without providing clear guidance on policy direction. From the market's reaction, both the S&P and Nasdaq have been eager to reach new highs over the past two days, while U.S. Treasury yields have fluctuated slightly, possibly waiting for tonight's CPI data for direction. If the data meets expectations (3.1%), it could confirm that inflation is indeed moving towards the Fed's target of 2%, and also support a rate cut in September.

Source: SignalPlus, Economic Calendar

Risk markets, including digital currencies, are highly focused on the data releases over the next two days. From the options data, the overall IV level represented by the mid-to-late term is gradually decreasing, especially for ETH, which is down by 2-3% compared to the previous day; however, the end-date options remain at high levels, reflecting traders' speculation on this macro data.

Source: SignalPlus

Source: Deribit (as of 11 JUL 16:00 UTC+8)

From a trading perspective, a recent characteristic is the significant increase in the P/C Ratio, which has basically maintained around 1:1. For example, a large number of puts were sold on ETH for 19 JUL 24, and the Sell Put Spread on 26 JUL 24 has also become a market focus, explaining the return of ETH's front-end Vol Skew. BTC, on the other hand, has seen both Sell Call Spread and Sell Put Spread, indicating a relatively cautious outlook on short-term volatility.

Data Source: Deribit, overall distribution of ETH trading; SignalPlus, ETH 25 dRR

Data Source: Deribit, overall distribution of BTC trading

Source: Deribit Block Trade

Source: Deribit Block Trade