SignalPlus Volatility Column (20240814): The Night Before CPI

Yesterday (13 Aug), the US July PPI rose by 2.2% year-on-year, lower than expected, and significantly down compared to the previous value. Before today's CPI release, traders increased their bets on the Federal Reserve easing policies. The yield on the 10-year Treasury bond is currently reported at 3.838%, a recent low, while the 2-year yield fell below 4%, reported at 3.941%. US stocks were boosted by this, collectively rising (Dow +1.04%, S&P +1.68%, Nasdaq +2.43%), helping BTC break through 60k (closing at $60,874, +2.75%), and ETH standing above $2,700 (closing at $2,725, +2.75%).

Source: SignalPlus, Economic Calendar

Source: Invensting

With the rise in coin prices, the volatility surface has once again shown a steep change. Specifically, the release of the PPI data dispelled some uncertainties, leading to a significant drop in IV in the mid-front end (especially ETH), while the IV for the end of the month still enjoys a higher Vol Premium due to tonight's CPI data. The long-term IV has slightly increased, and some Top Side buying can still be seen in trading. From the Vol Skew perspective, ETH's RR has been continuously rising. On August 12, Grayscale's ETHE saw its first end of capital outflow, marking an important turning point. Overall, ETFs have also seen positive inflows for two consecutive days, providing support and confidence for ETH's price, allowing it to break through the 2600 and 2700 resistance levels, and challenge 3000 again.

Source: Deribit (as of 14 AUG 16:00 UTC+8)

Source: SignalPlus, ATM

Source: SignalPlus, Vol Skew

Data Source: SignalPlus, Deribit ETH trading overall distribution

Data Source: SignalPlus, Deribit BTC trading overall distribution