SignalPlus Volatility Column: Challenging Historical Highs
In terms of digital currency, BTC continues to soar, reaching a peak of $64,300 early this morning before rapidly retracting below $60,000, triggering a massive long and short squeeze. Subsequently, the price continued to rise throughout the day, challenging the historical high once again.
Yesterday (28 FEB), the Federal Reserve revised last year's fourth-quarter GDP growth down from 3.3% to 3.2%; Federal Reserve officials made statements that pushed back expectations for a rate cut in the U.S. Collins stated that it is too early to say whether the Federal Reserve will cut rates in May, and that a rate cut later this year would be appropriate; Williams believes that three rate cuts this year are a reasonable option discussed by officials, and the rate cut path does not have to be tied to the dot plot, considering a rate cut later this year. U.S. Treasury yields showed a V-shaped trend, with the ten-year yield returning above 4.3%, currently at 4.315%, while the two-year yield challenged the 4.7% mark, reported at 4.693%. The three major U.S. stock indices collectively declined, with the Dow/S&P/NASDAQ closing down 0.06% / 0.17% / 0.55%.
Source: SignalPlus, Economic Calendar
Source: Binance \& TradingView
Source: Coinglass
In terms of digital currencies, BTC continues to surge, briefly rising to a peak of $64,300 early this morning before rapidly retracting below $60,000, triggering a large-scale long and short squeeze. Subsequently, the price continued to rise during the day, challenging the historical high again.
Regarding options, implied volatility has significantly flattened and increased, reaching the highest point in the past year, with the end-of-period option IV approaching 100%. In terms of trading, high prices and Vol Skew attracted Short Risky trades represented by Buy 58000-P vs Sell 640000-C on 8 MAR; additionally, it was noted that a large number of 80000-C options on 29 MAR were sold, mainly as a hedge leg for (current & cross-period) call spreads. For ETH, there was a net inflow of more buying call options, mainly consisting of 29 MAR 3800/4000 and 8 MAR 3450/3500, optimistic about ETH's upward potential in the future.
Source: Deribit (as of 29 FEB 16:00 UTC+8)
Source: SignalPlus
Data Source: Deribit, BTC trading distribution; 29 MAR 24 trading distribution
Data Source: Deribit, ETH trading distribution; 29 MAR 24 trading distribution
Source: Deribit Block Trade
Source: Deribit Block Trade
