SignalPlus Volatility Column (20240325): Bullish Options Sold Off at the End of March

Last Friday, Atlanta Fed President Bostic delivered a speech, stating that he expects only one rate cut in 2024, which will occur later this year. He mentioned that he is "less confident" about inflation continuing to decline towards the 2% target compared to December last year. The market began to consider the possibility that the Fed would cut rates later, leading to a continued strengthening of the dollar index, which is currently at 104.33. The ten-year U.S. Treasury yield fell slightly below 4.2% and then rebounded to 4.235%, while the two-year yield fluctuated slightly above 4.6%, currently at 4.621%. This week, the market will focus on the new round of PCE data to be released in the U.S. on Friday, which will reveal the recent inflation trajectory. Source: SignalPlus, Economic Calendar, the US PCE data is coming Source: Binance \& TradingView

In terms of digital currencies, the price of BTC rebounded from 63000 to around 67000, but has not yet broken through the fluctuation range of the past week. At the end of March, there was a large sell-off of call options, and a similar situation can be seen with ETH. Meanwhile, the implied volatility (IV) of both cryptocurrencies has decreased at the beginning of April, forming a local IV low point.

On the other hand, buying April 68000 \& 60000 put options has become a market hotspot for BTC in the past 24 hours; however, for ETH, bullish strategies for April have become the main theme in the past day, with transactions concentrated around the 3800/3900 strike price. Source: Deribit (as of 25 MAR 16:00 UTC+8) Source: SignalPlus Source: SignalPlus Data Source: Deribit, ETH trading distribution Data Source: Deribit, BTC trading distribution Source: Deribit Block Trade Source: Deribit Block Trade