SignalPlus Volatility Column (20240402): Bullish Momentum Temporarily Fades

Last Friday, Federal Reserve Chairman Powell delivered a speech after the release of PCE data, changing his previous dovish stance and indicating to the market that there is no urgency to cut interest rates under the current circumstances. Following this, yesterday (1 APR), the U.S. March ISM Manufacturing Index recorded 50.3, exceeding expectations and marking the first expansion since 2022, which weakened market expectations for a Fed rate cut in June (the futures market priced this probability down to 50/50). U.S. Treasury yields surged, with the two-year and ten-year rates reaching 4.70% and 4.35%, respectively, continuing to challenge the dovish narrative.

Source: SignalPlus, Economic Calendar; This week, the U.S. Non-Farm Employment Index and hourly wage data will be released.

Source: SignalPlus \& TradingView

Source: Coinglass

In terms of digital currencies, BTC fell to $66,000 during the Asian trading session, breaking the recent sideways movement around $70,000. However, the funding rates across major exchanges remain at a high level under the overwhelmingly bullish positions. Some analysts suggest that this round of price adjustment may be due to futures long liquidations and stop-loss actions. The upward momentum of cryptocurrencies seems to be weakening, with the Vol Skew on the options market at historical lows (25 dRR is approximately at the 25th percentile over the past three months). In trading, the volume of call options significantly outpaced that of put options in the past day, with ETH's P/C Ratio even reaching a very low point close to 0.2, forming a flow similar to a Sell Call Spread. The selling pressure on BTC in the short term is stronger, with bullish positions shifting towards the longer end.

Source: Deribit (as of 2 APR 16:00 UTC+8)

Source: SignalPlus, ATM Vol

Source: SignalPlus, Vol Skew

Data Source: Deribit, ETH trading distribution, P/C Ratio reaching a very low point close to 0.2

Data Source: Deribit, BTC trading distribution, strong selling pressure in the short term

Source: Deribit Block Trade

Source: Deribit Block Trade