SignalPlus Volatility Column (20240410): The oscillation range shows a tendency to narrow, with a large number of bullish options sold for BTC at the end of April

On the eve of the U.S. CPI data release, the ten-year yield retreated from a high of 4.40% to around 4.36%, while the two-year yield is currently at 4.741%. Investors are focusing on the upcoming Federal Reserve policy meeting minutes and key inflation data to track new clues regarding the timing and magnitude of interest rate cuts.

Source: SignalPlus, Economic Calendar

Source: SignalPlus & TradingView, with a trend of narrowing trading range

In the cryptocurrency sector, yesterday's IBIT ETF buying flow recovered, balancing out with the outflow from GBTC; in terms of coin prices, BTC stabilized below 70,000, showing a trend of narrowing trading range. In options, the implied volatility for April decreased by 3-4% Vol. From trading observations, there was exceptionally strong selling pressure for BTC options expiring at the end of April, mostly concentrated at key levels such as 75,000/80,000/100,000 USD, causing a significant skew in the front-end Vol. The ETH 19 ARP 24 call option showed a Seagull Flow, indicating a relatively cautious outlook on upward volatility.

Source: Deribit (as of 10 APR 16:00 UTC+8)

Source: SignalPlus, ATM Vol

Source: SignalPlus, Vol Skew

Data Source: Deribit, ETH 19 APR 24 shows Seagull Flow; 28 JUN 24 is a 3000-2500 Long Put Spread; 31 MAY 24 is Long Calls at 4000 & 4100

Data Source: Deribit, BTC trading distribution shows a large number of bullish options sold at the end of April

Source: Deribit Block Trade

Source: Deribit Block Trade