SignalPlus Volatility Column (20231204): BTC is soaring, while U.S. bond yields continue to fall.

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SignalPlus
2 months ago
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Digital currencies have been advancing rapidly. BTC broke through the 40,000 mark and is challenging US$42,000, closing at 41,439.97. ETH also rose, closing at 2,249.81.

SignalPlus Volatility Column (20231204): BTC is soaring, while U.S. bond yields continue to fall.

SignalPlus Volatility Column (20231204): BTC is soaring, while U.S. bond yields continue to fall.

In his speech last Friday, Federal Reserve Chairman Powell pushed back against the markets optimistic expectations for future interest rate cuts, once again reiterated that it is too early to declare victory over inflation, and said that the Federal Open Market Committee plans to keep policy restrictive until it is confirmed that inflation is heading back to 2 % trail of. However, he also pointed out that the current policy tightening efforts are becoming more balanced, and the right approach now is to proceed with caution, carefully consider the development of things, and let the data tell the Fed whether it has done enough. This statement obviously failed to dispel traders bets on interest rate cuts next year, causing U.S. bond yields to fall again. After once falling below the 4.2% mark, the 10-year yield gradually rebounded back to 4.25% before the start of the Asian session. The two-year yield, which is more sensitive to interest rate policy, has plunged to around 4.6% and is currently at 4.606%. The three major U.S. stock indexes rose on the first day of December, with the Nasdaq/SP/Dow closing up 0.55%/0.59%/0.82% respectively.

SignalPlus Volatility Column (20231204): BTC is soaring, while U.S. bond yields continue to fall.

Source: SignalPlus, Economic Calendar

SignalPlus Volatility Column (20231204): BTC is soaring, while U.S. bond yields continue to fall.

Source: Binance & TradingView

Digital currencies have been advancing rapidly. BTC broke through the 40,000 mark and is challenging US$42,000, closing at 41439.97 (+ 4.96%). ETH rose together, closing at 2249.81 (+ 3.96%). Boosted by this, the mid- and front-end implied volatility rose sharply, the surface steepened sharply, and formed a local low at the end of the year (29 DEC 23).

In terms of trading, BTC 40000/42000 C suffered a large number of liquidation profits at the end of the year, and OI decreased by 1.9 K/1.17 K BTC respectively, including the Sell 29 DEC 42000 C vs Buy 28 JUN 24 60000 C triangle spread strategy on the array bulk platform. In addition, the bullish strategies in different directions in each term are relatively balanced. Regarding the changes in Vol Skew, we also observe that the increase of BTC is not as significant as that of ETH. The sentiment of buying Call on ETH is hot, mainly concentrated around 2500/2600, among which the OI of 29 DEC 23-2500-C gained nearly 10 K ETH due to its higher net buying volume. The trading volume of the bulk strategy was relatively flat. The largest group of 29 DEC Bear Call Spread (4125 ETH per leg) sold ITM’s 2200-C and rolled it to a high of 3000, continuing to be bullish on the market outlook.

SignalPlus Volatility Column (20231204): BTC is soaring, while U.S. bond yields continue to fall.

Source: Deribit (as of 4 DEC 16:00 UTC+8)

SignalPlus Volatility Column (20231204): BTC is soaring, while U.S. bond yields continue to fall.

Source: SignalPlus

SignalPlus Volatility Column (20231204): BTC is soaring, while U.S. bond yields continue to fall.

Source: SignalPlus

SignalPlus Volatility Column (20231204): BTC is soaring, while U.S. bond yields continue to fall.

Source: Deribit Block Trade

SignalPlus Volatility Column (20231204): BTC is soaring, while U.S. bond yields continue to fall.

Source: Deribit Block Trade

SignalPlus Volatility Column (20231204): BTC is soaring, while U.S. bond yields continue to fall.

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