SignalPlus Volatility Column (20240318): Volatile Market Continues

Last Friday (14 MAR), U.S. economic data showed signs of weakness, with the New York Fed manufacturing index significantly below expectations (recorded at -20.9, expected -7), and the University of Michigan consumer confidence index also declined from previous levels; in the U.S. stock market, performance was dominated by risk reallocation and massive options expiration leading to Delta hedging, with tech stocks leading the decline, closing down -0.5% to -1%. This week, the FOMC meeting is expected, where we anticipate hearing Chairman Powell's response to the recent higher-than-expected inflation performance and the loose financial conditions during the Q&A session. Additionally, several central banks, including those from Japan, the UK, and Australia, will be making monetary policy decisions, with the market generally expecting major central banks to maintain a dovish stance, and the Bank of Japan may end its negative interest rate policy at the meeting.

Source: SignalPlus, Economic Calendar

Source: Binance & TradingView, BTC & ETH trend comparison

The cryptocurrency market experienced a turbulent weekend, with BTC price briefly falling close to the $65,000 mark before gradually recovering to around $68,000, closing today at 68196.83 (+4.29%), while ETH closed at 3626 (+4.84%). In terms of options, implied volatility has decreased from its peak as prices rebounded, with an overall level of around 75%; Vol Skew is relatively low, and the term structure is steep. In trading, the price fluctuations led traders to repurchase BTC 22 MAR 24-64000-P and 29 MAR 24-70000-P, releasing a large amount of margin from short positions; on the other hand, as observed in the above chart, ETH's recent performance appears slightly weaker compared to BTC, with the triangular spread strategy represented by SELL ETH-26 APR 24-4500-C vs BUY ETH-29 MAR 24-3400-C becoming a hot topic in block trades, betting on a return to correlation in the short term.

Source: Deribit (as of 18 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