SignalPlus Volatility Column (20240320): Buy Put Spread

Yesterday (19 MAR), the Bank of Japan raised the benchmark interest rate from -0.1% to 0--0.1%, marking the first rate hike in 17 years and officially ending the eight-year era of negative interest rates. In the U.S., ahead of the FOMC meeting, U.S. Treasury yields fell, with the two-year/ten-year currently at 4.677% / 4.280%. The three major stock indices rose again, with the Nasdaq/S&P/Dow closing up 0.39% / 0.56% / 0.83%. Source: SignalPlus, Economic Calendar Source: Binance & TradingView

The cryptocurrency market experienced another tough day, with BTC/ETH falling below the $63,000 and $3,300 levels, closing at 62,778 (-2.52%) / 3,198.3 (-4.45%). Implied volatility surged sharply, with ETH showing a Vol Premium gap with BTC due to its weaker performance and higher actual volatility, reaching an overall level of over 80%. In terms of trading, ETH concentrated on forming a Long Put Spread protection for the flows at the end of March and early April, while there was also a considerable amount of buying Call strategies on the 3600-C. BTC also showed a trading distribution close to a Long Put Spread at the end of March; in addition, a large number of bullish options were sold off and shifted towards the 70,000/100,000 positions at the end of April, forming a bullish triangle spread strategy. Source: Deribit (as of 20 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