SignalPlus Vol Commentary (02 Aug 2023)
Yesterday, the number of JOLTs job vacancies in the United States recorded 9.582 million in June, slightly lower than the expected 9.6 million, which is the lowest since April 2021. Goolsbee, the Fed’s big dove, refuted the idea of cutting interest rates, saying that more evidence of easing inflation is needed to end interest rate hikes, and rate cuts will be possible only in the distant future. Atlanta Fed President Bostic expects inflation to slowly fall towards the 2% target, and if the economy develops in line with expectations, he supports keeping interest rates unchanged at the next meeting, but will not cut interest rates until the second half of next year.
In terms of cryptocurrency, the price suffered a little hit yesterday due to the loophole of Curve, a decentralized exchange. However, the price of CRV tokens has returned to slightly below 0.6 today. On the one hand, Justin Sun purchased Curve Token which worth more than 2 million U.S. dollars as support, and promised to provide more help through the liquidity pool on the Tron chain. Another positive news is that MicroStrategy, a technology company holding a large amount of Bitcoin, submitted an application to the SEC, intending to sell $750M of stock to buy Bitcoin. As a result, the price of BTC ushered in a slight rise, and once returned to 30k. The volatility smile has reversed, with a sharp rebound in the 25dRR skewing bullish. The P/C Ratio of options volume also fell significantly.
Thanks to the positive news brought by the giant whale MicroStrategy, the market began to look forward to the inflow of new funds. The implied volatility of BTC rose as a whole, and the front-end generally increased by about 1%+, and an increase of 0.5%-1% could also be seen in the medium and long term. The block trade mainly revolves around 27OCT23, and a total of 2430 call options were bought at 34000/36000/38000, locking in the low skew value. Another 1,400 32000-C were sold to replace the 32000-C at the trough of volatility at 25AUG23, forming a calendar spread strategy.
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ETH performs completely differently. The IV panic brought by the Curve event yesterday has cooled down, and the selling pressure of retail investors almost made short-term IV give up all gains. In terms of block trades, there were also a large number of long-term bearish volatility strategies to open positions. On 27OCT23, call options were sold at 2000/2100, 45K/48.41K respectively, and on 29SEP23/29DEC23 at position 1900, a total of 15,000ETH Short Straddle were traded. Similar to BTC, there are a large number of Call Calendar transactions on ETH, such as 15674 pairs of buying 25AUG23–2100-C vs selling 27OCT23–2100-C, and 34949 pairs of buying 29SEP23–2200-C vs selling 29DEC23–2200-C.
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