SignalPlus Volatility Column (2023.07.07): The economy is better than expected, and volatility starts to rise

Yesterday’s more-than-expected “small non-agricultural” data boosted expectations that the Federal Reserve will further raise interest rates. The data showed that the number of ADP jobs in the United States surged by 497,000 in June, doubling the expected 225,000, the highest increase for last year. The biggest monthly gain since February, well ahead of the previous reading of 278,000. Meanwhile, weekly jobless claims held steady while challenger layoffs fell to the lowest level since October. After the release of the data, spot gold plunged nearly $25, breaking a new three-month low; the U.S. dollar index rose rapidly for a period of time, breaking a new high in two weeks at a high of 103.5771, but then gave up its gains and now closes at 103.051 (-0.06 % ); Dallas Fed President Logan also expressed concern about whether inflation can cool down quickly. In order to achieve the goal, stricter policies are needed. The 10-year interest rate also recouped the SVB-related decline, hitting a four-month high to end at 4.03%. Tonight at 8:30 PM Beijing time, the US will release the much-anticipated non-agricultural data. If the non-agricultural data in June exceeds expectations again, it will be the 15th consecutive surprise for the market, and it will be an unprecedented phenomenon.

The U.S. stock market maintained a downward trend throughout the day. The Dow Jones/S&P/Nasdaq closed down 1.07%/0.79%/0.82% respectively, and BTC/ETH followed suit with a slight correction during the day. Finally, BTC closed at 30008 (-2.79%), ETH fell from 1900 points to 1856 (-3.58%).

Source: Deribit (until 16:00)

Source: SignalPlus

There are no fluctuations in the implied volatility of options. As of today’s delivery, BTC as a whole is slightly higher than ETH by 1-2%. ), followed by 45.46% (+ 0.61%)/ 44.36% (+ 0.95%). The higher-than-expected macro indicators of major economies have added uncertainties to the future environment, making investors gradually turn their attention to longer-term Investment Opportunities. The entire volatility curve thus steepens. While the front end returned to the lower water level of three months, the long-term end began to show a certain upward trend.

Source: SignalPlus

The market volatility caused by yesterday's data release slightly increased the overall trading volume of the options market.

The focus of the BTC market is still on the long-term. A group of ratio put spreads on Wing in September constituted the largest transaction of the day, with a total of 2,000 24,000-P buys and 1,000 27,000-P sells. In addition, the bullish strategy in December is still continuing, and 250 35000-C and 550 45000-C were bought in one package on Deribit.

ETH transactions are relatively uniform in terms of maturity. The largest transaction placed four orders of 14 jul/21 jul/28 jul call options at the same strike price of 1900 with a ratio of -1:2:-1, totaling 4000 contracts. The second is the bullish volatility strategy based on Strangle/Straddle scattered on various COSCO terms, which explains to a certain extent the change in the volatility surface of ETH's slight rise.

Source: Laevitas

Source: Deribit Block Trade

Source: Deribit Block Trade