On Thursday at 8:30 PM (UTC+8), the United States released a series of heavyweight data, including a 0.6% monthly retail sales rate for August, exceeding the expected 0.2%; the PPI monthly rate recorded 0.7%, marking the largest increase in over a year, surpassing the expected 0.4%. Further data analysis shows that the surge in oil prices is the main reason for the rise in the PPI index. Influenced by the strong U.S. data, the U.S. dollar index surged significantly in the pre-U.S. session, breaking through the 105 level; U.S. bond yields rose across the board, with the two-year yield returning above 5%.
Source: SignalPlus, Economic Calendar
Yesterday, the three major U.S. stock indexes collectively closed higher, rising by about 0.8% to 0.9%, and cryptocurrencies closely followed suit, helping BTC achieve a 4-day consecutive rise and smoothly surpass the 26,500 level, closing up by 0.97%; ETH also stabilized above 1600, closing at 1628.67 (+0.62%).
Source: Binance & TradingView
After the release of yesterday's data, the market almost locked in the expectation that the FOMC meeting next week would not raise interest rates (98% probability). Implied volatility has continued to decline, with September IV for BTC/ETH falling by about 2% as of today's settlement, and medium- to long-term IVs have also shown declines of around 0.5% to 1.2%.
Source: Deribit (as of 15 Sep 16:00 UTC+8)
Source: SignalPlus
It is worth mentioning that this week, the volatility of cryptocurrencies has rescued the actual volatility (7d) of BTC/ETH from the bottom of nearly 20% back to around 30%, and short-term IV has fallen below RV after yesterday's decline.
Source: SignalPlus
In terms of trading, due to the market almost pricing in the expectation of no interest rate hike by the FOMC, there has been a large amount of selling of BTC next-period options at the 25,500-P and 27,500-C positions, almost flattening the IV premium for this term.
On the other hand, the recent stable price increase has strengthened traders' confidence in long-term investment, and the bulk market has seen many far-term Call Spread trades represented by BTC-28Jun24 50000 vs55000 and ETH-29Dec23 2400vs2800.
Source: Deribit Block Trade
Source: Deribit Block Trade
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