The U.S. interest rate market is still experiencing aftershocks from the "hawkish pause," and the lower-than-expected initial jobless claims data (201,000 people, expected 225,000 people) has made matters worse. The two-year U.S. bond yield has climbed to its highest level since 2006 at 5.18%, and the ten-year yield has also reached the 4.50% mark. As a result, all three major U.S. stock indexes opened and closed lower under pressure, with sectors such as consumer goods and real estate experiencing significant declines, leading to the third largest single-day drop of the year for the SPX (-1.6%).
Source: SignalPlus, Economic Calendar
In the cryptocurrency market, after a wave of declines, BTC has slowly rebounded to above 26,500, and the overall implied volatility level has once again decreased by 2-3%Vol, with a steep slope in term IV. On the other hand, following the price drop, the BTC/ETH Skew has significantly fallen, and the medium-term 25dRR has once again entered the negative range.
Source: Binance & TradingView
Source: Deribit (as of 22 Sep 16:00 UTC+8)
Source: SignalPlus
Source: SignalPlus
In the past 24 hours, bulk strategy trades have mainly focused on calendar spread strategies. In the case of BTC, recent Put/Call options have been sold, providing premium support for medium- to long-term bullish positions. As for ETH, the bullish spread 27OCT 1600C vs 29DEC 2000C, with a large quantity of 8000ETH per leg, has become the focus. In addition, the triangle spread strategy represented by 29SEP 1500P vs 29DEC 1000P has also received favor from traders, providing protection for the downward pressure on Ether prices under high interest rates.
Source: Deribit Block Trade
Source: Deribit Block Trade
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