Last night (5th Oct), U.S. stocks rose before falling, with the three major indices closing slightly down. This week, global yields have soared; following the continuous new highs of U.S. Treasury yields, the yield on India’s 10-year government bonds rose 10bp to 7.31%, and Japan’s 40-year bonds briefly rose to about 2%, hitting a new high since 2013. The current ‘risk-free high-rate’ macro environment is undoubtedly reshaping investors’ portfolios, affecting not only traditional financial markets but also spreading capital pressure to the cryptocurrency domain. Lastly, tonight, 6th Oct at 12:30 (UTC), U.S. non-farm employment data for September will be released. After the unexpected ADP data, will the non-farm payroll further amplify signals of the employment market re-balancing? Stay tuned and be mindful of related risks.

Today, the overall volatility of BTC/ETH options fell again by approximately 1.5%/0.7%, while the volatility of options expiring at the end of the month rose to around 33% due to the uncertainty brought about by the non-farm payroll data tonight.

In terms of trading, the BTC end-of-year 1000-lot Long Call Fly has overtaken the dominant position of the Long Put Spread in the bulk market recently. This strategy involves selling 2000 lots of 27000-C while buying 1000 lots each for protection at the 23000/31000 wings, with the profit curve as shown in the graph below.

On the ETH side, trades more prominently reflect traders’ outlook on the price trend for the next three months. Firstly, there’s a customized strategy where a trader harvested substantial premiums by selling 10,000 ETH of 29Dec 1300p, while purchasing 2,500 pairs of late October 1600p, forming a ratio diagonal spread. The recent substantial building of Put Spread positions, pushing the skew to tilt, coupled with natural high uncertainty in the distant future, has brought the IV difference between the two legs of this strategy close to 17%.

Another significant ETH order comes from a 27Oct vs 24Nov 1700C calendar call spread (5000 ETH per leg), showcasing investors expressing a cautious mid-term bullish sentiment on ETH through a relatively flat part of the term structure’s slope.