The higher-than-expected PPI data revealed potential inflationary pressure, giving the Fed hawks more support in advocating another rate hike. U.S. Treasury yields climbed for the fourth consecutive trading day, and the 10-year Treasury yield, known as the "anchor of global asset pricing," once reached a high of 4.209% during the session, the highest level since November last year.
In terms of digital currencies, the actual volatility of BTC/ETH continued to decline, reaching the lowest point in a year. The implied volatility curve of ETH generally fell by 0.5-0.8%, while BTC rose by about 0.5-1% in the middle and front IV.
According to analysis, this wave of BTC IV increase was mainly driven by buying call options. In the past 24 hours, BTC P/C Ratio fell sharply to 0.32, reaching the lowest point in a week. At the same time, BTC's mid-front Skew also showed a significant increase (25dRR at the end of the month rose by 3.5% to nearly 6%), and Short Risky strategies may return to traders' horizons. A large number of large 30000-C purchases (430 contracts) unexpectedly appeared on Deribit's end-of-day options (16AUG23), and the overall OI increased by 698.7BTC, which was the largest position change in the past day.
In addition, the calendar spread transaction of Sell 29DEC23-40000-C (300BTC) / Buy BTC-29MAR24-40000-C (200BTC) can still be seen on BTC, continuing yesterday's trading.
Despite the high sentiment of buying calls on BTC, there is no similar linkage on the ETH side. From the transactions in the Deribit market, we can see that as the ETH RV decreases, retail investors have closed a large number of put options in this week's ATM, causing 18AUG23-1800-P to decrease by 4.54K yesterday. At the same time, about 10K calendar triangle spread strategies were traded in block trades. The strategy sold the front-end 25AUG23-1850-C and bought the same amount of 27OCT23-2000-C.
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