SignalPlus Volatility Column (20240410): The range of fluctuations tends to narrow, with a large number of BTC call options sold at the end of April.

Ahead of the release of US CPI data, the 10-year yield retreated from a high of 4.40% to around 4.36%, while the 2-year yield is currently reported at 4.741%. Investors are closely focused on the upcoming Federal Reserve policy meeting Minutes and key inflation data to track new clues about the timing and magnitude of rate cuts.

Source: SignalPlus, Economic Calendar

Source: SignalPlus & TradingView, showing a narrowing trend in the trading range
 

In the digital currency space, yesterday's IBIT ETF inflows rebounded, roughly offsetting outflows from GBTC. In terms of price, BTC stabilized below $70,000, with the trading range showing signs of narrowing. On the options front, April's implied volatility dropped by 3-4% Vol. Trading-wise, there was unusually strong selling pressure for BTC at the end of April over the past day, mostly concentrated at key levels like $75,000, $80,000, and $100,000, causing a significant skew in front-end Vol Skew again. The ETH 19 APR 24 call option test showed a Seagull Flow, indicating a relatively cautious bearish stance on upward volatility.

Source: Deribit (as of 10 APR 16:00 UTC+8)

Source: SignalPlus, ATM Vol

Source: SignalPlus, Vol Skew

Data Source: Deribit, ETH 19 APR 24 shows Seagull Flow; 28 JUN 24 is a 3000-2500 Long Put Spread; 31 MAY 24 is a Long Call at 4000 & 4100

Data Source: Deribit, BTC trading distribution, with heavy call option selling at the end of April

Source: Deribit Block Trade

Source: Deribit Block Trade