SignalPlus Volatility Column (20240409): ETFs experience massive net outflows, BTC fails to challenge new highs
Traditional markets were relatively calm yesterday, with the three major U.S. stock indices closing flat. However, a large number of important macroeconomic data releases are expected in the coming week. For traders focusing on U.S. Treasuries, Wednesday's CPI will be the key focus. Over the past few days, bond market yields have risen amid unexpected inflation data and hawkish comments from Federal Reserve officials. Market expectations for future interest rate policies have gradually shifted from the optimistic "three rate cuts" or "50 basis points of cuts" to a more cautious wait-and-see attitude of "higher rates may persist for longer."
Source: SignalPlus, Economic Calendar—This week will see a busy schedule of macroeconomic data releases.
In the digital currency space, BTC, after reclaiming the $70,000 mark, once again challenged its all-time high but reversed near $73,000, pulling back to around $70,000. According to data from Farside, BTC ETFs saw their first significant net outflow (-$223.8M) in the past day, primarily due to a sharp decline in inflows for IBIT and FBTC, which struggled to offset GBTC's single-day outflow exceeding $300M. This may be one of the negative factors affecting BTC's upward momentum yesterday.
Source: SignalPlus & TradingView—BTC failed to break its all-time high, pulling back to around $70K.
Source: Farside Investors—BTC ETFs saw significant net outflows, mainly due to a sharp drop in inflows for IBIT and FBTC.
Elsewhere, in areas reflecting market sentiment, we observed that after BTC futures leveraged longs faced heavy liquidation last week, funding rates also saw a notable decline. On the other hand, short-term Vol Skew in the options market gradually rebounded above zero over the past three days, with front-end implied volatility dropping sharply and the curve steepening. Various sentiment indicators seem to reflect a cooling trend.
Source: Coinglass—After leveraged longs were liquidated recently, funding rates have adjusted.
Source: Deribit (as of March 16, 16:00 UTC+8).
Source: SignalPlus, ATM Vol—Front-end implied volatility has dropped again.
Source: SignalPlus, Vol Skew—Short-term Vol Skew has gradually rebounded into positive territory.
From a trading perspective, the Vol Premium resulting from the gap between IV and RV has recently attracted bearish short-term volatility trades. ETH's 3400 Put for this week saw heavy selling, while in BTC, this view was more commonly expressed through Sell Put/Call Spreads, protecting against extreme scenarios. Additionally, significant net selling of April-end 75000-Calls was observed, possibly reflecting skepticism about BTC's ability to break its all-time high this month. However, in the longer term, BTC still saw substantial OTM call option trades with strike prices as high as $100K/$200K.
Source: SignalPlus
Data Source: Deribit—ETH trading distribution.
Data Source: Deribit—BTC trading distribution.
Source: Deribit Block Trade
Source: Deribit Block Trade
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