SignalPlus Volatility Column (20240426): Macro data exceeds expectations

Yesterday (25 APR), the US Q1 GDP was significantly lower than expected, while the PCE price index rebounded sharply to 3.7%, indicating that tonight's PCE inflation index is likely to be higher than previous market predictions. Weak economic output coupled with rising prices has hit risk sentiment, with the three major indices falling in response. The yield on the two-year US Treasury, sensitive to interest rate policy, briefly surged to 5.016% before gradually falling back below 5.0% during the day. Federal Reserve's Goolsbee stated that after a series of higher-than-expected inflation data, the Fed must "recalibrate" and "must wait and observe."

Source: TradingView

In the digital currency space, the correlation between BTC and US stocks has recently strengthened. The price of BTC dipped below 63000 during the US market opening, attracting a large number of buy orders for BTC's next-week 59000-P and 60000-P. In the bulk sector, BTC's trading distribution has shifted toward longer-term contracts, with the buying and selling of OTM Call Spreads and several triangular spread strategies showing a bet on upside potential. ETH mostly saw call option purchases, concentrated around the strike prices of 17 MAY 24 and 28 JUN 24 with a 0.25 Delta.

Source: Deribit (as of 26 APR 16:00 UTC+8)

Source: SignalPlus

Data Source: Deribit, ETH overall trading distribution

Data Source: Deribit, BTC overall trading distribution

Source: Deribit Block Trade

Source: Deribit Block Trade