Yesterday (26 FEB), the scale of corporate bond issuance in the United States reached $153 billion in February, surpassing the record of $150.9 billion set in February last year. This may present an opportunity for traders to snap up high-yield notes before the Federal Reserve cuts interest rates. The yield on ten-year U.S. Treasury notes once rose to 4.3% before falling back, currently reported at 4.271%, with the two-year yield at 4.691%. In terms of U.S. stocks, the three major stock indices slightly fell, while cryptocurrency concept stocks surged, with both Coinbase and MicroStrategy closing up around 16%. The main reason comes from MicroStrategy’s announcement of purchasing an additional $150 million in BTC, which once again boosted confidence in the cryptocurrency market, causing BTC to surge to $56,027.26 (+9%) and subsequently pushing ETH to breach the $3,200 mark (up 4% within the day).

Source: SignalPlus, Economic Calendar
Source: Binance & TradingView, BTC surged to 56,000.

In the options market, the BTC rally led to a flattening and upward movement of the Vol Curve, with the overall level reaching around 55%-60%, significantly narrowing the gap with ETH. However, it was observed that Vol Skew only increased within the Weekly range without any other significant changes. From the perspective of transactions, a large volume of 1MAR 54000/52500/52000 Puts were sold, along with a large number of profit-taking bullish ITM orders, collectively reducing the Vol Premium on that side; for medium to long-term transactions represented by 29MAR, a large volume of OTM options were bought on both wings, thus raising the overall volatility without affecting the Vol Skew.

Regarding ETH, a rollover strategy represented by selling 3000/3100 and buying 3400 Calls emerged at the end of March, along with a wide strike interval of 3200vs2500 PutSpread being sold (4000ETH), demonstrating traders’ confidence in the market rally led by expectations of significant capital injections. Apart from this, other maturities in March showed a general trend of buying Ratio Call Spreads and Puts, resulting in a decrease in ETH’s Vol Skew during this expiry period.

Source: Deribit (As of 27FEB 08:00 UTC)
Source: SignalPlus, The surge in BTC led to a flattening and upward movement in implied volatility.
Source: SignalPlus, Changes in Vol Skew over the past 24 hours.
Data Source: Deribit, BTC transaction distribution.
Data Source: Deribit, ETH transaction distribution.
Source: Deribit Block Trade
Source: Deribit Block Trade

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