Yesterday (29 JAN), the U.S. Treasury Department lowered its net borrowing estimate for the first quarter from $816 billion to $760 billion (-6.9%), unexpectedly below market expectations. This spurred a rebound in U.S. bonds, with long-term bond yields leading the decline. The current two-year and ten-year yields are at 4.314% and 4.061% respectively. This also helped U.S. stocks strengthen in the closing session, with the Dow Jones, S&P, and NASDAQ closing up 0.59%, 0.76%, and 1.1% respectively.

Source: SignalPlus, Economic Calendar
Source: Binance & TradingView
Source: SignalPlus

In the cryptocurrency market, BTC continues to lead the upward trend, closing up by 1300 points within the day and returning to above $43,000. This has also boosted the Future APR in the futures market, which has reached around 10%. Regarding options, BTC implied volatility has seen a slight increase of 1–2% Vol. ETH has risen by 1.84% from its low at the end of February, with other maturities slightly up by about 0.6%. The overall shape of the ATM Curve remains unchanged, maintaining a flatter front end and starting to rise from the end of February.

Source: Deribit (As of 30 JAN 08: 00 UTC)
Source: SignalPlus

From another perspective, as an important market sentiment indicator, Vol Skew has risen again today. From the past 24 hours of trading, we have also observed that ETH is concentrated in February’s transactions, showing a clear Risky Flow, driving a reversal in the mid-front end 25 dRR; in terms of BTC, some transactions have shifted towards mid-long term, with a large number of call options concentrated around 0.2–0.3 Delta for 9 FEB/29 MAR/26 APR. However, there is also significant selling pressure this week on 2 FEB, concentrated at the 43000 and 44000 strike prices, which may be stop-loss orders or lower expectations for a short-term price breakthrough.

Source: SignalPlus,Vol Skew Rises Again
Data Source: Deribit,ETH Risky Flow driving the front-end 25 dRR upwards
Data Source: Deribit,A large number of bullish call options are concentrated around the 0.2–0.3 Delta for the 9th of February, 29th of March, and 26th of April.
Source: Deribit Block Trade
Source: Deribit Block Trade

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