Yesterday (10 APR), the US CPI data, which was higher than expected across the board, dealt a heavy blow to the market. Specifically, the CPI in March increased by 3.5% year-on-year, higher than market expectations and the previous value, while the core CPI, which excludes food and energy costs, increased by 3.8% year-on-year, 0.1% higher than expected and the same as the previous value. According to the report, the surge in gasoline and housing spending in March contributed nearly 50% of the CPI increase, and car insurance, medical expenses and clothing expenses also grew. In the core index, the growth rate of commodity costs declined, and the service industry heated up again.

Source: SignalPlus, Economic Calendar

After the data was released, U.S. Treasury yields jumped sharply, with the 10-year yield breaking the 4.5% mark and the two-year yield approaching the 5% mark, now at 4.967%. The 5/30-year yield has inverted for the first time since September last year. The swap market has therefore postponed the expected rate cut. As of now, the probability of no rate cut in June has risen from the original 50/50 to 83.5%, and the number of rate cuts expected for the whole year is less than two. The postponement of the rate cut has put pressure on U.S. stocks to fall, especially some companies with higher borrowing costs. The three major stock indexes closed down at around -1%. From another perspective, although the expectations of rate cuts have been reduced again and again, the U.S. economic data is still very strong. At this point, rather than betting on the direction, it may be a better choice to reduce risk exposure?

Source: Investing; The U.S. two-year Treasury yield, which is sensitive to interest rate policy, jumped sharply to challenge the 5.0% mark

Source: SignalPlus & TradingView

In terms of digital currency, BTC rebounded to above 7 W, and the long-term shock trend is still within the contraction range. From the perspective of options, the IV/RV fluctuation exposure reflected in the statistical data is still significant, and the front-end implied volatility is at a large amount. The sell-off of call options continues to decline. Among them, ETH's call at the end of April closely followed the pace of yesterday's BTC, showing overwhelming call option sales; in addition, ETH's large-scale buy put spread protection at the end of June is also the focus of the market. At the same time, BTC's Put options also gained favor from the market yesterday.

Source: Deribit (as of 11 APR 16: 00 UTC+ 8)

Source: SignalPlus, ATM Vol continues to decline

Source: SignalPlus, Volatility exposure remains significant, ETH converges amid heavy selling pressure

Data Source: Deribit, ETH call options sold heavily at the end of April, and Long Put Spread opened positions at the end of June

Data Source: Deribit, BTC transaction distribution

Source: Deribit Block Trade

Source: Deribit Block Trade