Last night (5 Oct), the U.S. stock market rose first and then fell, and the three major stock indexes closed slightly lower. This week, global yields soared. Following the record highs of U.S. Treasury yields, India's 10-year Treasury yield rose by 10 bp to 7.31%, and Japan's 40-year Treasury bond once rose to about 2%, setting a new high since 2013. The current macroeconomic environment of "risk-free high interest rates" is undoubtedly reshaping investors' asset portfolios. In addition to the impact on traditional financial markets, capital pressure has also spread to the cryptocurrency field. Finally, the U.S. September non-farm payrolls data will be released tonight at 6 Oct 20: 30 (UTC+ 8). After the ADP data was a surprise, will the non-farm payrolls further amplify the signal of rebalancing the job market? Stay tuned and pay attention to related risks.

Source: SignalPlus, Economic Calendar

Today, the overall volatility of BTC/ETH options fell again by about 1.5%/0.7%, while the end-of-day options rose to around 33% due to the uncertainty brought about by tonight's non-farm data.

Source: Deribit (as of 6 Oct 16: 00 UTC+ 8)

Source: SignalPlus

In terms of trading, BTC’s 1,000-group Long Call Fly at the end of the year seized the dominant position of Long Put Spread in the bulk market during this period. This strategy sold 2,000 27,000-C and bought 1,000 each at 23,000/31,000 for protection. Please refer to the figure below for the yield curve.

Source: SignalPlus, Smart Dealing

The transactions on the ETH side more reflect the traders' views on the price trend in the next three months. The first is a customized strategy. The trader received a generous premium by selling 10,000 ETH at 29 Dec 1300 p, and bought 2,500 contracts at the end of October 1600 p to form a proportional triangular spread. It is observed that the recent large-scale opening of Put Spread has promoted the tilt of skew, and the high uncertainty of the forward nature has made the IV difference of the two legs of the strategy close to 17%.

Another large ETH order came from the 27 Oct vs 24 Noc 1700 C buy calendar (5000 ETH per leg), reflecting investors' cautious bullish sentiment on ETH in the medium term through the flatter slope of the term structure.

Source: Deribit Block Trade

Source: Deribit Block Trade

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