SignalPlus波动率专栏(20240115)：BTC或遭受抛压，IV再度走高

Odaily星球日报Published on 2024-01-15Last updated on 2024-01-15

Abstract

数字货币方面，BTC价格于12～13日再度走跌约8%并一度下探42000美元关口，现在维持在43000下方震荡。

SignalPlus波动率专栏(20240115)：BTC或遭受抛压，IV再度走高

SignalPlus波动率专栏(20240115)：BTC或遭受抛压，IV再度走高

上周五（12 JAN）美国 PPI 意外走软引发了美债收益率的短线跳水，其中两年期下破 4.2% 后在低位小幅震荡，现报 4.146% ，十年期一度降至 3.93% 附近后在这几日逐渐收复失地，报 3.974% 。美国三大股指涨跌不一，道指下跌 0.31% ，标普和纳指接近平收（+ 0.08% /+ 0.017% ）。

SignalPlus波动率专栏(20240115)：BTC或遭受抛压，IV再度走高

Source: SignalPlus, Economic Calendar

数字货币方面，BTC 价格于 12 ～ 13 日再度走跌约 8% 并一度下探 42000 美元关口，现在维持在 43000 下方震荡。分析指出，继 ETF 获批后，GBTC 的成交额以超过总量一半的水平高居榜首，从数据上看，GrayScale 在成功将其从信托转为 ETF 后，曾经一度达到 50% 的负溢价的正逐渐消失，且其高达 1.5% 的高昂管理费用更让人有理由相信持有者会有将其出售或转换成其他 ETF 的意愿，但从 Arkham 的数据中我们看到，当前灰度 BTC 持仓高达 266 亿美金，近几日流出的资金约为 16.7 亿美元，这就意味着灰度或许并没有因为客户持续卖出 GBTC 而紧跟着大量抛售 BTC，尽管同时也有人指出 Arkham 统计的地址可能不够全面，但一如加密货币 KOL Neuner 说的，“ 250 亿美元是一个相当大的数字，即使只有 20% 被赎回，那也意味市场上将有 50 亿美元的成交额”，比特币“可能会面临一段时间的抛压”。

期权方面，随着工作日的到来，隐含波动率曲线前端大幅走高，BTC 近两周的 IV 基本都在 55% ～ 60% ，ETH 曲线相对较陡，中远期仍与 BTC 存在较高的溢价。Vol Skew 仍处在过去三个月的较低位置。

成交方面相对平淡，BTC 中远期 50000-C 仍是买入热点，截止目前该行权价上已有累计 23, 110 BTC 的 OI，远高于其他点位。

SignalPlus波动率专栏(20240115)：BTC或遭受抛压，IV再度走高

Source: Bloomberg, ETF 管理费用对比

SignalPlus波动率专栏(20240115)：BTC或遭受抛压，IV再度走高

Source: Arkham，灰度持仓变化

SignalPlus波动率专栏(20240115)：BTC或遭受抛压，IV再度走高

Source: Binance & TradingView

SignalPlus波动率专栏(20240115)：BTC或遭受抛压，IV再度走高

Source: Deribit （截至 15 JAN 16: 00 UTC+ 8）

SignalPlus波动率专栏(20240115)：BTC或遭受抛压，IV再度走高

Source: SignalPlus

SignalPlus波动率专栏(20240115)：BTC或遭受抛压，IV再度走高

Source: SignalPlus

SignalPlus波动率专栏(20240115)：BTC或遭受抛压，IV再度走高

Source: Laevitas

SignalPlus波动率专栏(20240115)：BTC或遭受抛压，IV再度走高

Source: Deribit Block Trade

SignalPlus波动率专栏(20240115)：BTC或遭受抛压，IV再度走高

Source: Deribit Block Trade

SignalPlus波动率专栏(20240115)：BTC或遭受抛压，IV再度走高

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