SignalPlus波动率专栏(20240129)：BTC反弹回到42000，Vol Skew回归

Odaily星球日报Published on 2024-01-29Last updated on 2024-01-29

Abstract

数字货币方面，BTC自40000下方反弹后持续上行，于周六短线突破42000后一直维稳在其附近。期权方面，23FEB以前的ATM Vol仍呈现较平的形态，BTC/ETH大约都在40% Vol左右。

SignalPlus波动率专栏(20240129)：BTC反弹回到42000，Vol Skew回归

SignalPlus波动率专栏(20240129)：BTC反弹回到42000，Vol Skew回归

上周五美国经济数据表现强劲，其中 12 月核心整体 PCE 环比增长 0.17% ，成屋销售创下疫情期间外史上最强月涨幅之一，使得美债收益率一度整体走高，但又在过去两天回吐大部分涨幅，当前两年期/十年期收益率分别为 4.324% /4.099% 。本周将会是今年宏观方面最繁忙的一周，其中美国当地时间周三将迎来 FOMC 会议，尽管市场已经完全定价此次不加息的决策预期，但仍对会议前公布的数据（如 ADP）以及访谈过程中美联储的表态颇为关注。

SignalPlus波动率专栏(20240129)：BTC反弹回到42000，Vol Skew回归

Source: SignalPlus, Economic Calendar

SignalPlus波动率专栏(20240129)：BTC反弹回到42000，Vol Skew回归

Source: Binance & TradingView

数字货币方面，BTC 自 40000 下方反弹后持续上行，于周六短线突破 42000 后一直维稳在其附近。期权方面， 23 FEB 以前的 ATM Vol 仍呈现较平的形态，BTC/ETH 大约都在 40% Vol 左右。

从交易上看，价格的反弹并未刺激交易量回归，过去 24 小时全市场整体交易量仅有 700 M 左右。BTC 成交分布较为均衡地分布在 23 FEB 及其之前的到期日上，并呈现出正向的 Risky Flow，同时也能观察到近期的 25 dRR 从负值回归到 0 值附近。ETH 成交集中在 option chain 上 Buy 24 FEB 2400-C vs Sell 29 MAR 2700-C 组成的三角价差策略，单腿成交额超过 13000 ETH。

SignalPlus波动率专栏(20240129)：BTC反弹回到42000，Vol Skew回归

Source: Deribit （截至 29 JAN 16: 00 UTC+ 8）

SignalPlus波动率专栏(20240129)：BTC反弹回到42000，Vol Skew回归

Source: SignalPlus

SignalPlus波动率专栏(20240129)：BTC反弹回到42000，Vol Skew回归

SignalPlus波动率专栏(20240129)：BTC反弹回到42000，Vol Skew回归

Data Source: Deribit

SignalPlus波动率专栏(20240129)：BTC反弹回到42000，Vol Skew回归

Source: SignalPlus

SignalPlus波动率专栏(20240129)：BTC反弹回到42000，Vol Skew回归

SignalPlus波动率专栏(20240129)：BTC反弹回到42000，Vol Skew回归

Data Source: Deribit

SignalPlus波动率专栏(20240129)：BTC反弹回到42000，Vol Skew回归

Source: Deribit Block Trade

SignalPlus波动率专栏(20240129)：BTC反弹回到42000，Vol Skew回归

Source: Deribit Block Trade

SignalPlus波动率专栏(20240129)：BTC反弹回到42000，Vol Skew回归

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