SignalPlus波动率专栏(20240215)：BTC站上5W2关口，IV继续震荡上行

Odaily星球日报Published on 2024-02-15Last updated on 2024-02-15

Abstract

BTC延续了上行的动能，日内上行4.1%，顺利在52000美元关口站稳脚步；ETH日内收涨4.6%，逼近2800美元；期权方面，Vol Skew仍在历史高位，ATM Vol也依然维持震荡上行的趋势，整体水平来到50% Vol以上，ETH高出BTC 2～3%Vol。

SignalPlus波动率专栏(20240215)：BTC站上5W2关口，IV继续震荡上行

SignalPlus波动率专栏(20240215)：BTC站上5W2关口，IV继续震荡上行

继周三超出预期的 CPI 数据令市场大失所望并带动美债收益率整体跃升之后，昨日（14 FEB）芝加哥联储主席古尔斯比出面发表鸽派言论，称市场不应因一个月的 CPI 数据而过激，同时重申了美联储是以 PCE 作为通胀目标而不是 CPI，并认为当前仍在重返 2% 目标的正确道路上。固定收益市场的情绪因此受到安抚，美债收益率缓慢下行，当前两年期/十年期分别为 4.57% /4.227% ，股市也受此提振得以收复大半失地，道指/标普/纳指分别上涨 0.4% /0.96% /1.3% 。

SignalPlus波动率专栏(20240215)：BTC站上5W2关口，IV继续震荡上行

Source: SignalPlus, Economic Calendar

SignalPlus波动率专栏(20240215)：BTC站上5W2关口，IV继续震荡上行

Source: Binance & TradingView

数字货币方面，BTC 延续了上行的动能，日内上行 4.1% ，顺利在 52000 美元关口站稳脚步；ETH 日内收涨 4.6% ，逼近 2800 美元；期权方面，Vol Skew 仍在历史高位，ATM Vol 也依然维持震荡上行的趋势，整体水平来到 50% Vol 以上，ETH 高出 BTC 2 ～ 3% Vol。

交易方面，ETH 本周和月末的 Call 遭到大量抛售，其中包括大量处在 2300-2400 之间的止盈订单，三月底则是集中了以 Buy 2700 vs 3200 Call Spread 为代表的看涨策略，除此以外还有诸如 Buy 29 MAR 3200-C vs Sell 26 APR 4000-C 这样买近卖远的三角价差，相似的交易我们也能在 BTC 上观察到，例如 Buy 29 MAR 60000-C vs Sell 75000-C（350 BTC per leg）

SignalPlus波动率专栏(20240215)：BTC站上5W2关口，IV继续震荡上行

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

SignalPlus波动率专栏(20240215)：BTC站上5W2关口，IV继续震荡上行

Source: SignalPlus

SignalPlus波动率专栏(20240215)：BTC站上5W2关口，IV继续震荡上行

SignalPlus波动率专栏(20240215)：BTC站上5W2关口，IV继续震荡上行

Data Source: Deribit，ETH 前端 Call 被大量抛售

SignalPlus波动率专栏(20240215)：BTC站上5W2关口，IV继续震荡上行

Data Source: Deribit

SignalPlus波动率专栏(20240215)：BTC站上5W2关口，IV继续震荡上行

Source: Deribit Block Trade

SignalPlus波动率专栏(20240215)：BTC站上5W2关口，IV继续震荡上行

Source: Deribit Block Trade

SignalPlus波动率专栏(20240215)：BTC站上5W2关口，IV继续震荡上行

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