SignalPlus波动率专栏(20230604)：ETH IV大跌

Odaily星球日报Published on 2024-06-04Last updated on 2024-06-04

Abstract

数字货币方面，BTC昨日在突破68500阻力位以后持续上行，一度突破70000美元关口，但很快从高点回调。

SignalPlus波动率专栏(20230604)：ETH IV大跌

SignalPlus波动率专栏(20230604)：ETH IV大跌

昨日（3 JUN）美国制造业 PMI 录得 48.7 ，低于预期和前值，同时，亚特兰大联储 GDPNow 模型将美国第二季度 GDP 增速从 2.7% 下调至 1.8% ，共同揭示了近期美国经济数据走软的现象。美债收益率持续走低，十年期收益率连续第五天收跌，现报 4.382% ，对利率政策敏感的两年期收益率勉强维持在 4.8% 上方。展望本周，接下来最重要的数据当属周五的非农，除此之外，下周三晚的 CPI 和 FOMC 会议也会是市场关注的焦点。

SignalPlus波动率专栏(20230604)：ETH IV大跌

Source: SignalPlus, Economic Calendar

数字货币方面，BTC 昨日在突破 68500 阻力位以后持续上行，一度突破 70000 美元关口，但很快从高点回调，并在随后的三小时里持续震荡，期间恰逢纽约证券交易所发生技术故障，多支股票下跌超过 99% 。

SignalPlus波动率专栏(20230604)：ETH IV大跌

Source: TradingView

期权方面，昨日 ETH Vol Surface 全线大幅走陡下降，可能一方面是相对 BTC 来说 ETH 近几天表现并不太好，价格缓慢走低到了 3800 美元以下；另外期权前端上看涨期权的卖压也迫使 IV 和 RR 走低，市场的买涨需求主要仍落在六月底以后，期待以太坊现货 ETF 带来新的需求。

SignalPlus波动率专栏(20230604)：ETH IV大跌

Source: Deribit （截至 2 MAY 16: 00 UTC+ 8）

SignalPlus波动率专栏(20230604)：ETH IV大跌

Source: SignalPlus，ETH IV 下行

SignalPlus波动率专栏(20230604)：ETH IV大跌

Source: SignalPlus，ETH RR 下跌

SignalPlus波动率专栏(20230604)：ETH IV大跌

Data Source: Deribit， ETH 交易总体分布

SignalPlus波动率专栏(20230604)：ETH IV大跌

Data Source: Deribit，BTC 交易总体分布

SignalPlus波动率专栏(20230604)：ETH IV大跌

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