SignalPlus波动率专栏(20240724)：无声的ETF

Odaily星球日报Published on 2024-07-24Last updated on 2024-07-24

Abstract

昨日（23JUL）加密社区的关注焦点集中在晚间ETH Spot ETF的开售，在此之前，期权市场已经在前端Price-In了相当高的不确定性。

SignalPlus波动率专栏(20240724)：无声的ETF

SignalPlus波动率专栏(20240724)：无声的ETF

昨日（23 JUL）加密社区的关注焦点集中在晚间 ETH Spot ETF 的开售，在此之前，期权市场已经在前端 Price-In 了相当高的不确定性，使得 ETH 的波动率期限结构严重倒挂，并在前一日结算前达到日内高点。我们观察到在币价在 ETF 开售前后出现了一些波动，市场激烈的表达着他们的观点，但从 Farside Investors 统计的数据中我们能看到，Graysacle 的产品的确遭到了大量的赎回，类似 BTC ETF 的情况，投资者可能是想了结获利或者单纯是要把头寸转移到费率更低的产品上，但同时，以 Blackrock 和 Bitwise 还有 Fidelity 三家公司推出的产品为代表，市场有更多的投资者选择第一时间买入，完全抵消了灰度 ETF 的资金流出，打消了部分消极的情绪，ETH 最终仅小幅收跌。

SignalPlus波动率专栏(20240724)：无声的ETF

Source: Farside Investors

SignalPlus波动率专栏(20240724)：无声的ETF

Source: TradingView

SignalPlus波动率专栏(20240724)：无声的ETF

Source: Deribit （截至 24 JUL 16: 00 UTC+ 8）

回顾昨天的整段走势，ETH 的 Realized Vol 远远没能撑住市场上高达 80% Vol 的 IV，十点后 ETH 波动率就开始一路走陡下行，回到 60+%左右的水平，过去 24 小时的交易主要也以 Sell Vol 为主，并主要分布在一个月内的到期日上。

SignalPlus波动率专栏(20240724)：无声的ETF

Source: SignalPlus，ETF 开售后 IV 一路下行

SignalPlus波动率专栏(20240724)：无声的ETF

Data Source：Deribit ETH 交易总体分布

BTC 方面，IV 的期限结构也随着 ETH ETF 不确定性的消散而出现相同的走势，但前端 IV 暴跌后更加凸显了 2 AUG 蕴含的极高的 Vol Premium。一如我们此前提过的，市场仍在翘首以盼 2024 比特币峰会，如果总统候选人特朗普真的在会上发表了类似要增加比特币作为美国经济储备的发言，那势必将引来一阵看涨的狂欢。事实上我们也能看到，过去 24 小时里 2 AUG 24 的 Risky Flow 极为明显（参考下图，BTC 交易分布）， 74000/76000 的 Call 被买入， 66000 的 Put 被卖出，使得 BTC 中后端的 Vol Skew 也维持在了 5% 左右的高点。

SignalPlus波动率专栏(20240724)：无声的ETF

Source：SignalPlus，从 2 AUG 开始 BTC 的 Vol Skew 就明显向看涨期权倾斜

SignalPlus波动率专栏(20240724)：无声的ETF

SignalPlus波动率专栏(20240724)：无声的ETF

Data Source: Deribit， BTC 交易总体分布；2 AUG 24 交易分布

SignalPlus波动率专栏(20240724)：无声的ETF

Source: Deribit Block Trade

SignalPlus波动率专栏(20240724)：无声的ETF

Source: Deribit Block Trade

SignalPlus波动率专栏(20240724)：无声的ETF

您可在 t.signalplus.com 使用 SignalPlus 交易风向标功能，获取更多实时加密资讯。如果想即时收到我们的更新，欢迎关注我们的推特账号@SignalPlusCN，或者加入我们的微信群（添加小助手微信：SignalPlus 123）、Telegram 群以及 Discord 社群，和更多朋友一起交流互动。SignalPlus Official Website：https://www.signalplus.com

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