BTC波动率-周回顾（11月4日-11月11日）

Odaily星球日报Published on 2024-11-11Last updated on 2024-11-11

Abstract

特朗普继任下一任总统的消息确认后，币价向上突破了74 k美元的阻力位。周二11月5日下午4点（香港时间）到11月8日下午4点之间，币价上涨了11%来到我们对大选的看涨目标区间（$76 k-$78 k)...

BTC波动率-周回顾（11月4日-11月11日）

关键指标：( 11 月 4 日 下午四点->11 月 11 日 下午四点 香港时间）

  • BTC/USD 币价上涨+ 18.4% ($ 68, 000->$ 81, 200), ETH/USD 币价上涨+ 27.6% ($ 2, 460->$ 3, 140)

  • BTC/USD 年底（十二月）ATM 波动率下跌-6.2 点（58.0-> 51.8）, 十二月 25 d 偏度上升+ 0.1 点（3.1->3.2）

BTC波动率-周回顾（11月4日-11月11日）

  • 特朗普继任下一任总统的消息确认后，币价向上突破了 74 k 美元的阻力位。周二 11 月 5 日下午 4 点（香港时间）到 11 月 8 日下午 4 点之间，币价上涨了 11% 来到我们对大选的看涨目标区间（$ 76 k-$ 78 k)。自此以后，上涨的动力持续增强。我们在大选后持续看好 BTC 并把远期的价格目标设定在 100 k 美元以上。短期我们可能会看到一些价格的波动或者衰退，但是技术面的核心依然支持看涨。

  • 我们认为当前的主要支撑位$ 74 k-$ 72 k 会继续保持，考虑到市场短期内可能出现激进的获利了结并发生回调。

市场主题

  • 选举前两位总统候选人的胜率差距有所缩小，并致使短期内现货市场发生清算并下跌到 67 k 美元。尽管如此特朗普最终保住了下一任总统的位置，同时共和党人也成功在众议院和参议院获得多数席位。最终证实这确实是加密货币市场一直在等待的新鲜催化剂。在选举结束初期币价上涨至 75 k-76 k 美元区间之后，币价一路高歌向前，在周末突破了关键的心理点位 80 k 美元。同时，伴随 ETH 重回 3 k 美元以上，其他小币的价格也大幅上涨。

  • 美联储在选举后的周四晚上宣布进行鸽派降息，宽松的宏观背景仍然支持风险资产在年底前有良好的表现。中国在周五发布的刺激政策未能引起市场关注，因为市场普遍认为短期内没有强烈的理由减持风险资产。这也会持续地助推加密货币的价格。

  • 尽管 USD 因特朗普获选对其他法定货币走强（部分是由美元收益率上涨推动），币价对支持加密货币监管和潜在的战略储备这两件崭新的叙事毫无反应。这种情况可能在未来的几个月内保持主导地位，直到获得进一步的证实后支持更多的资金流入。

ATM 隐含波动率

BTC波动率-周回顾（11月4日-11月11日）

BTC ATM 隐含波动率( 11 月 4 日-11 月 11 日 下午四点 香港时间）

  • 大选事件的波动率最终以偏低的定价结束。事件前两天市场逐步把时间价格动幅调低到了 5.5% ，但最终大选当天的实际日动幅接近 8.5% 。选举日的结果走向也让整个市场措手不及。因为许多人预期选情会更加激烈并为此抬高了十一月中期到远期的溢价，以期看到大选结果的推迟。最终这些溢价在大选后被激进地清除。

  • 选举结束后，隐含波动率的水平一直呈现下降趋势，主要因为市场出现了对更高价格区间波动率的看涨（采用传统的看涨价差）和卖压。与此同时，在价格逐步抬高时通过期权进行方向性交易的兴趣缺缺，除了看到的一些对行权价的滚仓。

  • 在新政权上台之际，存在一个结构性的论点认为波动率可能会减弱。如果特朗普成功推动美国机构对加密货币的监管措施，这将会释放一波新的资本流入。这波资本的流入将为币价提供支点并削弱波动率。此外，除了大选事件之外，过去几个月币价的实际波动率也已经降低到了 40 出头的水平，这进一步证实的这一观点。然而我们需要指出的是，在特朗普真正能够通过国会对加密货币的批准前仍然有很长的路要走。

偏度/峰度

BTC波动率-周回顾（11月4日-11月11日）

BTC波动率-周回顾（11月4日-11月11日）

  • 尽管市场情绪看涨，但偏度在本周基本保持不变。仍然是经典的上行结构（主要由卖压和看涨期权价差导致），在市场上形成了对价格更高点波动率的看涨，这一结构还没有被新的需求抵消。因此，在价格上涨时

  • 币价和隐含波动率之间的相关性没有得到很好的表现，这对偏度产生了影响并消除了看涨情绪和下行侧供应的影响。

  • 目前峰度在逐步走低，但我们认为目前被抛售过头了。因为尽管现货会在新的局部范围内稳定，在某些避险事件来临时仍可能爆发到 100 k 美元以上或跌破 60 k-65 k 美元。

祝大家接下来一周好运！

BTC波动率-周回顾（11月4日-11月11日）

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