BTC波动率周回顾(5月5日-5月12日)

Odaily星球日报Published on 2025-05-14Last updated on 2025-05-14

Abstract

市场有意测探 99-100 千美元的阻力位并成功突破，把我们带到了 101-110 千美元，而且出乎意料地没有遇到什么阻力。总体而言，虽然整周涨幅可观，但实际波动率处于低位，因为价格上方有来自获利退出和多头 Gamma 仓位的对冲的卖家，价格走势在上涨时非常有序。

BTC波动率周回顾(5月5日-5月12日)

关键指标：（5 月 5 日 下午四点 -> 5 月 12 日 下午四点 香港时间）

  • BTC 对 USD 上涨 10.7% （94.7 千美元-> 104.8 千美元），ETH 对 USD 上涨 39.2% （ 1, 825 美元->2, 540 美元）

BTC波动率周回顾(5月5日-5月12日)

  • 市场有意测探 99-100 千美元的阻力位并成功突破，把我们带到了 101-110 千美元，而且出乎意料地没有遇到什么阻力。总体而言，虽然整周涨幅可观（10.7% ），但实际波动率处于低位，因为价格上方有来自获利退出和多头 Gamma 仓位的对冲的卖家，价格走势在上涨时非常有序。

  • 市场在一个月内的时间内从 74-75 千美元的低位上涨近 40% ，相当可观。同时也证实了我们进入自去年九月以来这波走势的最终阶段。目前我们预期接下来几周内市场会在 92-106 千美元之间整盘，但存在继续局部延伸上涨的可能。我们持续看涨 BTC，并预期接下来几个月或季度内到达 115-125 千美元，这个目标是我们目前的长期高点。从技术角度来讲，考虑到这波涨幅比预期的更猛，有机会我们会涨到 130-135 千美元。

市场主题

  • 本周其他市场活动非常安静。市场无视了美联储关于“不急于降息”的言论，仍然预期未来一年会进行 2-3 次降息。主要讨论的话题仍然是特朗普的贸易战，尤其是周一宣布取消对中国的关税比率（降低 115% ），结束了近一周的谈判。同时，其他贸易协议也逐渐敲定，包括上周末宣布的美英协议。市场目前完全平掉了关税导致的股票抛售，甚至也消除了部分因为担心美国经济放缓而进行的定价下调，标普指数几乎已经回到了年初的水平。

  • 回到加密货币，美股的看涨情绪再加上比特币完全突破了 100 千美元，足够刺激小币市场重现生机。尤其是以太坊显示了明显的小币特征，一整周爆发上涨了近 40% ，清算了非常多结构性的空仓头寸。以太坊上没有看到很多 ETF 交易，相反比特币上看到了稳健的流入。因此虽然这波小币上涨引起了很多恐慌情绪，比特币主导的大环境没有发生实质性的变化，小币上的变动更像是短期内的洗仓。

BTC 隐含波动率

BTC波动率周回顾(5月5日-5月12日)

  • 上周尽管币价完全突破了 100 千美元并接近 106 千美元，隐含波动率却难以上涨。总的来说实际波动率相当平缓，尽管总的波动很大，整周的高频实际波动率只有 37 左右。投机玩家的买入需求微乎其微，战术性的看涨价差是唯一的波动率买家。同时翼侧两边都有持续的卖压，一方面市场在币价高点通过备兑减少 delta 敞口，同时也有玩家通过卖看跌期权积攒收益。

  • 目前来看，除非有大幅度的突破或者显著的催化剂，我们预计币价会进一步稳固，并进一步压低隐含波动率。市场目前来看因为持续的卖压而积攒了大量的多头，期限结构也已经非常陡峭，六月和七月的隐含波动率差不多在以每周 1-1.5 点的速度往下滚动，意味着在这种环境下哪怕持有长期的多头仓位也是非常具有挑战性的（但必须承认隐含波动率的绝对水平还在低位）。

BTC 偏度/峰度

BTC波动率周回顾(5月5日-5月12日)

  • 偏度价格在本周第一次突破 100 千美元的时候极度偏向上方，因为市场担心币价会爆炸性突破 99-100 千美元的关键阻力位。但随后发现市场上因为获利出仓和多头 Gamma 有大量的现货和永续抛售，币价的走势实际上非常有序。因此鼓励了更多的玩家卖上涨期权，导致偏度从偏向上涨拉回。最终，随着币价回调降低，偏度最终以基本平稳结束整周。

  • 峰度由于两边翼侧的卖压而持续压低。方向性的交易主要都是通过看涨价差进行，在市场上净卖出峰度。考虑到 94-106 千美元看起来像是低波动率区间（回到二月以及两周前的位置），我们再次认为值得持有范围外的行权价，同时局部的价格应该会因为币价的稳固而持续走低。因此从相对价格的角度来看，我们认为峰度价格还是太低。

祝大家本周好运！

BTC波动率周回顾(5月5日-5月12日)

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