波动率周回顾(6月2日-6月9日)

Odaily星球日报Published on 2025-06-10Last updated on 2025-06-10

Abstract

上周市场下探99-101k美元的支撑位但随后迅速反弹回到105-106k美元的区间，强烈暗示币价短期内即将再次尝试向上突破到新高。如果这次突破失败，这波上涨的时间可能会被继续延期，我们会先回到90-95k美元的区间。否则我们预期这次币价突破会带领我们朝着预期的125k美元目标迈进，与此同时伴随币价到达新高，实际波动率也会从目前的低位反弹。

波动率周回顾(6月2日-6月9日)

关键指标：( 6 月 2 日 下午 4 点 -> 6 月 9 日 下午 4 点 香港时间)

  • BTC 对 USD 上涨 0.2% （105.4->105.65 千美元），ETH 对 USD 下跌 0.6% （2, 510 -> 2, 495 美元）

波动率周回顾(6月2日-6月9日)

  • 上周市场下探 99-101 千美元的支撑位但随后迅速反弹回到 105-106 千美元的区间，强烈暗示币价短期内即将再次尝试向上突破到新高。如果这次突破失败，这波上涨的时间可能会被继续延期，我们会先回到 90-95 千美元的区间。否则我们预期这次币价突破会带领我们朝着预期的 125 千美元目标迈进，与此同时伴随币价到达新高，实际波动率也会从目前的低位反弹。

市场主题

  • 今年二季度的最后一个月伊始，市场和五月底的走势基本一致。跨资产波动率持续下降，风险资产逐步抬升。虽然在上周四晚上特朗普和马斯克公开撕破脸后 SPX 在 6 千美元的心理关口前持续动摇，但第二天受超预期的就业数据推动终于突破。在过去的九周内，VIX 恐慌指数从 45.3 下降到了 16.8 ，这是有史以来最大的 9 周跌幅（63% ，甚至超过了 2023 年 3 月底 65.5 到 2023 年五月底 27.5 的 58.5% COVID 下跌）。总的来说，宏观和基本面仍然有利于短期内风险资产的上涨，并且市场已经适应了特朗普政府时不时针对关税发表的言论。但考虑到目前已经回归正常的低波动水平来看，我们预期伴随七月关税截期到来短期内市场波动水平会上升。

  • 比特币从上周触及历史最高点后持续向下修正，包括特朗普-埃隆新闻引发了对 100-101 千美元关键支撑位的冲击，但币价很快站稳脚跟并在 24 小时内从 100.4 千美元的低点回到 105 千美元。最后币价又回到了 100-110 千美元区间偏上的位置。自大选结束以来我们已经多次在这里徘徊。

BTC 隐含波动率

波动率周回顾(6月2日-6月9日)

  • 实际波动率上周基本在底部徘徊，未能在币价跌至 100 千美元时从 30 出头的水平抬高（币价随后反弹）；市场对非农数据的反应也非常平淡，没有给实际波动率提供助力。伴随币价回到 100-110 千美元的区间整盘，全期限的隐含波动率都会被继续压低。对期权的需求伴随暑假的到来变得稀少，同时市场看上去依然拿着大量的多头波动率头寸，同时卖出短期到期日以支撑，但考虑到本月接下来的时间，前端价值现在已经变得很低了。

  • 波动期限结构开始变得平缓。考虑到没有买家以及持续的卖压，市场逐渐失去了拿远期头寸的耐心。现在看来期限结构的滚动下跌不再那么吓人，并且考虑到在目前很低的实际波动率基础上，任何区间突破都可能导致隐含波动率伴随实际波动率迅速抬升-我们认为远期期限开始变得值得持有。

BTC 偏度/峰度

波动率周回顾(6月2日-6月9日)

  • 偏度上周基本横盘，哪怕币价一度跌到了 100 千美元附近，市场也对买入下方毫无兴趣。导致偏度在整个期限结构上都偏向上方。

  • 上周峰度整体横盘。但有趣的是，尽管 ATM 部分隐含波动率下跌，远期的峰度却有所抬升。因为考虑到比特币资产波动率的波动，市场不愿意降低尾部的定价，但 ATM 的部分却因为币价在 100-110 千美元稳定而逐步下跌。我们认为总的来说这种定价是合理的，并且持续建议在更短的期限上持有峰度以保护币价爆发时的波动率抬升。

祝大家本周好运！

波动率周回顾(6月2日-6月9日)

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