SignalPlus波动率专栏(20231214)：BTC再度挑战43000美元，Vol Skew回归

Odaily星球日报Publicado a 2023-12-14Actualizado a 2023-12-14

Resumen

数字货币方面，BTC从41000下方一路上行至43000附近，日内涨幅达4%。期权方面，前端由于FOMC不确定性落地而大幅回落，Vol Curve走陡。

昨日（1 3D ec）美国 11 月 PPI 年率录得 0.9% ，略低于预期的 1% ，为今年 6 月以来新低。随后在凌晨举行的 FOMC 会议上，美联储宣布维持利率不变，并承认经济和通胀有所放缓，鲍威尔发出鸽派言论：我们相信政策利率已经到达，或者接近峰值，降息已开始进入视野。同时点阵图暗示明年可能会有 3 次降息，互换市场定价到 2024 年年底美联储将降息超过 140 个基点。美联储此次明显的鸽派倾向推动了美债收益率全线大幅下挫，作为全球资产定价之锚的 10 年期美债收益率失守 4% 关口，报 3.954% ，两年期收益率更是跌超 30 个基点，现报 4.334% 。美三大股指集体上涨，标普/纳指/道指分别收涨 1.37% /1.38% /1.40% 。

SignalPlus波动率专栏(20231214)：BTC再度挑战43000美元，Vol Skew回归

Source: SignalPlus, Economic Calendar

SignalPlus波动率专栏(20231214)：BTC再度挑战43000美元，Vol Skew回归

Source: Binance & TradingView

数字货币方面，BTC 从 41000 下方一路上行至 43000 附近，日内涨幅达 4% 。期权方面，前端由于 FOMC 不确定性落地而大幅回落，Vol Curve 走陡；另一方面，价格的反弹成功帮助 Vol Skew 收复失地，BTC 前端重回零值附近，ETH 更是冲高达到 3% ～ 5% ，在交易方面同样能观察到看涨策略的回归，BTC 上的 Dec vs Jan 三角价差成交火热，两种方向的策略买卖总量相对均衡，ETH 在年底出现大量 1900 vs 2300 Long Call Spread，同时在一月 2500/2800 的位置也再度出现买入看涨成交。

SignalPlus波动率专栏(20231214)：BTC再度挑战43000美元，Vol Skew回归

Source: Deribit （截至 14 DEC 16: 00 UTC+ 8）

SignalPlus波动率专栏(20231214)：BTC再度挑战43000美元，Vol Skew回归

Source: SignalPlus

SignalPlus波动率专栏(20231214)：BTC再度挑战43000美元，Vol Skew回归

Source: SignalPlus

SignalPlus波动率专栏(20231214)：BTC再度挑战43000美元，Vol Skew回归

Source: Deribit Block Trade

SignalPlus波动率专栏(20231214)：BTC再度挑战43000美元，Vol Skew回归

Source: Deribit Block Trade

SignalPlus波动率专栏(20231214)：BTC再度挑战43000美元，Vol Skew回归

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