SignalPlus波动率专栏(20240215):BTC站上5W2关口,IV继续震荡上行

Odaily星球日报Publicado a 2024-02-15Actualizado a 2024-02-15

Resumen

BTC延续了上行的动能,日内上行4.1%,顺利在52000美元关口站稳脚步;ETH日内收涨4.6%,逼近2800美元;期权方面,Vol Skew仍在历史高位,ATM Vol也依然维持震荡上行的趋势,整体水平来到50% Vol以上,ETH高出BTC 2~3%Vol。

SignalPlus波动率专栏(20240215):BTC站上5W2关口,IV继续震荡上行

SignalPlus波动率专栏(20240215):BTC站上5W2关口,IV继续震荡上行

继周三超出预期的 CPI 数据令市场大失所望并带动美债收益率整体跃升之后,昨日(14 FEB)芝加哥联储主席古尔斯比出面发表鸽派言论,称市场不应因一个月的 CPI 数据而过激,同时重申了美联储是以 PCE 作为通胀目标而不是 CPI,并认为当前仍在重返 2% 目标的正确道路上。固定收益市场的情绪因此受到安抚,美债收益率缓慢下行,当前两年期/十年期分别为 4.57% /4.227% ,股市也受此提振得以收复大半失地,道指/标普/纳指分别上涨 0.4% /0.96% /1.3% 。

SignalPlus波动率专栏(20240215):BTC站上5W2关口,IV继续震荡上行

Source: SignalPlus, Economic Calendar

SignalPlus波动率专栏(20240215):BTC站上5W2关口,IV继续震荡上行

Source: Binance & TradingView

数字货币方面,BTC 延续了上行的动能,日内上行 4.1% ,顺利在 52000 美元关口站稳脚步;ETH 日内收涨 4.6% ,逼近 2800 美元;期权方面,Vol Skew 仍在历史高位,ATM Vol 也依然维持震荡上行的趋势,整体水平来到 50% Vol 以上,ETH 高出 BTC 2 ~ 3% Vol。

交易方面,ETH 本周和月末的 Call 遭到大量抛售,其中包括大量处在 2300-2400 之间的止盈订单,三月底则是集中了以 Buy 2700 vs 3200 Call Spread 为代表的看涨策略,除此以外还有诸如 Buy 29 MAR 3200-C vs Sell 26 APR 4000-C 这样买近卖远的三角价差,相似的交易我们也能在 BTC 上观察到,例如 Buy 29 MAR 60000-C vs Sell 75000-C(350 BTC per leg)

SignalPlus波动率专栏(20240215):BTC站上5W2关口,IV继续震荡上行

Source: Deribit (截至 15 FEB 16: 00 UTC+ 8)

SignalPlus波动率专栏(20240215):BTC站上5W2关口,IV继续震荡上行

Source: SignalPlus

SignalPlus波动率专栏(20240215):BTC站上5W2关口,IV继续震荡上行

SignalPlus波动率专栏(20240215):BTC站上5W2关口,IV继续震荡上行

Data Source: Deribit,ETH 前端 Call 被大量抛售

SignalPlus波动率专栏(20240215):BTC站上5W2关口,IV继续震荡上行

Data Source: Deribit

SignalPlus波动率专栏(20240215):BTC站上5W2关口,IV继续震荡上行

Source: Deribit Block Trade

SignalPlus波动率专栏(20240215):BTC站上5W2关口,IV继续震荡上行

Source: Deribit Block Trade

SignalPlus波动率专栏(20240215):BTC站上5W2关口,IV继续震荡上行

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