SignalPlus波动率专栏(20231221)：蝶式，蝶式

Odaily星球日报Pubblicato 2023-12-21Pubblicato ultima volta 2023-12-21

Introduzione

数字货币币价今日持续上行，BTC有再度向45000阻力位发起挑战的趋势，但从期权的角度看，其隐含波动率曲线并未有太大变化，反观ETH IV则是在滞后一天后下行与BTC靠拢，前端IV与BTC的差值逆转成负数。

昨日（20 Dec）美债收益率持续下跌，亚盘开市后逐渐收复部分失地，两年期/十年期收益率现报 4.377% /3.886% 。美三大股指尾盘走低，道指和纳指的九日连涨遭到终结，分别下跌 1.27% /1.5% ，标普收跌 1.47% 。另一方面，因美国上周原油库存意外增加，燃料库存增幅超过预期以及石油产量创新纪录等影响，国际油价有所回调，WTI 和布伦特原油分别收跌 0.53% /0.24% 。

SignalPlus波动率专栏(20231221)：蝶式，蝶式

Source: SignalPlus, Economic Calendar

SignalPlus波动率专栏(20231221)：蝶式，蝶式

Source: Binance & TradingView

数字货币币价今日持续上行，BTC 有再度向 45000 阻力位发起挑战的趋势，但从期权的角度看，其隐含波动率曲线并未有太大变化，反观 ETH IV 则是在滞后一天后下行与 BTC 靠拢，前端 IV 与 BTC 的差值逆转成负数。

交易方面，BTC 的成交量罕见地被大宗蝶式策略占领，具体来看，明年六月的 Short 40000-55000-80000 Fly 是在平仓获利 40000-C 的同时继续建仓了一对看涨价差，而十二月底的 Long 45000-47500-50000 Fly 则是由买入 45000-C 作为起点同时向上卖出 47500-C，并买下 50000-C 作为极端行情保护。ETH 成交热点主要集中在 5 Jan 2100/2050-P vs 26 Jan 1600-P 的三角看跌策略博弈，其中卖出短期 Put 这个方向的交易总量大约是另一边的两倍。

SignalPlus波动率专栏(20231221)：蝶式，蝶式

Source: Deribit （截至 21 DEC 16: 00 UTC+ 8）

SignalPlus波动率专栏(20231221)：蝶式，蝶式

Source: SignalPlus

SignalPlus波动率专栏(20231221)：蝶式，蝶式

Source: Deribit Block Trade

SignalPlus波动率专栏(20231221)：蝶式，蝶式

Source: Deribit Block Trade

SignalPlus波动率专栏(20231221)：蝶式，蝶式

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