SignalPlus波动率专栏(20240214):CPI数据令人失望,BTC大涨迈向5W2

Odaily星球日报Pubblicato 2024-02-14Pubblicato ultima volta 2024-02-14

Introduzione

数字货币方面,分析报告指出,除GBTC以外的9只BTC现货ETF资金流入已经抵消了GBTC抛售造成的流出,BTC价格也在近一周的时间内高歌猛进上涨逾20%,接连突破数道阻力位,今日16点期权收盘以后又一波拉盘,向着52000关口迈进。

SignalPlus波动率专栏(20240214):CPI数据令人失望,BTC大涨迈向5W2

SignalPlus波动率专栏(20240214):CPI数据令人失望,BTC大涨迈向5W2

昨日(13 Feb)居高不下的住房价格给通胀带来压力,核心 CPI 指数环比上涨 0.4% ,超出市场的预期,互换市场定价美联储降息时间延后至七月。美债收益率整体跃升,两年/十年期收益率分别上破 4.6% /4.3% ,强势打压了此前几日美股市场高涨的风险情绪,对利率敏感的板块遭到投资者抛售,SPX 指数从接近 5050 点的历史新高回落至 4953.17 (日内-1.37% ),纳指和道指日内收跌 1.8% /1.35% 。在此情形之下,本周的零售数据和 PPI 数据至关重要,或将影响到市场的短期风险情绪走向。

SignalPlus波动率专栏(20240214):CPI数据令人失望,BTC大涨迈向5W2

Source: SignalPlus, Economic Calendar

SignalPlus波动率专栏(20240214):CPI数据令人失望,BTC大涨迈向5W2

Source: Binance & TradingView

数字货币方面,分析报告指出,除 GBTC 以外的 9 只 BTC 现货 ETF 资金流入已经抵消了 GBTC 抛售造成的流出,BTC 价格也在近一周的时间内高歌猛进上涨逾 20% ,接连突破数道阻力位,今日 16 点期权收盘以后又一波拉盘,向着 52000 关口迈进。

期权方面,隐含波动率整体呈现上行趋势,并随着 RV 的变化在中前端产生振幅较大的局部震荡。观察过去 24 小时的交易,市场并没有对此轮 BTC 的上行动能持续进行押注,相反,在当前 RR 处在(过去三个月)的历史最高点之时,我们能在大宗平台上观察到以 26 APR Buy 43000 P vs Sell 60000 C 为代表的 Short Risky 交易,同时也有短期卖出看涨(比例)价差成交。ETH 上情况相对乐观,在大量短期看涨期权被获利平仓的同时,部分看涨建仓向中远期发生转移,例如 29 MAR 3000 vs 3500 Call Spread,以及 28 JUN 4000 Long Call,单腿成交均达到 5000 ETH。

SignalPlus波动率专栏(20240214):CPI数据令人失望,BTC大涨迈向5W2

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

SignalPlus波动率专栏(20240214):CPI数据令人失望,BTC大涨迈向5W2

Source: SignalPlus

SignalPlus波动率专栏(20240214):CPI数据令人失望,BTC大涨迈向5W2

Source: SignalPlus

SignalPlus波动率专栏(20240214):CPI数据令人失望,BTC大涨迈向5W2

SignalPlus波动率专栏(20240214):CPI数据令人失望,BTC大涨迈向5W2

Data Source: Deribit

SignalPlus波动率专栏(20240214):CPI数据令人失望,BTC大涨迈向5W2

SignalPlus波动率专栏(20240214):CPI数据令人失望,BTC大涨迈向5W2

Data Source: Deribit

SignalPlus波动率专栏(20240214):CPI数据令人失望,BTC大涨迈向5W2

Source: Deribit Block Trade

SignalPlus波动率专栏(20240214):CPI数据令人失望,BTC大涨迈向5W2

Source: Deribit Block Trade

SignalPlus波动率专栏(20240214):CPI数据令人失望,BTC大涨迈向5W2

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