SignalPlus波动率专栏(20231220):波动率曲线走陡,BTC 12Jan维持局部高点

Odaily星球日报Published on 2023-12-20Last updated on 2023-12-20

Abstract

BTC价格在昨天收盘后小幅回落至42000美元,而后逐渐收复几乎全部失地,接近平收(-0.3%)。期权方面,BTC/ETH两者的前端隐含波动率再度下调,后端微涨,曲线整体走陡。

SignalPlus波动率专栏(20231220):波动率曲线走陡,BTC 12Jan维持局部高点

SignalPlus波动率专栏(20231220):波动率曲线走陡,BTC 12Jan维持局部高点

昨日(19 Dec),拥有明年 FOMC 货币投票权的里士满联储主席巴尔金发表言论,指出美联储在降低通胀方面取得了良好进展,但在开始降息之前希望看到更加一致的数据;芝加哥联储主席古尔斯比同样发表讲话称,美联储尚未承诺降息,并指出市场当前的反应有些超前。尽管美联储官员接连为降息预期泼冷水,美债收益率仍在下跌,其中十年期收益率下破 3.9% 关口报 3.891% ,两年期收益率报 4.386% 。美三大股指集体收涨,道琼斯指数创下收盘的历史新高,收报 37557.92 点(+ 0.68% ),标普和纳指分别收涨 0.59% /0 。66% 。日圆方面,日本央行决议维持基准利率与 YCC 不变,行长植田和男在发布会上表示,下次会议加息的可能性很低,目前很难确定退出负利率政策的计划。

SignalPlus波动率专栏(20231220):波动率曲线走陡,BTC 12Jan维持局部高点

Source: SignalPlus, Economic Calendar

SignalPlus波动率专栏(20231220):波动率曲线走陡,BTC 12Jan维持局部高点

Source: Binance & TradingView

数字货币方面,BTC 价格在昨天收盘后小幅回落至 42000 美元,而后逐渐收复几乎全部失地,接近平收(-0.3% )。期权方面,BTC/ETH 两者的前端隐含波动率再度下调,后端微涨,曲线整体走陡,且受到市场对一月初 SEC 可能批准 BTC ETF 的决策影响,BTC 的 ATM Vol 在 12 Jan 24 上维持了期限局部高点。交易方面,BTC 12 月到期的平值看涨期权遭到大量抛售,同时 12 Jan 和 26 Jan Wing 上的 Call 持续得到买入,部分解释了今天 IV Curve 走陡的现象;ETH 5 Jan 上单腿接近 10000 ETH 的 1950 vs 2100 Long Put Spread 成交吸引了市场注意,为年初价格可能的下行波动做出保护。

SignalPlus波动率专栏(20231220):波动率曲线走陡,BTC 12Jan维持局部高点

Source: Deribit (截至 20 DEC 16: 00 UTC+ 8)(As of 20 DEC 08: 00 UTC)

SignalPlus波动率专栏(20231220):波动率曲线走陡,BTC 12Jan维持局部高点

Source: SignalPlus

SignalPlus波动率专栏(20231220):波动率曲线走陡,BTC 12Jan维持局部高点

Source: Deribit Block Trade

SignalPlus波动率专栏(20231220):波动率曲线走陡,BTC 12Jan维持局部高点

Source: Deribit Block Trade

SignalPlus波动率专栏(20231220):波动率曲线走陡,BTC 12Jan维持局部高点

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