SignalPlus波动率专栏(20240116)：ETH IV向BTC回归

Odaily星球日报Published on 2024-01-16Last updated on 2024-01-16

Abstract

BTC仍在42000至43000区间小幅震荡，日内微涨0.22%，ETH则是在2500上方整盘，收涨0.72%。期权方面，由于实际波动率继续在低点徘徊，BTC IV曲线前端得到下调，Weekly ATM下降约4%至54.98%。

SignalPlus波动率专栏(20240116)：ETH IV向BTC回归

SignalPlus波动率专栏(20240116)：ETH IV向BTC回归

昨日（15 JAN）受马丁路德金纪念日假期的影响，美股美债休市一日，市场整体较为平静。

数字货币方面，BTC 仍在 42000 至 43000 区间小幅震荡，日内微涨 0.22% ，ETH 则是在 2500 上方整盘，收涨 0.72% 。期权方面，由于实际波动率继续在低点徘徊，BTC IV 曲线前端得到下调，Weekly ATM 下降约 4% 至 54.98% ；ETH 的变化更为显著，前端后端分别下调 8% /3% 左右，自 ETF 获批以后 ETH 相对 BTC 高昂的 Vol Premium 也在今天大幅收敛， 2 FEB 24 之前的 IV 已几乎持平。

交易方面，本周期权成交量仍未见起色，截止今日交割，BTC/ETH 全市场分别仅有 1.46/ 0.48 B 美金的成交额。Top Trade 为 ETH 27 SEP 24 3000 vs 4000 的 Long Call Spread，单腿 5000 ETH。

SignalPlus波动率专栏(20240116)：ETH IV向BTC回归

Source: SignalPlus, Economic Calendar

SignalPlus波动率专栏(20240116)：ETH IV向BTC回归

Source: Binance & TradingView

SignalPlus波动率专栏(20240116)：ETH IV向BTC回归

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

SignalPlus波动率专栏(20240116)：ETH IV向BTC回归

Source: SignalPlus，ETH IV 大幅下降

SignalPlus波动率专栏(20240116)：ETH IV向BTC回归

Source: SignalPlus，本周市场成交略显平淡

SignalPlus波动率专栏(20240116)：ETH IV向BTC回归

Source: Deribit Block Trade

SignalPlus波动率专栏(20240116)：ETH IV向BTC回归

Source: Deribit Block Trade

SignalPlus波动率专栏(20240116)：ETH IV向BTC回归

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