SignalPlus波动率专栏(20240119)：BTC短线下挫5%，中远端IV延续跌势

Odaily星球日报2024-01-19 tarihinde yayınlandı2024-01-19 tarihinde güncellendi

Özet

在接近一周的横盘行情过后，BTC于昨日短线下挫约5%，一度挑战41000关口并受到支撑，创下ETF批准后的新低点。市场密切关注与ETF相关的资金流向，不少分析都将近期BTC的下行归咎于灰度BTC的抛压。

昨日（18 JAN）美联储博斯蒂克向市场做出表态，他表示，如果通胀进展放缓，最好在更长时间保持较高利率，如果通胀率更快下降，可能会提前降息。在这之后，美国公布当周初请失业金人数录得 18.7 万人（低于预期的 20.7 万），是去年九月底以后的新低，凸显了劳动力市场依旧稳健的现状，并再次打压了市场对美联储降息的预期，美债收益率应声走高，当前两年期和十年期分别为 4.346% /4.150% 。美国三大股指高开高收，道指/标普/纳指分别上涨 0.54% /0.88% /1.35% 。

SignalPlus波动率专栏(20240119)：BTC短线下挫5%，中远端IV延续跌势

Source: SignalPlus, Economic Calendar

数字货币方面，在接近一周的横盘行情过后，BTC 于昨日短线下挫约 5% ，一度挑战 41000 关口并受到支撑，创下 ETF 批准后的新低点。市场密切关注与 ETF 相关的资金流向，不少分析都将近期 BTC 的下行归咎于灰度 BTC 的抛压，其中，摩根大通指出了流动性和市场深度的重要性，表示如果 GBTC 失去流动性优势，可能会有更多的资本退出，金额将达到 50 亿至 100 亿美元；同时也提到，在机构投资者陆续退出 GBTC 的同时，“来自散户投资者的比特币钱包最近几天有所缩减”，他们似乎正从交易所转向更便宜的现货 BTC ETF。

SignalPlus波动率专栏(20240119)：BTC短线下挫5%，中远端IV延续跌势

Source: Binance & TradingView

期权方面，过去 24 小时 BTC/ETH 中远端 IV 再度降低了 2% /4% 左右，BTC 整体水平几乎已经贴近过去三个月以来的最低点，同时在交易商，ETH 一月和六月底分别出现了数笔看跌波动率的 Short Strangle，但 BTC 上则相反，交易员选择了在过去三个月以来低点时刻逢低买入 23 Feb 44000 Straddle 看涨波动率，此处也接近该期限曲面的最低点。另外，一月底交易最为活跃，市场上明显出现了买 put 卖 Call 的倾向，使得该到期日 25 dRR 下行大约 2% 至 Vol Skew 曲线低点。

SignalPlus波动率专栏(20240119)：BTC短线下挫5%，中远端IV延续跌势

Source: Deribit （截至 18 JAN 16: 00 UTC+ 8）

SignalPlus波动率专栏(20240119)：BTC短线下挫5%，中远端IV延续跌势

Source: SignalPlus

SignalPlus波动率专栏(20240119)：BTC短线下挫5%，中远端IV延续跌势

Source: SignalPlus

SignalPlus波动率专栏(20240119)：BTC短线下挫5%，中远端IV延续跌势

Source: SignalPlus, BTC 一月底 25 dRR 下降 2% 至 Vol Skew 曲线低点

SignalPlus波动率专栏(20240119)：BTC短线下挫5%，中远端IV延续跌势

Source: Deribit Block Trade

SignalPlus波动率专栏(20240119)：BTC短线下挫5%，中远端IV延续跌势

Source: Deribit Block Trade

SignalPlus波动率专栏(20240119)：BTC短线下挫5%，中远端IV延续跌势

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