SignalPlus波动率专栏(20240226)：ETH站上3000关口，IV维持高位

Odaily星球日报Published on 2024-02-26Last updated on 2024-02-26

Abstract

数字货币方面，BTC已经在51000-52000美元附近横盘接近12天，ETH则是实现了进一步的突破来到3000点上方，收报3092（+2%）。期权方面，ETH隐含波动率仍然居于60%附近的高点，BTC大多则是在50%附近，中前端IV差距高达10% Vol。

SignalPlus波动率专栏(20240226)：ETH站上3000关口，IV维持高位

SignalPlus波动率专栏(20240226)：ETH站上3000关口，IV维持高位

自上周英伟达超预期的财报公布后，科技板块经历了惊人的涨幅，尽管周五因部分获利了结而稍显落后，但美股仍保持在历史高点附近。另一方画面，卖方经济学家一直在上修美国经济增长预测，普遍认为经济衰退的可能性已经降至 40% 不到， 2024 年经济增长预测的中位数为 2.1% ，高盛也因强劲的经济数据而将美联储首次降息的预测推迟至 6 月，当前互换市场对 5 ， 6 月降息的概率分别定价在 22% 和 68% 左右。美债方面，十年期美债于周五美盘时段大幅跳水，现报 4.242% ，两年期回落至 4.682% 。

SignalPlus波动率专栏(20240226)：ETH站上3000关口，IV维持高位

Source: SignalPlus, Economic Calendar

SignalPlus波动率专栏(20240226)：ETH站上3000关口，IV维持高位

Source: Binance & TradingView

数字货币方面，BTC 已经在 51000-52000 美元附近横盘接近 12 天，ETH 则是实现了进一步的突破来到 3000 点上方，收报 3092 （+ 2% ）。期权方面，ETH 隐含波动率仍然居于 60% 附近的高点，BTC 大多则是在 50% 附近，中前端 IV 差距高达 10% Vol。

SignalPlus波动率专栏(20240226)：ETH站上3000关口，IV维持高位

Source: Deribit （截至 26 FEB 16: 00 UTC+ 8）

SignalPlus波动率专栏(20240226)：ETH站上3000关口，IV维持高位

Source: SignalPlus

交易方面，BTC 六月底突然涌现看涨期权买入，主要来自大宗 85000 买 Call，以及一组 Buy 28 Jun Sell 29 Mar 60000-C 的日历价差；除此之外，尽管是上周买 Vol 的热门期限，过去 24 小时 1 MAR 的成交主要却以 Short Put Spread 和 Short Call 为主。

另一方面，观察到过去 24 小时 BTC/ETH 前端的 Vol Skew 明显下滑，三月往后的期限上扬，从交易上看，ETH 四月底出现了以 2600 vs 3700/ 2800 vs 3600 为代表的两组 Long Risky，总成交量逾 10000 组。

SignalPlus波动率专栏(20240226)：ETH站上3000关口，IV维持高位

Data Source: Deribit，BTC 成交分布

SignalPlus波动率专栏(20240226)：ETH站上3000关口，IV维持高位

Source: SignalPlus，前端 Vol Skew 下行

SignalPlus波动率专栏(20240226)：ETH站上3000关口，IV维持高位

Data Source: Deribit，ETH 成交分布

SignalPlus波动率专栏(20240226)：ETH站上3000关口，IV维持高位

Source: Deribit Block Trade

SignalPlus波动率专栏(20240226)：ETH站上3000关口，IV维持高位

Source: Deribit Block Trade

SignalPlus波动率专栏(20240226)：ETH站上3000关口，IV维持高位

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