SignalPlus波动率专栏(20240411)：ETH四月底看涨期权被大量抛售，IV持续下滑

Odaily星球日报Published on 2024-04-11Last updated on 2024-04-11

Abstract

BTC 回弹到 7 W 上方，长期震荡趋势仍在收缩区间之内，从期权上看，统计数据里反应出来的 IV/RV 波动敞口依然显著，前端隐含波动率在大量看涨期权的抛售下持续下行。

SignalPlus波动率专栏(20240411)：ETH四月底看涨期权被大量抛售，IV持续下滑

SignalPlus波动率专栏(20240411)：ETH四月底看涨期权被大量抛售，IV持续下滑

昨日（10 APR）全线高于预期的美国 CPI 数据给予市场一记重创。具体来看， 3 月 CPI 年增 3.5% ，高于市场预期和前值，而剔除食品和能源成本的核心 CPI 年增 3.8% ，高于预期 0.1% ，与前值持平。根据报告， 3 月汽油和住房支出飙升贡献 CPI 接近 50% 的涨幅，车保，医疗支出和服装费用也有所成长，在核心指数中，商品成本增速下滑，服务业重新升温。

SignalPlus波动率专栏(20240411)：ETH四月底看涨期权被大量抛售，IV持续下滑

Source: SignalPlus, Economic Calendar

数据公布后，美债收益率大幅跳涨，十年期收益率上破 4.5% 关口，两年期逼近 5% 大关，现报 4.967% ， 5/30 年期收益率出现自去年 9 月以来首次倒挂。互换市场因此推迟了预期降息的时间，截至目前， 6 月不降息的概率从原来的 50/50 升至 83.5% ，全年降息次数预期不到两次。降息的延后使得美股承压下跌，特别是一些借贷成本较高的企业，三大股指在-1% 左右收跌。从另一个角度看，尽管降息的预期一降再降，但美国经济数据仍然非常强劲，在此节点上，与其押注方向，降低风险敞口或许是更好的选择？

SignalPlus波动率专栏(20240411)：ETH四月底看涨期权被大量抛售，IV持续下滑

Source: Investing; 对利率政策敏感的美国两年期国债收益率大幅跳涨挑战 5.0% 大关

SignalPlus波动率专栏(20240411)：ETH四月底看涨期权被大量抛售，IV持续下滑

Source: SignalPlus & TradingView

数字货币方面，BTC 回弹到 7 W 上方，长期震荡趋势仍在收缩区间之内，从期权上看，统计数据里反应出来的 IV/RV 波动敞口依然显著，前端隐含波动率在大量看涨期权的抛售下持续下行，其中 ETH 四月底的 Call 紧跟昨日 BTC 的步伐，呈现压倒性的看涨期权卖出；另外 ETH 六月底大宗的买入看跌价差保护也是市场关注的焦点，同时 BTC 的看跌期权也在昨日得到市场的青睐。

SignalPlus波动率专栏(20240411)：ETH四月底看涨期权被大量抛售，IV持续下滑

Source: Deribit （截至 11 APR 16: 00 UTC+ 8）

SignalPlus波动率专栏(20240411)：ETH四月底看涨期权被大量抛售，IV持续下滑

Source: SignalPlus, ATM Vol 持续下滑

SignalPlus波动率专栏(20240411)：ETH四月底看涨期权被大量抛售，IV持续下滑

Source: SignalPlus,  波动率敞口依然显著，ETH 在大量的抛压下有所收敛

SignalPlus波动率专栏(20240411)：ETH四月底看涨期权被大量抛售，IV持续下滑

SignalPlus波动率专栏(20240411)：ETH四月底看涨期权被大量抛售，IV持续下滑

Data Source: Deribit，ETH 四月底看涨期权大卖，六月底 Long Put Spread 建仓

SignalPlus波动率专栏(20240411)：ETH四月底看涨期权被大量抛售，IV持续下滑

Data Source: Deribit，BTC 交易分布

SignalPlus波动率专栏(20240411)：ETH四月底看涨期权被大量抛售，IV持续下滑

Source: Deribit Block Trade

SignalPlus波动率专栏(20240411)：ETH四月底看涨期权被大量抛售，IV持续下滑

Source: Deribit Block Trade

SignalPlus波动率专栏(20240411)：ETH四月底看涨期权被大量抛售，IV持续下滑

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