SignalPlus波动率专栏(20240809)：两个问题

Odaily星球日报Published on 2024-08-09Last updated on 2024-08-09

Abstract

过去24小时，加密货币市场集中关注两个焦点，一是IV为什么垮了，二是为什么涨了？币价的上涨带动Vol Skew回升，自看跌一侧的大量抛售更是显著增加了BTC十月到年底斜率。

SignalPlus波动率专栏(20240809)：两个问题

SignalPlus波动率专栏(20240809)：两个问题

过去 24 小时，加密货币市场集中关注两个焦点，一是 IV 为什么垮了，二是为什么涨了？我们可以顺着时间线找到一些线索。

事情开始于 8 月 8 日晚上 7: 30 左右。在此之前，昨日 BTC 的画门行情将市场整体隐含波动率逐步推至高点，而正当价格恢复平静在 57500 附近小幅整盘时，Deribit 市场上突然出现大量 Dec 和 Oct 的卖出看跌期权成交，年底的 IV 短时间内被砸低 3% Vol，带动整条 Vol Curve 大幅向下平移。

SignalPlus波动率专栏(20240809)：两个问题

SignalPlus波动率专栏(20240809)：两个问题

Source: SignalPlus Time Lapse IV / Historical IV

SignalPlus波动率专栏(20240809)：两个问题

SignalPlus波动率专栏(20240809)：两个问题

Source: SignalPlus Trade Volume by Expiry; Recent Block Trade

SignalPlus波动率专栏(20240809)：两个问题

Source: Deribit （截至 9 AUG 16: 00 UTC+ 8）

而后来到晚上 08: 30 ，美国公布了新一轮的初请失业金人数，数据下降幅度接近一年来最大，缓解了人们对全球最大经济体经济放缓的担忧，美股强劲反弹（道指/标普/纳指分别收涨 1.76% /2.3% /2.87% ），美债收益率走高。作为与美指高度正相关的风险资产，BTC 价格也受到提振，从 57500 一路上行突破 60000 美元，并一度挑战 62000 这道关键支撑位。

但说回宏观这件事，这周对全球投资者来说都是相当艰难，SoFi 的 Liz Young Thomas 对此评论：“起伏不定，四处皆是。我们了解到市场对美国经济数据的敏感程度，日元套利交易影响的广泛性，以及投资者对降息作为解决一切问题的习惯。”

也正是在如此波动的行情中，市场的焦虑和不安逐渐累积，投资者的情绪一直处于低迷的状态，才让这份通常没被人放在“High-Importance”的数据引如此大的波动。或许本月初开始的恐慌有些夸大，但这份数据并不见得平息了衰退的恐慌。摩根大通的 Lakos-Bujas 向市场发出警告，股市不再是单向上行交易，而是越来越对围绕经济增长下行风险，美联储降息的时机，仓位过多，估值过高，以及总统选举和地缘政治不确定性上升展开的双向辩论。

SignalPlus波动率专栏(20240809)：两个问题

SignalPlus波动率专栏(20240809)：两个问题

Source: TradingView; SignalPlus, Economic Calendar

另外，经过这两轮事件后我们观察到，币价的上涨带动 Vol Skew 回升，自看跌一侧的大量抛售更是显著增加了 BTC 十月到年底斜率，使得 25 dRR 指标在局部范围内大幅上行，波动率曲面在一夜之间发生了明显的转变。

SignalPlus波动率专栏(20240809)：两个问题

Source: SignalPlus

SignalPlus波动率专栏(20240809)：两个问题

Data Source: SignalPlus， ETH Top Trade

SignalPlus波动率专栏(20240809)：两个问题

Data Source: SignalPlus， BTC Top Trade

SignalPlus波动率专栏(20240809)：两个问题

您可在 t.signalplus.com 使用 SignalPlus 交易风向标功能，获取更多实时加密资讯。如果想即时收到我们的更新，欢迎关注我们的推特账号@SignalPlusCN，或者加入我们的微信群（添加小助手微信：SignalPlus 123）、Telegram 群以及 Discord 社群，和更多朋友一起交流互动。SignalPlus Official Website：https://www.signalplus.com

Related Reads

Options Don't Work in DeFi? Vitalik Might Not Agree

For years, the prevailing view has been that options struggle to gain traction in DeFi due to complexity, fragmented liquidity, and lack of natural demand compared to products like perpetual futures. However, a recent algorithmic stablecoin design proposed by Vitalik Buterin presents a different perspective, using options not as a standalone trading product, but as foundational infrastructure for other financial instruments. In this design, one unit of ETH is split into two components: a "stable" side (P) that retains value up to a specified strike price, and an "upside" side (N) that captures all appreciation above that strike. Combined, they always equal one ETH, eliminating debt, margin, and liquidation risks inherent in typical collateralized debt position (CDP) stablecoins. The stable component essentially mimics the payoff of a covered call option. To function as a stablecoin, this structure requires continuously rolling deep in-the-money calls, which introduces challenges like rollover slippage, predictable transaction flow vulnerable to front-running, and persistent liquidity needs. A core hurdle is finding consistent buyers for the leveraged ETH upside exposure (N). While it offers leverage without funding rates or liquidation, it must compete with simpler alternatives like direct call options or perpetuals. The system's scalability depends on a sustained demand for this specific form of leverage. The author draws parallels to their experience with Rysk, where earlier versions of DeFi options protocols struggled. The breakthrough came with Rysk V12, which aligns incentives: asset holders generate yield by selling covered calls against their holdings, while market makers efficiently acquire the desired option exposure. This demonstrates that options can find product-market fit when embedded as a risk distribution and pricing engine within structured products, stablecoins, or yield-generating assets, rather than marketed as a complex direct trading instrument. Vitalik's proposal reinforces this architectural approach—using fully collateralized, non-custodial, and physically settled options as a fundamental building block. The real opportunity for options in DeFi may lie not in becoming the next perpetual swap, but in powering the next generation of on-chain financial products.

marsbit10m ago

Options Don't Work in DeFi? Vitalik Might Not Agree

marsbit10m ago

Ethereum Foundation Faces Another Departure as Hsiao-Wei Wang Steps Down

Hsiao-Wei Wang, a key researcher and contributor, has resigned from the Ethereum Foundation. Her work was pivotal in Ethereum's transition to Proof-of-Stake and projects related to scalability and validator engagement. This departure is part of a broader period of organizational restructuring and strategic reorientation for the Foundation, which has seen several other high-profile exits recently. The Foundation is implementing leadership and structural changes to better define its role within the ecosystem, while emphasizing that Ethereum's development remains decentralized. This transition occurs as developers continue work on major initiatives like the Glamsterdam update and Layer-1 scaling. Market observers view these changes as the Foundation adapting to support Ethereum's ongoing growth.

TheNewsCrypto46m ago

Ethereum Foundation Faces Another Departure as Hsiao-Wei Wang Steps Down

TheNewsCrypto46m ago

Conversation with Investor Zheng Di: MicroStrategy's Coin Sale Experiment, AI Economy, and Opportunities in US Stocks

Frontier tech investor Zheng "Didier" Di discusses the recent Bitcoin price drop, the financial strategy shift at MicroStrategy, the AI-driven surge in U.S. stocks, and the evolving role of crypto exchanges. Didier posits that the recent BTC decline stems less from macro factors or ETF outflows, and more from market repricing due to MicroStrategy's new financial structure. Following a wave of preferred stock and debt issuance (STRC, STRZ, etc.), MicroStrategy must now manage cash flow to pay dividends, potentially leading to a market expectation of sustained, small-scale BTC sales to maintain its "per-share bitcoin neutral" principle. Didier views this as a financial "experiment" testing market capacity for such recurring sell pressure, which, while creating near-term structural headwinds, likely avoids a true "death spiral" absent major new external shocks. Shifting to AI, Didier argues that tokens are becoming the new form of labor, with AI models and compute (tokenized inputs) increasingly replacing human roles in execution and middle-management. This drives enterprise efficiency and higher margins, fueling the sustained rally in U.S. semiconductor, data center, and infrastructure stocks. He foresees an emerging "machine economy" where automated agents transact and collaborate on-chain. Regarding crypto exchanges offering U.S. equities, Didier sees this as a natural evolution. With few crypto-native assets generating lasting value, exchanges are pivoting towards real-world assets (RWAs) like stocks and bonds. This doesn't necessarily cannibalize crypto but reflects a maturing industry focusing on blockchain's core utilities: decentralized choice and efficient settlement. He notes that trading logic for crypto natives doesn't need to drastically change, as meme-driven and fundamentalist strategies find analogs in U.S. markets. The "1011 event" (likely referring to a major market crash) severely damaged crypto market liquidity, marking a probable end to the altcoin speculative cycle, with capital flowing towards the deeper liquidity of U.S. markets. For the macro outlook, Didier is cautious about near-term market pressure from potential mega-IPOs (e.g., SpaceX) and the U.S. midterm elections, which could bring more regulatory scrutiny. Long-term, he remains bullish on AI's productivity gains and its convergence with blockchain/Web3, predicting a shift from speculative frenzy to a more institutionalized, industrial phase for the crypto sector.

marsbit47m ago

Conversation with Investor Zheng Di: MicroStrategy's Coin Sale Experiment, AI Economy, and Opportunities in US Stocks

marsbit47m ago

Playnance’s $GCOIN Lists on KoinBX Amid Rapid Growth in India

Playnance's native token, $GCOIN, has been listed on the cryptocurrency exchange KoinBX as of June 18. This move aims to enhance accessibility for its rapidly growing community, particularly in India, where the blockchain-powered Web3 iGaming ecosystem has gained significant traction. Over 130 partners in Playnance's "Be the Boss" program have built communities engaging thousands of active players in the region. The "Be the Boss" model allows participants to create and manage their own gaming communities, earning rewards tied to community activity. CEO Pini Peter noted India's high engagement, with community leaders successfully building player networks. One partner, Dr. Nicolas, reported earning over $57,000 through the program in recent months, highlighting both the financial rewards and the opportunity to grow an engaged community. $GCOIN serves as the ecosystem's core utility token, incentivizing participation and aligning the interests of players and community leaders ("Bosses"). The listing on KoinBX is part of Playnance's strategy to expand globally, increasing the token's utility and accessibility by combining community ownership, gamified engagement, and blockchain-based incentives. Founded in 2020, Playnance is a Web3 iGaming infrastructure company focused on creating live, non-custodial, on-chain products to onboard mainstream users. It currently processes approximately one million transactions daily, aiming to simplify the user experience while maintaining full on-chain transparency.

TheNewsCrypto1h ago

Playnance’s $GCOIN Lists on KoinBX Amid Rapid Growth in India

TheNewsCrypto1h ago

STRC Hits Historic Low, Saylor's Perpetual Motion Machine Grinds to a Halt

STRC, the perpetual preferred stock issued by MicroStrategy to fund its Bitcoin purchases, hit a historic low of $85.32, a 17% discount to its $100 par value. Designed as a "digital credit engine" to trade stably near par and enable continuous share issuance for buying Bitcoin, its plunge signals a breakdown in this model. Three key factors drove the decline: 1. Bitcoin's price fell over 50% from its peak, trading around $63,000 amid hawkish Fed signals. 2. MicroStrategy's cash reserves were depleted after a $1.5 billion convertible note repayment, slashing the dividend coverage for STRC's 11.5% yield to ~7 months. The company then sold 32 BTC to cover dividends—Michael Saylor's first Bitcoin sale since 2022—damaging the "never sell" narrative. 3. A competing Bitcoin-backed preferred stock, Strive's SATA, offers a higher yield (~13%) and daily dividends, drawing investors away from STRC. The drop triggers a negative cycle: STRC below par halts ATM share issuances, cutting off a key funding source for Bitcoin buys and potentially forcing more BTC sales for dividends, further eroding confidence. While Saylor argues the model is mathematically sound—needing only 2.3% annual Bitcoin growth to sustain itself—the market is testing the resilience of the leveraged Bitcoin treasury strategy in a bear market. The STRC price now reflects rising skepticism about this financial machinery's durability during downturns.

marsbit1h ago

STRC Hits Historic Low, Saylor's Perpetual Motion Machine Grinds to a Halt

marsbit1h ago

Trading

Spot
Futures
活动图片

Hot Categoriesright-arrow

Hot Tagsright-arrow