BTC波动率周回顾（12月9日-12月16日）

Odaily星球日报Published on 2024-12-17Last updated on 2024-12-17

Abstract

币价走势从单边修正变成了克制上行。我们看到最高价格以非常平衡的方式不断刷新，暗示当前这轮进程会在接下来几周内达到顶峰，目标价格在110-115千美元范围内，而不是我们原先的115-120千美元目标。

BTC波动率周回顾（12月9日-12月16日）

关键指标：（十二月 9 日 下午四点-> 十二月 16 日 下午四点 香港时间）

  • BTC 对 USD 上涨 5.3% ( 99, 600 千美元-> 104, 880 千美元)，ETH 对 USD 上涨 1.5% ( 3, 910 千美元->3, 970 千美元)

  • BTC 对 USD 十二月（年底）ATM 波动不变( 55.2->55.2)，十二月 25 d 偏度降低 2.5 点( 4.2->1.7)

现货关键技术指标

BTC波动率周回顾（12月9日-12月16日）

  • 币价走势从单边修正变成了克制上行。我们看到最高价格以非常平衡的方式不断刷新，暗示当前这轮进程会在接下来几周内达到顶峰，目标价格在 110-115 千美元范围内，而不是我们原先的 115-120 千美元目标。

  • 如果在此之前币价再次跌破 100 千美元，可能会导致价格回落到 90-95 千美元区间，同时意味着当前这波上涨只是属于一次较长的修正，最终的上涨还是会在明年到来。另一方面，如果币价迅速突破 106.5 千美元，可能会引发更加动荡的爆发性上涨。

市场主题

  • 在没有明显的短期催化剂可以扭转上涨趋势的前提下，风险资产在年底前持续小幅增长。美国消费者价格指数与预期一致。尽管核心数字仍然高于美联储的最终目标，市场对本周 100% 降息 25 个基点的预期没有发生任何变化。

  • 宏观背景对加密货币的支持令比特币获益多多。比特币价格一跌破 100 千美元就受到抢购，并在本周再度创下新高。纳斯达克指数把 MSTR 纳入指数的消息推动币价在周末上涨，同时 Taylor 本人也暗示更多买家即将进场，刺激币价终于完全突破了 104 千美元的关键阻力位。比特币和其他小币的资金费率本周回归正常，表明该类头寸在结束了不错的一年后开始清仓。

ATM 隐含波动率

BTC波动率周回顾（12月9日-12月16日）

  • 尽管本周 BTCUSD 现货价格相对波折，并最终创下新高，实际波动率并没有太大的提高。感觉上年底市场上开的仓位相对较少，这从回归正常的资金费率和基差中也可见一斑。这对年底前的合约造成了卖压，其中十二月 27 日到期的隐含波动率在本周周末短暂地掉下 50 点。但是从明年 1 月开始到期的合约仍然保持坚挺的买盘。市场上看到了对明年二月/三月上方（130 千美元-150 千美元）的大量需求，同时还有对二月/三月的下方（70 千美元-75 千美元）的需求。前者很可能是在把现货多头转移到一季度的期权上，后者则是为了对冲核心的比特币多头。

  • 我们预计隐含波动率会在一月回归较低的水平。目前市场对一季度的定价在平均每周 60 点隐含波动率以上，这个水平按照历史数据看会很难维持住。在此期间，市场在隐含波动率上保留了一些风险溢价，以防在新年前后流动性不足造成的影响。

BTC 偏度/峰度

BTC波动率周回顾（12月9日-12月16日）

BTC波动率周回顾（12月9日-12月16日）

  • 尽管隐含波动率水平随着现货价格上涨而上升，偏度在本周呈下降趋势。主要是由对二月和三月到期的下行行权价（很可能是对冲的流量）的需求，同时经典的看涨价差为做市商在 105-110 千美元区间预留了 Vega 多头。

  • 伴随着币价和偏度的相关性在目前的币价位置被打破，峰度总体上也单边下调。市场把波动率更多地定价在了 90-120 千美元的范围，看起来币价在接下来一个月会保持在这个区间内。

BTC波动率周回顾（12月9日-12月16日）

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707 Total ViewsPublished 2025.05.13Updated 2025.05.13

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