SignalPlus波动率专栏(20231102)：FOMC之夜

Odaily星球日报Publicado em 2023-11-02Última atualização em 2023-11-02

Resumo

BTC上涨至35000上方站稳脚跟，并一度挑战36000关口，BTC/ETH期权IV也在4点开始全线大幅上涨。

SignalPlus波动率专栏(20231102)：FOMC之夜

SignalPlus波动率专栏(20231102)：FOMC之夜

FOMC 之夜，市场聚焦于美国数据的公布，美联储的利率决策和鲍威尔主席的谈话。在会议开始前， 1 Nov 20: 15 UTC+ 8 公布的ADP 就业人数增幅录得 11.3 万，低于预期的 15 万，刺激了包括数字货币在内的部分风险产品的买入，BTC 一度上涨 2% +突破 35000 关口，但很快回吐了全部涨幅。22: 00 UTC+ 8 美国 9 月职位空缺超出预期，连续第二个月攀升，凸显了经济各领域对劳动力的强劲需求，同时 ISM 制造业 PMI 录得 46.7 ，远低于预期和前值的 49 ，创下一年来最大跌幅，BTC 在这之后继续下跌，至 34000 附近后开始小幅反弹。2 Nov 2: 00 a.m. UTC+ 8 FOMC 会议开始，美联储如预期保持利率不变，声明中增加关注“金融状况”收紧，强调了通胀有双向风险，以及美国第三季度经济活动扩张速度强劲。决议公布后，美债收益率走低。在随后的讲话中，鲍威尔称，加息周期已接近尾声，美联储正在谨慎行事，考虑是否必须再加息，且并未考虑降息。尽管鲍主席的谈话中略带一丝鹰派，但由于投资者预期美联储不会进一步加息，美债收益率开始加速下跌，当前二年/十年期美债分别收报 4.95% /4.71% ，倒挂幅度缩窄到 0.24% 。受此影响，数字货币也随之积蓄势能，于 4 a.m. UTC+ 8 点加速上涨至 35000 上方站稳脚跟，并一度挑战 36000 关口。BTC/ETH 期权 IV 也在 4 点开始全线大幅上涨（BTC+ 5% ，ETH+ 7% ），直至UTC+ 8 11: 00 a.m.价格见顶，IV 才随价格共同出现回落，最终 BTC/ETH 收涨于 35297.71/1835.1 （+ 2.39% /+ 1.59% ）

SignalPlus波动率专栏(20231102)：FOMC之夜

Source: Binance & TradingView

SignalPlus波动率专栏(20231102)：FOMC之夜

Source: SignalPlus, Economic Calendar

SignalPlus波动率专栏(20231102)：FOMC之夜

Source: Deribit （截至 2 NOV 16: 00 UTC+ 8）

SignalPlus波动率专栏(20231102)：FOMC之夜

Source: SignalPlus

成交方面，Call Spread依然是大宗市场里最受欢迎的策略。BTC 上不仅有以 10 Nov 37500 vs 40000 为代表的短期 C/S，年底也有单笔 500 组的 42000 vs 50000 Long C/S，持续看好近期 BTC 上涨行情。ETH 方面，在 4 点价格还未开始突破之前，年底 1800 vs 2000 Call Spread 被大量抛售，当行情上涨后， 24 Nov 又迎来了大量 2000 vs 2300 的买入建仓。同时我们也能观察到，BTC/ETH 近期的 Vol Skew 更加向 Call 这侧倾斜， 25 dRR 大幅上涨。

SignalPlus波动率专栏(20231102)：FOMC之夜

Source: SignalPlus

SignalPlus波动率专栏(20231102)：FOMC之夜

Source: Deribit Block Trade

SignalPlus波动率专栏(20231102)：FOMC之夜

Source: Deribit Block Trade

SignalPlus波动率专栏(20231102)：FOMC之夜

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