SignalPlus波动率专栏(20231211):宏观周拉开序幕,BTC大幅调整

Odaily星球日报Publicado em 2023-12-11Última atualização em 2023-12-11

Resumo

作为宏观数据周的开幕日,BTC在早间10点(UTC+8)左右短线跳水超过7%,并一度挑战40000大关,达到一周以来的最低水平。

SignalPlus波动率专栏(20231211):宏观周拉开序幕,BTC大幅调整

SignalPlus波动率专栏(20231211):宏观周拉开序幕,BTC大幅调整

上周五强劲的非农数据(录得 199 K,预期 180 K)打击了市场对美联储明年年中降息的预期,美债收益率全线反弹,当前两年期/十年期美债收益率分别报 4.744% / 4.261% 。本周将有众多关键的宏观数据发布,包括 CPI,PPI,零售数据等指标,还有周四凌晨重要的 FOMC 会议,市场已经充分定价了此次会议不会加息(525-550 概率为 98.6% ,from CME FedWatch),并仍预计 2024 年中期有开始降息的可能。

SignalPlus波动率专栏(20231211):宏观周拉开序幕,BTC大幅调整

Source: SignalPlus, Economic Calendar

SignalPlus波动率专栏(20231211):宏观周拉开序幕,BTC大幅调整

Source: SignalPlus & TradingView

作为宏观数据周的开幕日,BTC 在早间 10 点(UTC+ 8)左右短线跳水超过 7% ,并一度挑战 40000 大关,达到一周以来的最低水平。前一周的持续上涨随之由 FOMO 情绪带来的更多资金入场,即使市场有一定的调整预期,但这轮下跌仍旧清算了将近 1 亿美元的 BTC 多头头寸(Crypto 整体清算金额超过 3 亿美元),再次为投资者在 crypto 的波动幅度上敲响警钟。

期权方面,实际波动率的暴涨抬平了 IV 曲线,尽管 IV 随着价格极速回撤后的调整逐步回落,当前 BTC/ETH 整体隐含波动率水平仍维持在 50 ~ 55% 左右,为过去三个月以来的高位。交易方面,总体成交量略显低迷,BTC 看跌期权成交比例大涨,再度打压了前端的 Vol Skew,其中 15 Dec 40000-P 获得大量买入,OI 增长达到 1580 BTC;ETH 最大一组交易则是次年卖近买远(29 Mar 2300 vs 28 Jun 3000)的看涨三角价差,单腿成交额达 10000 ETH。

SignalPlus波动率专栏(20231211):宏观周拉开序幕,BTC大幅调整

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

SignalPlus波动率专栏(20231211):宏观周拉开序幕,BTC大幅调整

Source: SignalPlus

SignalPlus波动率专栏(20231211):宏观周拉开序幕,BTC大幅调整

Source: SignalPlus

SignalPlus波动率专栏(20231211):宏观周拉开序幕,BTC大幅调整

Source: Laevitas,BTC P/C Ratio 大涨

SignalPlus波动率专栏(20231211):宏观周拉开序幕,BTC大幅调整

Source: Deribit Block Trade

SignalPlus波动率专栏(20231211):宏观周拉开序幕,BTC大幅调整

Source: Deribit Block Trade

SignalPlus波动率专栏(20231211):宏观周拉开序幕,BTC大幅调整

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