SignalPlus波动率专栏(20231213)：年底波动率降低

Odaily星球日报Publicado em 2023-12-13Última atualização em 2023-12-13

Resumo

数字货币方面，BTC/ETH仍在42000/2200下方震荡，实际波动相较昨天小幅走缓，隐含波动率曲面上观察到22Dec和29Dec这段IV出现明显下调。

SignalPlus波动率专栏(20231213)：年底波动率降低

SignalPlus波动率专栏(20231213)：年底波动率降低

昨日（1 3D ec）美国公布的 11 月 CPI 数据符合市场预期，除去食品和能源的核心 CPI 指数录得 0.3% ，如此增速在一定程度上打击了市场的降息预期，两年期美债收益率上破 4.7% ，收报 4.726% ，十年期收益率一度挑战 4.25 关口后回落，收报 4.192% 。国际原油价格也在此影响之下走跌，WTI 和布伦特原油分别收跌 3.74% /3.53% 。美国三大股指缓慢走高，标普/道指/纳指分别收涨 0.46% /0.48% /0.7% 。

SignalPlus波动率专栏(20231213)：年底波动率降低

Source: SignalPlus, Economic Calendar

SignalPlus波动率专栏(20231213)：年底波动率降低

Source: SignalPlus & TradingView

数字货币方面，BTC/ETH 仍在 42000/2200 下方震荡，实际波动相较昨天小幅走缓，隐含波动率曲面上观察到 2 2D ec 和 29 Dec 这段 IV 出现明显下调，其可能是由于期权链上 OTM Call 的抛售，集中在 BTC 44000/48000 ，还有 ETH 2400 附近，从另一个角度看，当前 Vol Skew 在期限上的倾斜度比较明显，整体水平也在过去三个月里属于偏低的位置。大宗交易方面略显平淡， 29 Mar 24 50000 C 卖出平仓 800 BTC，为单日最大减仓点位。

SignalPlus波动率专栏(20231213)：年底波动率降低

Source: Deribit （截至 1 3D EC 16: 00 UTC+ 8）

SignalPlus波动率专栏(20231213)：年底波动率降低

Source: SignalPlus, 2 2D EC 23/29 DEC 23 IV 明显下跌

SignalPlus波动率专栏(20231213)：年底波动率降低

Source: SignalPlus

SignalPlus波动率专栏(20231213)：年底波动率降低

Source: Deribit Block Trade

SignalPlus波动率专栏(20231213)：年底波动率降低

Source: Deribit Block Trade

SignalPlus波动率专栏(20231213)：年底波动率降低

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