SignalPlus波动率专栏(20240412)：减半在即，IV何时止跌？

Odaily星球日报Publicado em 2024-04-12Última atualização em 2024-04-12

Resumo

在减半事件即将到来之际，BTC ETF 净流入放缓，实际波动也进一步缩减，远期 Future Yield 下行 0.4% -0.6% 左右。期权方面，隐含波动率再度下行 2-4% Vol。

SignalPlus波动率专栏(20240412)：减半在即，IV何时止跌？

SignalPlus波动率专栏(20240412)：减半在即，IV何时止跌？

昨日（11 APR）美国 PPI 年率录得 2.1% ，略低于预期的 2.2% ，轻微安抚了昨日市场对 CPI 数据的震惊情绪，但美债收益率仍维持高位震荡，两年期/十年期现报 4.920% /4.533% 。美联储官员也在急于撤回之前的一些鸽派言论，并在面对居高不下的通胀数据，强劲的经济形势和下半年的大选的多方压力下陷入进退两难的境地。

另一方面，欧洲央行昨日宣布连续第五次维持三大利率不变，并暗示即将展开降息。行长拉加德称，不预设利率路径，不依赖美联储，不以汇率为目标。

SignalPlus波动率专栏(20240412)：减半在即，IV何时止跌？

Source: SignalPlus, Economic Calendar

SignalPlus波动率专栏(20240412)：减半在即，IV何时止跌？

Source: SignalPlus & TradingView

数字货币方面，在减半事件即将到来之际，BTC ETF 净流入放缓，实际波动也进一步缩减，远期 Future Yield 下行 0.4% -0.6% 左右。期权方面，隐含波动率再度下行 2-4% Vol，卖出短期 Option 持续受到交易员的青睐，主要集中在 BTC 19 APR 和 26 APR，ETH 买卖相对均衡，或是由于 IV 相对 RV 的敞口已在前几日的抛售行情下大大缩减。

SignalPlus波动率专栏(20240412)：减半在即，IV何时止跌？

Source: Deribit （截至 12 APR 16: 00 UTC+ 8）

SignalPlus波动率专栏(20240412)：减半在即，IV何时止跌？

Source: SignalPlus, ATM Vol 持续下滑

SignalPlus波动率专栏(20240412)：减半在即，IV何时止跌？

Source: SignalPlus, IV vs RV

SignalPlus波动率专栏(20240412)：减半在即，IV何时止跌？

SignalPlus波动率专栏(20240412)：减半在即，IV何时止跌？

Data Source: Deribit，BTC 交易分布

SignalPlus波动率专栏(20240412)：减半在即，IV何时止跌？

Data Source: Deribit，ETH 交易分布

SignalPlus波动率专栏(20240412)：减半在即，IV何时止跌？

Source: Deribit Block Trade

SignalPlus波动率专栏(20240412)：减半在即，IV何时止跌？

Source: Deribit Block Trade

SignalPlus波动率专栏(20240412)：减半在即，IV何时止跌？

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