SignalPlus波动率专栏(20240507)：IV回落

Odaily星球日报Publicado em 2024-05-07Última atualização em 2024-05-07

Resumo

数字货币方面，灰度GBTC ETF连续两天实现资金正向流入，全市场单日总增量分别为378 $M和217 $M，其中FBTC的贡献了大部分流量。

昨日（6 MAY）美三大股指在风险情绪转暖的利好下集体收涨，十年期国债收益率跌破 4.5% 大关。据金十报导，里士满联储主席巴尔金认为，加息的全面影响尚未完全显现，相信当前限制性利率水平足以抑制需求；此外，美联储最新的银行贷款调查显示，第一季度有更多银行收紧了贷款标准。

SignalPlus波动率专栏(20240507)：IV回落

Source: Investing

数字货币方面，灰度 GBTC ETF 连续两天实现资金正向流入，全市场单日总增量分别为 378 $M 和 217 $M，其中 FBTC 的贡献了大部分流量。从币价上看，BTC 在昨日期权结算以后短暂突破 65000 美元，RSI 指数刚刚显露超买信号时便迎来回调到 63000 ，今日结算后再度向上突破 64000 美元。

SignalPlus波动率专栏(20240507)：IV回落

Source: Farside Investors；TradingView

期权方面，隐含波动率水平在价格从高点发生回调以后大幅下行，BTC/ETH 前端 IV 跌幅达到 5% 左右，从 ATM 的曲线上看，BTC 的 Tenor 曲线已经走陡，ETH 则是在 24 MAY 24 维持住了一个局部高点，对此要再次提醒 5 月 23 号和 5 月 30 号美国 SEC 对 VanEck ETH Spot ETF 以及灰度 ETH Futures 的决议可能带来的不确定性风险。

SignalPlus波动率专栏(20240507)：IV回落

Source: Deribit （截至 7 MAY 16: 00 UTC+ 8）

SignalPlus波动率专栏(20240507)：IV回落

Source: SignalPlus

交易方面，ETH 成交集中在前端看涨策略的抛售，较为有代表的是 17 MAY 上形成的 Sell 3250 vs Buy 3400 卖出看涨价差策略，累计成交量逼近 12000 张/Per contract。BTC 方面，最大一笔交易是买 26 JU L2 4-85000-C（500 BTC）搭配卖 28 MAR 25-200000-C（500 BTC）的日历看涨价差策略，由于卖出腿的行权价较远，整体 Cost 只有 1.45 BTC 左右。

SignalPlus波动率专栏(20240507)：IV回落

Data Source: Deribit， ETH 交易总体分布， 17 MAY Sell 3250-3400 Call Spread

SignalPlus波动率专栏(20240507)：IV回落

Data Source: Deribit， BTC 交易总体分布

SignalPlus波动率专栏(20240507)：IV回落

Source: Deribit Block Trade

SignalPlus波动率专栏(20240507)：IV回落

Source: Deribit Block Trade

SignalPlus波动率专栏(20240507)：IV回落

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