SignalPlus波动率专栏(20240611)：关键36小时

Odaily星球日报Publicado em 2024-06-11Última atualização em 2024-06-11

Resumo

前端IV在美国经济数据带来的不确定和比特币因遭到抛售而下跌的行情中大幅上涨，ETH六月各期限出现大量看跌期权买入建仓。

SignalPlus波动率专栏(20240611)：关键36小时

SignalPlus波动率专栏(20240611)：关键36小时

本周四凌晨美国将进行新一期的 FOMC 会议，在此之前周三晚还有重磅的 CPI 通胀数据公布，全球市场如坐针毡。金十报道，“美联储传声筒”NickTimiraos 表示大多数买方经济学家和其他专业美联储观察人士现在预计美联储 9 月或 12 月会降息一到两次，现阶段存在两个风险，一是美联储将经济活动稳健视为政策不够紧缩，高利率维持时间不够长的信号；另一个风险是美联储试图先发制人可能会点燃市场。

SignalPlus波动率专栏(20240611)：关键36小时

Source: SignalPlus, Economic Calendar

事实上，接下来的通胀数据和美联储利率前景展望对 BTC 来说至关重要，近期美国强劲的经济数据以及比特币和美债收益率之间不断上升的负相关性让投资者在重大经济数据之前有理由警惕潜在的波动加剧。过去 24 小时里，BTC 在短暂回升到 70000 美元关口很快便出现连续下跌，至一周低点。如此行情着实令人担忧，尽管 BTC 现货 ETF 在上一周连续大量的注入资金，也并不能在“关键 36 小时”的当下为投资者提供足够的信心支撑。Paradigm 的 Anand Gomes 评论道，加密市场就像一个瘾君子，不断需要利好消息来支撑，“No news is bad news in crypto”。

SignalPlus波动率专栏(20240611)：关键36小时

Source: TradingView

期权方面，前端 IV 在美国经济数据带来的不确定和比特币因遭到抛售而下跌的行情中大幅上涨，ETH 六月各期限出现大量看跌期权买入建仓，BTC 前端看跌买入的比例也同样被拉高，但与此同时在六月底上行权价为 70000 的看涨期权更是遭到大量抛售，共同造成了两币种前端 Vol Skew 的大幅同步下跌。

SignalPlus波动率专栏(20240611)：关键36小时

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

SignalPlus波动率专栏(20240611)：关键36小时

Source: SignalPlus，前端 IV 飙升

SignalPlus波动率专栏(20240611)：关键36小时

Sourc: SignalPlus, 前端 Vol Skew 下跌

SignalPlus波动率专栏(20240611)：关键36小时

Data Source: Deribit， ETH 交易总体分布

SignalPlus波动率专栏(20240611)：关键36小时

Data Source: Deribit，BTC 交易总体分布

SignalPlus波动率专栏(20240611)：关键36小时

Source: Deribit Block Trade

SignalPlus波动率专栏(20240611)：关键36小时

Source: Deribit Block Trade

SignalPlus波动率专栏(20240611)：关键36小时

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