SignalPlus波动率专栏(20231212)：数字货币价格回稳，前端IV走跌

Odaily星球日报Опубликовано 2023-12-12Обновлено 2023-12-12

Введение

数字货币方面，BTC再度下跌挑战40000美元关口，于亚盘开始之前收复失地，回到42000下方震荡，隐含波动率也在波动平息之后逐步调整回归。

SignalPlus波动率专栏(20231212)：数字货币价格回稳，前端IV走跌

SignalPlus波动率专栏(20231212)：数字货币价格回稳，前端IV走跌

昨日（11 Dec）美债收益率在 10 年期美债标售后回吐日内涨幅并持续下跌，十年期收益率跌破 4.2% 关口，报 4.192% ，对政策较为敏感的两年期美债也来到 4.7 以下，现报 4.683% 。美国三大股指小幅上涨，纳指/SP 500/道指分别收涨 0.2% /0.39% /0.4% 。今晚 21: 30 （UTC+ 8）将迎来 CPI 数据，为宏观周正式拉开序幕。

SignalPlus波动率专栏(20231212)：数字货币价格回稳，前端IV走跌

Source: SignalPlus, Economic Calendar

SignalPlus波动率专栏(20231212)：数字货币价格回稳，前端IV走跌

Source: SignalPlus & TradingView

数字货币方面，BTC 再度下跌挑战 40000 美元关口，于亚盘开始之前收复失地，回到 42000 下方震荡。隐含波动率也在波动平息之后逐步调整回归，BTC/ETH 中前端分别维持在 48% /51% 左右的水平附近，曲线形状以年底为分界点呈现前平后陡的形状。交易方面，BTC 短期限上较为活跃，十二月上的 40000-P 延续了昨日的买入，同时，作为前段时间的阻力位， 15 Dec 23 44000 行权价上的看涨期权也遭到大量抛售；另一方面，在价格回调并暂时恢复稳定之时，大宗上的 Long Call Spread 交易也有所回归，其中 BTC 的大单多集中在 12 月附近，而 ETH 则是偏向更远的明年一二月份。

SignalPlus波动率专栏(20231212)：数字货币价格回稳，前端IV走跌

Source: Deribit （截至 1 2D EC 16: 00 UTC+ 8）

SignalPlus波动率专栏(20231212)：数字货币价格回稳，前端IV走跌

Source: SignalPlus

SignalPlus波动率专栏(20231212)：数字货币价格回稳，前端IV走跌

Source: Deribit Block Trade

SignalPlus波动率专栏(20231212)：数字货币价格回稳，前端IV走跌

Source: Deribit Block Trade

SignalPlus波动率专栏(20231212)：数字货币价格回稳，前端IV走跌

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