SignalPlus波动率专栏(20240103)：新年伊始，BTC破四万五

Odaily星球日报2024-01-03 tarihinde yayınlandı2024-01-03 tarihinde güncellendi

Özet

数字货币方面，BTC自2022年底以来首次突破45000美元，并一度挑战46000美元关口。期权隐含波动率一度飙升，但随着价格逐渐稳定在45000上方后，IV整体水平有所回落。

昨日（2 JAN）交易员对美联储降息的信息有所动摇， 3 月开始实施宽松政策的可能性从上周的 85% 降至 75% ，同时减少了对降息幅度的押注，预计今年累计降息幅度不会超过 150 个基点；固定收益市场交易活跃，美债收益率全线上涨，十年期收益率现报 3.976% ，创两周新高，两年期收益率报 4.347% 。美股方面，因遭到巴克莱下调评级的影响，苹果及一众芯片股均出现跌势，加之市场对美联储降息预期的削减，三大股指走势分化，其中道指平收（+ 0.07% ），纳指和标普 500 分别收跌 1.6% /0.57% 。另一方面，美国 12 月 Markit 制造业 PMI 录得 47.9 ，低于预期的 48.4 ，据金十报道，标普全球发文表示：随着美国制造业订单数量以更快的速度下降，产出再次收缩，且制造业就业人数下降速度为 2020 年 6 月来最快。本周将是数据发布相对密集，将包括周三的 ISM，JOLTS，周四的初请失业金人数，以及周五的 ISM 服务业和非农就业数据等。

SignalPlus波动率专栏(20240103)：新年伊始，BTC破四万五

Source: SignalPlus, Economic Calendar

SignalPlus波动率专栏(20240103)：新年伊始，BTC破四万五

Source: Binance & TradingView

数字货币方面，BTC 自 2022 年底以来首次突破 45000 美元，并一度挑战 46000 美元关口。期权隐含波动率一度飙升，但随着价格逐渐稳定在 45000 上方后，IV 整体水平有所回落，BTC 前端出现大量以 Short Straddle/Strangle 为代表的大宗看跌波动率策略；另一方面，IV Surface 在 12 JAN 24 处形成较为陡峭的坡面，表达出市场对 ETF 批准的期待。在交易上， 3 月 vs 6 月的看涨（三角）价差策略成为焦点，其中 BTC 上以卖 29 MAR 24-60000-C 买 28 JUN 24-70000-C 为代表，单腿数量超过 1000 BTC；ETH 的成交方向在期限上相反，主要是在三月买入，六月卖出。

SignalPlus波动率专栏(20240103)：新年伊始，BTC破四万五

Source: Deribit （截至 3 JAN 16: 00 UTC+ 8）

SignalPlus波动率专栏(20240103)：新年伊始，BTC破四万五

Source: SignalPlus

SignalPlus波动率专栏(20240103)：新年伊始，BTC破四万五

Source: SignalPlus

SignalPlus波动率专栏(20240103)：新年伊始，BTC破四万五

Source: Deribit Block Trade

SignalPlus波动率专栏(20240103)：新年伊始，BTC破四万五

Source: Deribit Block Trade

SignalPlus波动率专栏(20240103)：新年伊始，BTC破四万五

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