SignalPlus波动率专栏(20240118)：IV加速下行

Odaily星球日报2024-01-18 tarihinde yayınlandı2024-01-18 tarihinde güncellendi

Özet

数字货币迎来了第五天的横盘行情，BTC日内最大振幅仅有1%左右，隐含波动率整体加速下行，ETH中前端暴跌8～10% Vol，降到与BTC相当的水平。

昨日（17 JAN）美国 12 月零售数据录得 0.6% ，超出预期的 0.4% ，再度打击了市场对美联储降息的预期，美债收益率延续上行之势，十年期一度上破 4.1% 关口，收 4.086% ，两年期重返 4.3% 上方，报 4.327% ；美三大股指因此承压收跌，道指/标普/纳指分别下跌 0.25% /0.56% /0.59% 。另外美联储褐皮书显示，各个地区都提到了劳动力市场降温的迹象。

SignalPlus波动率专栏(20240118)：IV加速下行

Source: SignalPlus, Economic Calendar

SignalPlus波动率专栏(20240118)：IV加速下行

Source: Binance & TradingView

数字货币迎来了第五天的横盘行情，BTC 日内最大振幅仅有 1% 左右，隐含波动率整体加速下行，ETH 中前端暴跌 8 ～ 10% Vol，降到与 BTC 相当的水平。交易方面，BTC 以 23 FEB 24 56000 vs 65000 为代表的 Call Spread 仍然占据大宗的多数篇幅，除此之外过去 24 小时 19 JAN 24 和 26 JAN 24 都在 40000-P 上成交了数笔多头大宗买入，在波动率相对低的价格水平下为下跌情景做出了保护；ETH 成交量比例大幅上涨，其中数量最为庞大的是买入 29 JAN 24 2550-C 卖出 29 MAR 24 2900-C 的三角价差，单腿成交额达到 25000 ETH。

SignalPlus波动率专栏(20240118)：IV加速下行

Source: Deribit （截至 18 JAN 16: 00 UTC+ 8）

SignalPlus波动率专栏(20240118)：IV加速下行

Source: SignalPlus

SignalPlus波动率专栏(20240118)：IV加速下行

Source: SignalPlus

SignalPlus波动率专栏(20240118)：IV加速下行

Source: Deribit Block Trade

SignalPlus波动率专栏(20240118)：IV加速下行

Source: Deribit Block Trade

SignalPlus波动率专栏(20240118)：IV加速下行

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