SignalPlus波动率专栏(20240711)：小心宏观数据

Odaily星球日报2024-07-11 tarihinde yayınlandı2024-07-11 tarihinde güncellendi

Özet

周二美联储主席鲍威尔发表讲话，肯定了美联储在过去通过冷却劳动力市场来降低通胀作出的努力和成效。从期权的数据上看，中后端所代表的整体 IV 水平正在逐步下降，尤其是 ETH。

SignalPlus波动率专栏(20240711)：小心宏观数据

SignalPlus波动率专栏(20240711)：小心宏观数据

周二美联储主席鲍威尔发表讲话，肯定了美联储在过去通过冷却劳动力市场来降低通胀作出的努力和成效，表示劳动力市场不再是造成通胀的原因，但另一方面，听众能感觉到他这次整体措辞都比较严谨，并没有在政策方向上给出明显的指引，从市场的反应来看，过去两天里标普和纳斯达克都跃跃欲试屡创新高，美债收益率小幅震荡，或是在等待今晚 CPI 数据的指示，如果能数据符合预期（3.1% ），那一定程度上可以印证通胀确实在朝着美联储目标的 2% 迈进，也能为其在九月降息提供支撑。

SignalPlus波动率专栏(20240711)：小心宏观数据

Source: SignalPlus, Economic Calendar

包括数字货币在内的风险市场极为关注今明两天的数据公布，从期权的数据上看，中后端所代表的整体 IV 水平正在逐步下降，尤其是 ETH，与过去一日相比低了 2-3% 之多；但末日期权仍守在高位，充分体现了交易员对这次宏观数据的博弈。

SignalPlus波动率专栏(20240711)：小心宏观数据

Source: SignalPlus

SignalPlus波动率专栏(20240711)：小心宏观数据

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

从交易上看，近期成交的一个特点是 P/C Ratio 明显增高了，基本维持在 1: 1 左右，就像今天 ETH 19 JU L2 4 上大量 Put 被卖出， 26 JU L2 4 上 Sell Put Spread 也成为市场关注焦点，解释了 ETH 前端 Vol Skew 的回归。BTC 则同时有 Sell Call Spread 和 Sell Put Spread 出现，相对谨慎地看跌短期内的波动。

SignalPlus波动率专栏(20240711)：小心宏观数据

SignalPlus波动率专栏(20240711)：小心宏观数据

Data Source: Deribit， ETH 交易总体分布；SignalPlus，ETH 25 dRR

SignalPlus波动率专栏(20240711)：小心宏观数据

Data Source: Deribit，BTC 交易总体分布

SignalPlus波动率专栏(20240711)：小心宏观数据

Source: Deribit Block Trade

SignalPlus波动率专栏(20240711)：小心宏观数据

Source: Deribit Block Trade

SignalPlus波动率专栏(20240711)：小心宏观数据

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