SignalPlus波动率专栏(20240809)：两个问题

Odaily星球日报2024-08-09 tarihinde yayınlandı2024-08-09 tarihinde güncellendi

Özet

过去24小时，加密货币市场集中关注两个焦点，一是IV为什么垮了，二是为什么涨了？币价的上涨带动Vol Skew回升，自看跌一侧的大量抛售更是显著增加了BTC十月到年底斜率。

过去 24 小时，加密货币市场集中关注两个焦点，一是 IV 为什么垮了，二是为什么涨了？我们可以顺着时间线找到一些线索。

事情开始于 8 月 8 日晚上 7: 30 左右。在此之前，昨日 BTC 的画门行情将市场整体隐含波动率逐步推至高点，而正当价格恢复平静在 57500 附近小幅整盘时，Deribit 市场上突然出现大量 Dec 和 Oct 的卖出看跌期权成交，年底的 IV 短时间内被砸低 3% Vol，带动整条 Vol Curve 大幅向下平移。

SignalPlus波动率专栏(20240809)：两个问题

Source: SignalPlus Time Lapse IV / Historical IV

SignalPlus波动率专栏(20240809)：两个问题

Source: SignalPlus Trade Volume by Expiry; Recent Block Trade

SignalPlus波动率专栏(20240809)：两个问题

Source: Deribit （截至 9 AUG 16: 00 UTC+ 8）

而后来到晚上 08: 30 ，美国公布了新一轮的初请失业金人数，数据下降幅度接近一年来最大，缓解了人们对全球最大经济体经济放缓的担忧，美股强劲反弹（道指/标普/纳指分别收涨 1.76% /2.3% /2.87% ），美债收益率走高。作为与美指高度正相关的风险资产，BTC 价格也受到提振，从 57500 一路上行突破 60000 美元，并一度挑战 62000 这道关键支撑位。

但说回宏观这件事，这周对全球投资者来说都是相当艰难，SoFi 的 Liz Young Thomas 对此评论：“起伏不定，四处皆是。我们了解到市场对美国经济数据的敏感程度，日元套利交易影响的广泛性，以及投资者对降息作为解决一切问题的习惯。”

也正是在如此波动的行情中，市场的焦虑和不安逐渐累积，投资者的情绪一直处于低迷的状态，才让这份通常没被人放在“High-Importance”的数据引如此大的波动。或许本月初开始的恐慌有些夸大，但这份数据并不见得平息了衰退的恐慌。摩根大通的 Lakos-Bujas 向市场发出警告，股市不再是单向上行交易，而是越来越对围绕经济增长下行风险，美联储降息的时机，仓位过多，估值过高，以及总统选举和地缘政治不确定性上升展开的双向辩论。

SignalPlus波动率专栏(20240809)：两个问题

Source: TradingView; SignalPlus, Economic Calendar

另外，经过这两轮事件后我们观察到，币价的上涨带动 Vol Skew 回升，自看跌一侧的大量抛售更是显著增加了 BTC 十月到年底斜率，使得 25 dRR 指标在局部范围内大幅上行，波动率曲面在一夜之间发生了明显的转变。

SignalPlus波动率专栏(20240809)：两个问题

Source: SignalPlus

SignalPlus波动率专栏(20240809)：两个问题

Data Source: SignalPlus， ETH Top Trade

SignalPlus波动率专栏(20240809)：两个问题

Data Source: SignalPlus， BTC Top Trade

SignalPlus波动率专栏(20240809)：两个问题

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