SignalPlus波动率专栏(20240815)：CPI暗藏意外

Odaily星球日报2024-08-15 tarihinde yayınlandı2024-08-15 tarihinde güncellendi

Özet

昨日（14AUG）迎来了本周的重头戏——美国CPI数据公布。数据显示美国7月末季调CPI年率为2.9%。BTC 中短期出现大量看跌期权保护需求，导致了中前端的 Risky 整体下跌。

昨日（14 AUG）迎来了本周的重头戏——美国 CPI 数据公布。数据显示美国 7 月末季调 CPI 年率为 2.9% ，连续第四个月回落，为 2021 年 3 月以来首次重回“ 2 字头”，略低于市预期的 3% ；核心 CPI 年率为 3.2% ，符合市场预期。然而，数字货币却在数据公布后遭遇了大幅下跌，BTC 从 61000 一路走低至 58000 ，跌幅逾 5% ，以太价格起初展现了较强的韧性，短线回落至 2650 后价格维稳，但收盘前几个小时再度走低至 2600 上方，日内跌幅也接近 5% 。部分交易员对此提出疑问，认为这并不是对“符合预期”的 CPI 该有的反应，退一步说，作为相关性极高的币对，ETH 通常比 BTC 波动剧烈，因此对昨天的行情感到些许意外，我们对此再进一步展开。

SignalPlus波动率专栏(20240815)：CPI暗藏意外

Source: SignalPlus Economic Calendar; TradingView

CPI 公布过后，美国十年期国债收益率先涨后跌，并在日内逐渐走高。可见在前日美国 PPI 公布过后，市场对 CPI 的预期应该是整体低于预期，因此这份结果对于鸽派基调的市场来说是让人失望的。细看这份报告，最激起市场失望情绪的或许是租金的加速上涨： 6 月份“业主等效租金”刚创下 2021 年以来的最低水平， 7 月份这个指标就加速到了 0.36% ，住房价格则是上涨 0.4% ，对比 6 月份仅为 0.2% ，引起了市场的质疑。但由于该指标在美联储青睐的 PCE 指标中权重略低，因此该指标将略低于 CPI。Orion 首席投资官 Rusty Vanneman 表示认为， 9 月份降息的可能性仍然很大，但当前面对的通胀问题比美联储预期的要棘手一些，因为要重新评估 9 月份降息 50 个基点的可能性。

随着通胀数据成功回落至 3% 以下，投资者的关注点可以从通胀转向经济增长和就业。Brandywine Global 投资经理 Jack Mcintyre 表示：“美国 CPI 数据很重要，但对市场的影响而言，它在经济数据的层级中可能排在第三位——即就业人数、零售销售和通胀，所以它不那么重要了。” 今晚就要公布零售数据，期权前端的波动率也仍然平坦，暗含了这部分不确定性。

SignalPlus波动率专栏(20240815)：CPI暗藏意外

Source: Investing

另一则新闻，美国政府将一万枚比特币转移到 CoinBase Prime，这一行为引发了市场对于潜在抛售的担忧，也导致了比特币价格的下跌。从期权成交上看，BTC 中短期出现大量看跌期权保护需求，导致了中前端的 Risky 整体下跌。从整体波动率水平上看，ETH 前端 IV 在 CPI 公布后结束了明显下跌，BTC 则是在更高的实际波动率和潜在的抛压带来的不确定性下维持上扬的形态，今晚的美国零售数据也将再次对数字货币市场带来考验。

SignalPlus波动率专栏(20240815)：CPI暗藏意外

Source: SignalPlus，BTC RR 整体降低

SignalPlus波动率专栏(20240815)：CPI暗藏意外

Source: SignalPlus，BTC 成交分布

SignalPlus波动率专栏(20240815)：CPI暗藏意外

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

SignalPlus波动率专栏(20240815)：CPI暗藏意外

Source: SignalPlus

SignalPlus波动率专栏(20240815)：CPI暗藏意外

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