SignalPlus波动率专栏(20231207)：价格又见顶，Skew被打穿至负值区间

Odaily星球日报Опубліковано о 2023-12-07Востаннє оновлено о 2023-12-07

Анотація

数字货币方面，此轮BTC上涨行情在44000附近再次见顶后于今日期权收盘后显露出了些许下探的苗头，前端隐含波动率与市场看涨热情一同回落，整体波动率水平也出现了明显下跌。

昨日（6 Dec）有“小非农”之称的美国 ADP 就业人数录得 103 K，连续四个月不及预期，再度证实了美国就业市场走软的现状，美债收益率因此再度下跌，十年期收益率在一度下探至 4.1% 之后收复部分失地，现报 4.145% ，两年期收益率仍在 4.6% 附近震荡，报 4.607% 。美国三大股指高开低走，道指/标普/纳指分别收跌 0.19% /0.39% /0.59% 。

SignalPlus波动率专栏(20231207)：价格又见顶，Skew被打穿至负值区间

Source: SignalPlus, Economic Calendar

SignalPlus波动率专栏(20231207)：价格又见顶，Skew被打穿至负值区间

Source: Binance & TradingView

数字货币方面，此轮 BTC 上涨行情在 44000 附近再次见顶后于今日期权收盘后显露出了些许下探的苗头，前端隐含波动率与市场看涨热情一同回落，整体波动率水平也出现了明显下跌。从交易上看，散户开始在近期大量抛售看涨期权，使得 BTC 前端的 Vol Skew 被打压至负数区域，ETH 也只能将将维持在零轴上方；大宗交易主要在中远期，其中 ETH 成交相对平淡，BTC 在 Vol Curve 较为平坦的一二月份上出现卖出平仓 26 Jan 24 50000-C vs 买入建仓 23 Feb 54000-C 为代表的滚仓策略。

SignalPlus波动率专栏(20231207)：价格又见顶，Skew被打穿至负值区间

Source: Deribit （截至 7 DEC 16: 00 UTC+ 8）

SignalPlus波动率专栏(20231207)：价格又见顶，Skew被打穿至负值区间

Source: SignalPlus

SignalPlus波动率专栏(20231207)：价格又见顶，Skew被打穿至负值区间

Source: SignalPlus

SignalPlus波动率专栏(20231207)：价格又见顶，Skew被打穿至负值区间

Source: Deribit Block Trade

SignalPlus波动率专栏(20231207)：价格又见顶，Skew被打穿至负值区间

Source: Deribit Block Trade

SignalPlus波动率专栏(20231207)：价格又见顶，Skew被打穿至负值区间

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