SignalPlus波动率专栏(20240117)：市场持续整盘，IV再度走低

Odaily星球日报Опубліковано о 2024-01-17Востаннє оновлено о 2024-01-17

Анотація

数字货币方面仍处在整盘行情当中，BTC/ETH分别小幅上行突破43000/2600后逐渐回吐大部分涨幅，两者的隐含波动率水平也因此再度下调，BTC中前端IV已经回到50%Vol以下，处于过去三个月内偏低的水平，ETH尽管同样迎来小幅下滑。

昨日（16 JAN）美联储官员沃勒发表讲话，在承认今年降息有望的同时也淡化了市场对快速降息的预期，称今后制定政策需要更加谨慎行事，以免过度紧缩，美债收益率在日内逐渐走强，十年期收益率重回 4% 以上，报 4.06% ，两年期现报 4.281% 。美国三大股指集体收跌，纳指/标普/道指分别下跌 0.19% /0.37% /0.62% 。

SignalPlus波动率专栏(20240117)：市场持续整盘，IV再度走低

Source: SignalPlus, Economic Calendar

SignalPlus波动率专栏(20240117)：市场持续整盘，IV再度走低

Source: Binance & TradingView

数字货币方面仍处在整盘行情当中，BTC/ETH 分别小幅上行突破 43000/2600 后逐渐回吐大部分涨幅，两者的隐含波动率水平也因此再度下调，BTC 中前端 IV 已经回到 50% Vol 以下，处于过去三个月内偏低的水平，ETH 尽管同样迎来小幅下滑，但再度与 BTC 产生了 3 ～ 8% 左右的 Vol Premium，整体大约处在过去三个月的中位数附近。

从交易上看， 23 FEB 24 的 Call Spread 再度得到市场的青睐，代表的有 BTC 60000 vs 65000 和 ETH 2700 vs 3200 ；另外我们观察到，在当前持续了 4 天多的整盘行情下，近期的三角看涨策略也得到了关注，对 BTC 来说，交易员通过卖出 19 JAN Call 降低了买入 2 FEB Call 的成本，将押注波动发生的时间点推后至下周，ETH 同样是买 2 FEB Call，但是选择了卖出更远的 23 FEB 作为对冲。

SignalPlus波动率专栏(20240117)：市场持续整盘，IV再度走低

Source: Deribit （截至 17 JAN 16: 00 UTC+ 8）

SignalPlus波动率专栏(20240117)：市场持续整盘，IV再度走低

Source: SignalPlus

SignalPlus波动率专栏(20240117)：市场持续整盘，IV再度走低

Source: SignalPlus

SignalPlus波动率专栏(20240117)：市场持续整盘，IV再度走低

Source: Deribit Block Trade

SignalPlus波动率专栏(20240117)：市场持续整盘，IV再度走低

Source: Deribit Block Trade

SignalPlus波动率专栏(20240117)：市场持续整盘，IV再度走低

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