SignalPlus波动率专栏(20240327)：市场进入短暂整盘行情，中前端波动率向下回调

Odaily星球日报Опубліковано о 2024-03-27Востаннє оновлено о 2024-03-27

Анотація

数字货币暂缓连日以来的上行趋势，在币价从近期高点轻微回落之后，BTC和ETH在在过去24小时的大部分时间里里分别围绕着70000美元和3600美元小幅震荡，上行空间变得不那么明朗。

昨日（26 MAR）美国耐用品订单出现近 3 个月以来的首次增长，房价涨速加快，Housing Price 指数同比增长 6.6% ，高于前值的 6.3% 。美债市场表现平静，美国股市则先同样表现出整盘行情后在尾盘遭到大规模的期货抛售最终小幅收跌。

SignalPlus波动率专栏(20240327)：市场进入短暂整盘行情，中前端波动率向下回调

Source: SignalPlus, Economic Calendar

SignalPlus波动率专栏(20240327)：市场进入短暂整盘行情，中前端波动率向下回调

Source: SignalPlus & TradingView

数字货币暂缓连日以来的上行趋势，在币价从近期高点轻微回落之后，BTC 和 ETH 在在过去 24 小时的大部分时间里里分别围绕着 70000 美元和 3600 美元小幅震荡，上行空间变得不那么明朗，致使期权市场下调了中前端的隐含波动率和 Vol Skew，从交易上也能看到一如 BTC Short 31 MAY 24-85000-C ，BTC Short 5 APR-68000/73000-Strangle，ETH Short 26 APR 24-42000-Straddle 为代表的看跌波动率和看弱上行动能的策略，除此之外，两币种中短期成交大多仍以防守性质的看跌价差策略作为主要基调，BTC 部分成交向中远端发生转移，其中 27 DEC 24 100000-C 获得累积 725 BTC 的大宗买入，为昨日最大开仓头寸。

SignalPlus波动率专栏(20240327)：市场进入短暂整盘行情，中前端波动率向下回调

Source: Deribit （截至 27 MAR 16: 00 UTC+ 8）

SignalPlus波动率专栏(20240327)：市场进入短暂整盘行情，中前端波动率向下回调

Source: SignalPlus，中前端 ATM Vol 下降

SignalPlus波动率专栏(20240327)：市场进入短暂整盘行情，中前端波动率向下回调

Source: SignalPlus，Vol Skew 下降

SignalPlus波动率专栏(20240327)：市场进入短暂整盘行情，中前端波动率向下回调

Data Source: Deribit，BTC & ETH 交易分布

SignalPlus波动率专栏(20240327)：市场进入短暂整盘行情，中前端波动率向下回调

Source: Deribit Block Trade

SignalPlus波动率专栏(20240327)：市场进入短暂整盘行情，中前端波动率向下回调

Source: Deribit Block Trade

SignalPlus波动率专栏(20240327)：市场进入短暂整盘行情，中前端波动率向下回调

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