SignalPlus波动率专栏(20240219):ETH突破2900,本周五2200-P被大量买入
上周五美国 PPI 同比上涨 0.9% ,环比上涨 0.3% ,均超出预期,削弱了美联储的降息前景,互换市场将五月降息的概率下调至 34.9% ,美债收益率在过去两天逐步走高回到上周中 CPI 指数公布后的高点,当前两年期/十年期收益率分别为 4.644% /4.305% 。美国三大股指小幅下行,道指/标普/纳指分别收跌 0.37% /0.49% /0.82% 。
Source: SignalPlus, Economic Calendar
Source: Binance & TradingView, ETH 价格自年初以来的涨幅反超 BTC
数字货币方面,BTC 在达到 52000 附近后已经连续 4 天停滞不前,ETH 则在加密行业预计其 ETF 将在五月获批的利好传闻中再度上行突破 2900 点,自此 ETH 今年的涨幅已经超过 BTC 约 3.8% 左右,期权方面的差别更为明显,ETH 整体隐含波动率水平达到 60% 以上,曲面较平,中前端高出 BTC 4-9% Vol;从 Vol Smile 的斜率上看,ETH 前端的 Call 仍保持着较高的 Vol Premium,三月往后的 Skew 和 BTC 一同维持在近三个月的历史高点。
交易方面,BTC 成交相对乏善可陈,ETH 上观察到交易员其在冲破 2900 以后于周五下单开仓了整整 15000 张本周五到期的 2200-P,总花费 27 ETH(18 bp per contract),此处正好是本轮上涨的起始点,同样也是过去三个月以来一道重要的支撑位。
Source: Deribit (截至 19 FEB 16: 00 UTC+ 8)
Source: SignalPlus
Source: SignalPlus
Data Source: Deribit,ETH 2200-P 单笔开仓买入 15000 张,总 OI 上涨接近 20000 张
Data Source: Deribit,BTC 三月底呈现出类似 Long Ratio Call Spread 的 Flow
Source: Deribit Block Trade
Source: Deribit Block Trade
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