SignalPlus Volatility Column (20240531): Month-end closing, IV declines

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SignalPlus
1 months ago
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In terms of digital currencies, as the last day of this month, BTC and ETH closed at 68201.52 (+0.62%)/3731.97 (0.12%) respectively.

SignalPlus Volatility Column (20240531): Month-end closing, IV declines

SignalPlus Volatility Column (20240531): Month-end closing, IV declines

昨日(30 MAY)美国经济数据的降温重新提振了市场对降息的信心,实际 GPD 年化下修至 1.3% (前值为 1.6% ),为 2023 年第一季度以来新低,通胀数据和消费者支出两者轻微下降,成屋销售指数则是超预期大幅下降录的-7.7% ,为 2021 年 2 月以来新低。数据公布过后美债回吐前日全部涨幅,当前两年期/十年期分别为 4.948% /4.561% 。

SignalPlus Volatility Column (20240531): Month-end closing, IV declines

Source: SignalPlus, Economic Calendar

SignalPlus Volatility Column (20240531): Month-end closing, IV declines

Source: Investing

数字货币方面,作为本月收官之日,BTC 和 ETH 分别收报 68201.52 (+ 0.62% )/ 3731.97 (0.12% )。回顾昨日行情,美国经济数据公布提振了币价上行,推动 BTC 短暂地突破 69000 美元,但价格在峰值很快迎来回调短线落回 68000 上方附近,从近期走势来看, 69000 似乎已从支撑位转变成了一道关键的阻力位。

SignalPlus Volatility Column (20240531): Month-end closing, IV declines

Source: TradingView

期权方面,隐含波动率明显走陡下调,BTC 前端再度下降 4-5% 左右, 1 month 之内的 ATM IV 均回到了 50% 以下。ETH 的 IV 整体也在下跌,但各期限上仍高出 BTC 10% +Vol,ETF S-1 批准日期仍然未知,市场普遍认为最早也要在 7 月份通过,过去 24 小时 ETH 的成交反应出较为明显的倾向,表现在 7 月中下旬大量看涨期权建仓以及月底以 3000-P 为代表的看跌卖出。

SignalPlus Volatility Column (20240531): Month-end closing, IV declines

Source: Deribit (截至 2 MAY 16: 00 UTC+ 8)

SignalPlus Volatility Column (20240531): Month-end closing, IV declines

Source: SignalPlus,隐含波动率持续降低

SignalPlus Volatility Column (20240531): Month-end closing, IV declinesSignalPlus Volatility Column (20240531): Month-end closing, IV declines

Data Source: Deribit, ETH 交易总体分布

SignalPlus Volatility Column (20240531): Month-end closing, IV declines

Data Source: Deribit,BTC 交易总体分布

SignalPlus Volatility Column (20240531): Month-end closing, IV declines

Source: Deribit Block Trade

SignalPlus Volatility Column (20240531): Month-end closing, IV declines

Source: Deribit Block Trade

SignalPlus Volatility Column (20240531): Month-end closing, IV declines

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