SignalPlus Volatility Column (20240603): Low IV

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SignalPlus
1 months ago
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In terms of digital currency, according to the Glassnode data shown by Leon Waldmann on Twitter, since the approval of the ETH ETF, the proportion of BTC ETH in centralized exchanges has dropped to a historical low.

SignalPlus Volatility Column (20240603): Low IV

SignalPlus Volatility Column (20240603): Low IV

上周五美联储重点关注的核心 PCE 物价指数月率录得 0.2% ,略低于预期 0.3% ,创下 2023 年 12 月以来新低。数据公布后美债收益率连续四天下降,回吐了上周半数涨幅,十年期跌至 4.5% 以下,现报 4.475% ,两年期报 4.871% 。风险市场得到提振,道指和标普分别上涨 1.51% /0.8% ,纳指接近平收。

SignalPlus Volatility Column (20240603): Low IV

Source: SignalPlus, Economic Calendar

SignalPlus Volatility Column (20240603): Low IV

Source: Investing

数字货币方面,根据 Leon Waldmann 在推特展示的 Glassnode 数据来看,自 ETH ETF 批准后,BTC ETH 在中心化交易所的存量占比已经降至历史新低,价值大约$ 3 B 的以太坊离开了中心化交易所,增加了潜在空头挤兑的可能性。BTC 今日上行突破了 68500 美元阻力位,开始向下一道阻力位 71500 发起挑战,截止目前,BTC 已在 68500 附近盘旋了接近 12 天,如果突破无望,有可能再次回到 66000 寻求支撑。

SignalPlus Volatility Column (20240603): Low IV

SignalPlus Volatility Column (20240603): Low IV

Source: TradingView;Twitter

期权方面,BTC 前端 IV 在进入工作日之前小幅反弹,但整体仍处在历史三个月的 25% 分位数以下的相对低点;ETH 略低于历史中位数,期限相对曲线偏陡,观察过去 24 小时的成交也可以看到,六月中上旬看涨期权的卖压强劲,相反六七月底及其以后的 Call 大受欢迎,或许也和 ETF S-1 的批准预期有关,当前市场“共识”仍是“最快七月批准”,届时资金进场,币价有望再度上行突破,但从另一方面说,当前 Grayscale 的 Ehereum Trust(ETHE)管理资金规模高达$ 11 B,所以也有人担心 ETF 批准发售以后市场会重演当时 GBTC 的抛压。

SignalPlus Volatility Column (20240603): Low IV

Source: Deribit (截至 3 JUN 16: 00 UTC+ 8)

SignalPlus Volatility Column (20240603): Low IV

Source: SignalPlus,BTC ETH ATM Vols

SignalPlus Volatility Column (20240603): Low IV

Source: SignalPlus,BTC ETH 25 dRR

SignalPlus Volatility Column (20240603): Low IV

Data Source: Deribit, ETH 交易总体分布

SignalPlus Volatility Column (20240603): Low IV

Data Source: Deribit, BTC 交易总体分布

SignalPlus Volatility Column (20240603): Low IV

Source: Deribit Block Trade

SignalPlus Volatility Column (20240603): Low IV

Source: Deribit Block Trade

SignalPlus Volatility Column (20240603): Low IV

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