SignalPlus波动率专栏(20240828)：BTC跌破六万美元

SignalPlus专家

在过去一天里，比特币价格急速下跌，一度跌破 59000 ，造成超过 1 亿美金的多头清算，日内高达 70% +的已实现波动率加上价格的挤兑将流动性摧毁，大幅推高了短期期权的定价，但后端隐含波动率保持相对平稳，使得整体期限结构大幅走平。分析指出，造成这一现象的可能原因包括即将向 Mt.Gox 债权人支付的 10 亿美元和 Celsius 最近向用户偿还 25.3 亿美元的债务。

Source: Deribit （截至 28 AUG 16: 00 UTC+ 8）

Source: SignalPlus，ATM Vol

从另一个纬度看，价格剧烈动荡使得尾部的 Vol Premium 重新升高，BTC 和 ETH 的 Fly 指标都出现明显反弹。但在 Vol Skew 方面他们表现并不一致，较为突出的是 ETH 前端 RR 的大幅下跌，从 Flow 看，这主要是由看跌期权的需求推动，或许是最近以太坊基金会的一些转移操作还在影响市场的避险情绪；BTC 远端的 RR 则是在这波下跌行情中微微上扬，Flow 上也可以观察到一些 topside 的看涨策略成交。

Source: SignalPlus, Fly

Source: SignalPlus，RR

Data Source: SignalPlus, Deribit BTC & ETH 交易分布

Data Source: SignalPlus, Deribit BTC & ETH 交易分布

(COIN)$ $MicroStrategy Incorporated(MSTR)$ $Coinbase Global, Inc.(COIN)$

聊聊我的期权交易心得

欢迎各位虎友说说你的期权交易心得，无论是赚钱的心得还是亏钱的经验，都有助于共同成长。我们会选取有价值的分析，赠予期权免佣卡。另外还会随机3位虎友赠予老虎心动周边

免责声明：上述内容仅代表发帖人个人观点，不构成本平台的任何投资建议。

精彩评论

我们需要你的真知灼见来填补这片空白

发表看法

{"i18n":{"language":"zh_CN"},"detailType":1,"isChannel":false,"data":{"magic":2,"id":343320855187728,"tweetId":"343320855187728","gmtCreate":1724847760194,"gmtModify":1724851136682,"author":{"id":4155101106492670,"idStr":"4155101106492670","authorId":4155101106492670,"authorIdStr":"4155101106492670","name":"SignalPlus专家","avatar":"https://static.tigerbbs.com/610b9881bf21333e92157a545e5c8252","vip":1,"userType":1,"introduction":"","boolIsFan":false,"boolIsHead":false,"crmLevel":1,"crmLevelSwitch":0,"individualDisplayBadges":[],"fanSize":258,"starInvestorFlag":false},"themes":[{"themeId":"bb9a2b0c920440e1a61a5f69d7f26762","categoryId":"20b8d1944bae4805b371322c2ab986d4","name":"聊聊我的期权交易心得","type":3,"rnLink":"https://laohu8.com/RN?name=RNTheme&page=/theme/special/discussion&rndata={\"themeId\":bb9a2b0c920440e1a61a5f69d7f26762}&rnconfig={\"headerBarHidden\": true}","description":"欢迎各位虎友说说你的期权交易心得，无论是赚钱的心得还是亏钱的经验，都有助于共同成长。我们会选取有价值的分析，赠予期权免佣卡。另外还会随机3位虎友赠予老虎心动周边","image":"https://static.tigerbbs.com/2dd87e13cdad12d60a0adcd7c7f3284f"}],"images":[{"img":"https://static.tigerbbs.com/bcf4117784056c769d34cff312a0962d","width":"1280","height":"720"},{"img":"https://static.tigerbbs.com/ffdea861eea806d7d2eba7d9811793c9","width":"961","height":"846"},{"img":"https://static.tigerbbs.com/62c43ea4baff476d116771ca27a0cb58","width":"983","height":"291"},{"img":"https://static.tigerbbs.com/0cefe8563d1542c095cd62f8a2173d52","width":"1280","height":"843"},{"img":"https://static.tigerbbs.com/96389d6aa35ce6a26e7189dd6dd63d6e","width":"1280","height":"368"},{"img":"https://static.tigerbbs.com/a644fb4f1fa4594e1a98df7c59e78885","width":"1280","height":"397"},{"img":"https://static.tigerbbs.com/5e89feba067c0c20d94ebae9261b313d","width":"696","height":"456"},{"img":"https://static.tigerbbs.com/6279351ce91a2e9c5f9cca06c6b19e4e","width":"710","height":"468"},{"img":"https://static.tigerbbs.com/ba74bfe387cfa623d2fccc3ec4a07599","width":"1466","height":"230"}],"coverImages":[{"img":"https://static.tigerbbs.com/bcf4117784056c769d34cff312a0962d","width":"1280","height":"720"}],"title":"SignalPlus波动率专栏(20240828)：BTC跌破六万美元","html":"<html><head></head><body><p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/bcf4117784056c769d34cff312a0962d\" tg-width=\"1280\" tg-height=\"720\"></p>\n<p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/ffdea861eea806d7d2eba7d9811793c9\" tg-width=\"961\" tg-height=\"846\"></p>\n<p style=\"text-align: start;\">在过去一天里，比特币价格急速下跌，一度跌破&nbsp;59000&nbsp;，造成超过&nbsp;1&nbsp;亿美金的多头清算，日内高达&nbsp;70%&nbsp;+的已实现波动率加上价格的挤兑将流动性摧毁，大幅推高了短期期权的定价，但后端隐含波动率保持相对平稳，使得整体期限结构大幅走平。分析指出，造成这一现象的可能原因包括即将向&nbsp;Mt.Gox&nbsp;债权人支付的&nbsp;10&nbsp;亿美元和&nbsp;Celsius&nbsp;最近向用户偿还&nbsp;25.3&nbsp;亿美元的债务。</p>\n<p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/62c43ea4baff476d116771ca27a0cb58\" tg-width=\"983\" tg-height=\"291\"><span>Source: Deribit （截至 28&nbsp;AUG 16:&nbsp;00 UTC+&nbsp;8）</span></p>\n<p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/0cefe8563d1542c095cd62f8a2173d52\" tg-width=\"1280\" tg-height=\"843\"><span>Source: SignalPlus，ATM Vol</span></p>\n<p style=\"text-align: start;\">从另一个纬度看，价格剧烈动荡使得尾部的&nbsp;Vol Premium&nbsp;重新升高，BTC&nbsp;和&nbsp;ETH&nbsp;的&nbsp;Fly&nbsp;指标都出现明显反弹。但在&nbsp;Vol Skew&nbsp;方面他们表现并不一致，较为突出的是&nbsp;ETH&nbsp;前端&nbsp;RR&nbsp;的大幅下跌，从&nbsp;Flow&nbsp;看，这主要是由看跌期权的需求推动，或许是最近以太坊基金会的一些转移操作还在影响市场的避险情绪；BTC&nbsp;远端的&nbsp;RR&nbsp;则是在这波下跌行情中微微上扬，Flow&nbsp;上也可以观察到一些&nbsp;topside&nbsp;的看涨策略成交。</p>\n<p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/96389d6aa35ce6a26e7189dd6dd63d6e\" tg-width=\"1280\" tg-height=\"368\"><span>Source: SignalPlus, Fly</span></p>\n<p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/a644fb4f1fa4594e1a98df7c59e78885\" tg-width=\"1280\" tg-height=\"397\"><span>Source: SignalPlus，RR</span></p>\n<p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/5e89feba067c0c20d94ebae9261b313d\" tg-width=\"696\" tg-height=\"456\"><span>Data Source: SignalPlus, Deribit BTC &amp; ETH 交易分布</span></p>\n<p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/6279351ce91a2e9c5f9cca06c6b19e4e\" tg-width=\"710\" tg-height=\"468\"><span>Data Source: SignalPlus, Deribit BTC &amp; ETH 交易分布</span></p>\n<p style=\"text-align: start;\"></p>\n<p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/ba74bfe387cfa623d2fccc3ec4a07599\" tg-width=\"1466\" tg-height=\"230\"></p>\n<p>(COIN)$ $MicroStrategy Incorporated(MSTR)$ $Coinbase Global, Inc.(COIN)$ </p></body></html>","htmlText":"<html><head></head><body><p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/bcf4117784056c769d34cff312a0962d\" tg-width=\"1280\" tg-height=\"720\"></p>\n<p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/ffdea861eea806d7d2eba7d9811793c9\" tg-width=\"961\" tg-height=\"846\"></p>\n<p style=\"text-align: start;\">在过去一天里，比特币价格急速下跌，一度跌破&nbsp;59000&nbsp;，造成超过&nbsp;1&nbsp;亿美金的多头清算，日内高达&nbsp;70%&nbsp;+的已实现波动率加上价格的挤兑将流动性摧毁，大幅推高了短期期权的定价，但后端隐含波动率保持相对平稳，使得整体期限结构大幅走平。分析指出，造成这一现象的可能原因包括即将向&nbsp;Mt.Gox&nbsp;债权人支付的&nbsp;10&nbsp;亿美元和&nbsp;Celsius&nbsp;最近向用户偿还&nbsp;25.3&nbsp;亿美元的债务。</p>\n<p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/62c43ea4baff476d116771ca27a0cb58\" tg-width=\"983\" tg-height=\"291\"><span>Source: Deribit （截至 28&nbsp;AUG 16:&nbsp;00 UTC+&nbsp;8）</span></p>\n<p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/0cefe8563d1542c095cd62f8a2173d52\" tg-width=\"1280\" tg-height=\"843\"><span>Source: SignalPlus，ATM Vol</span></p>\n<p style=\"text-align: start;\">从另一个纬度看，价格剧烈动荡使得尾部的&nbsp;Vol Premium&nbsp;重新升高，BTC&nbsp;和&nbsp;ETH&nbsp;的&nbsp;Fly&nbsp;指标都出现明显反弹。但在&nbsp;Vol Skew&nbsp;方面他们表现并不一致，较为突出的是&nbsp;ETH&nbsp;前端&nbsp;RR&nbsp;的大幅下跌，从&nbsp;Flow&nbsp;看，这主要是由看跌期权的需求推动，或许是最近以太坊基金会的一些转移操作还在影响市场的避险情绪；BTC&nbsp;远端的&nbsp;RR&nbsp;则是在这波下跌行情中微微上扬，Flow&nbsp;上也可以观察到一些&nbsp;topside&nbsp;的看涨策略成交。</p>\n<p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/96389d6aa35ce6a26e7189dd6dd63d6e\" tg-width=\"1280\" tg-height=\"368\"><span>Source: SignalPlus, Fly</span></p>\n<p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/a644fb4f1fa4594e1a98df7c59e78885\" tg-width=\"1280\" tg-height=\"397\"><span>Source: SignalPlus，RR</span></p>\n<p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/5e89feba067c0c20d94ebae9261b313d\" tg-width=\"696\" tg-height=\"456\"><span>Data Source: SignalPlus, Deribit BTC &amp; ETH 交易分布</span></p>\n<p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/6279351ce91a2e9c5f9cca06c6b19e4e\" tg-width=\"710\" tg-height=\"468\"><span>Data Source: SignalPlus, Deribit BTC &amp; ETH 交易分布</span></p>\n<p style=\"text-align: start;\"></p>\n<p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/ba74bfe387cfa623d2fccc3ec4a07599\" tg-width=\"1466\" tg-height=\"230\"></p>\n<p>(COIN)$ $MicroStrategy Incorporated(MSTR)$ $Coinbase Global, Inc.(COIN)$ </p></body></html>","text":"在过去一天里，比特币价格急速下跌，一度跌破 59000 ，造成超过 1 亿美金的多头清算，日内高达 70% +的已实现波动率加上价格的挤兑将流动性摧毁，大幅推高了短期期权的定价，但后端隐含波动率保持相对平稳，使得整体期限结构大幅走平。分析指出，造成这一现象的可能原因包括即将向 Mt.Gox 债权人支付的 10 亿美元和 Celsius 最近向用户偿还 25.3 亿美元的债务。 Source: Deribit （截至 28 AUG 16: 00 UTC+ 8） Source: SignalPlus，ATM Vol 从另一个纬度看，价格剧烈动荡使得尾部的 Vol Premium 重新升高，BTC 和 ETH 的 Fly 指标都出现明显反弹。但在 Vol Skew 方面他们表现并不一致，较为突出的是 ETH 前端 RR 的大幅下跌，从 Flow 看，这主要是由看跌期权的需求推动，或许是最近以太坊基金会的一些转移操作还在影响市场的避险情绪；BTC 远端的 RR 则是在这波下跌行情中微微上扬，Flow 上也可以观察到一些 topside 的看涨策略成交。 Source: SignalPlus, Fly Source: SignalPlus，RR Data Source: SignalPlus, Deribit BTC & ETH 交易分布 Data Source: SignalPlus, Deribit BTC & ETH 交易分布 (COIN)$ $MicroStrategy Incorporated(MSTR)$ $Coinbase Global, Inc.(COIN)$","highlighted":1,"essential":1,"paper":2,"likeSize":0,"commentSize":0,"repostSize":0,"favoriteSize":0,"link":"https://laohu8.com/post/343320855187728","repostId":0,"isVote":1,"tweetType":1,"viewCount":702,"commentLimit":10,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"symbols":["BTC","XBTmain","BTCmain"],"verified":2,"subType":0,"readableState":1,"langContent":"CN","currentLanguage":"CN","warmUpFlag":false,"orderFlag":false,"shareable":true,"causeOfNotShareable":"","featuresForAnalytics":[],"commentAndTweetFlag":false,"andRepostAutoSelectedFlag":false,"upFlag":false,"length":899,"xxTargetLangEnum":"ZH_CN"},"commentList":[],"isCommentEnd":true,"isTiger":false,"isWeiXinMini":false,"url":"/m/post/343320855187728"}