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SignalPlus波动率专栏(20231120):美债收益率回升
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SignalPlus波动率专栏(20231120):美债收益率回升

SignalPlus波动率专栏(20231120):美债收益率回升

上周五 美联储官员们在谈话中重申了通胀依然过高的事实 ,其中波士顿联储主席柯林斯表示,不排除进一步加息的可能,芝加哥联储主席古尔斯比谈到了通胀有所改善,但仍然过高的情况,并表示将尽一切努力打败通胀。过去两天 美债收益率小幅上涨 ,对政策较为敏感的 两年期美债收益率重新回到 4.90% 附近 ,十年期报 4.454% 。

SignalPlus波动率专栏(20231120):美债收益率回升

Source: SignalPlus , Economic Calendar

SignalPlus波动率专栏(20231120):美债收益率回升

Source: Binance & TradingView

数字货币方面,BTC/ETH 从 20 Nov 零点(UTC+ 8)开始小幅上涨,分别回到 37000/2000 美元以上。

周末期权市场较为冷淡,隐含波动率在跌至近期低点后,于工作日来临前收复一半失地。大宗交易乏善可陈,市场整体交易量也偏低,其中 BTC 的成交主要集中在短期, 21 Nov/22 Nov 的看涨期权遭到大量抛售, 24 Nov 还有一些买入 Put 的成交;ETH 这边则是观察到以 Long 8 Dec 2100 vs 2400 Call Spread 为代表的看涨策略延续,成交量达到 4750 ETH。

SignalPlus波动率专栏(20231120):美债收益率回升

Source: Deribit (截至 20 NOV 16: 00 UTC+ 8)

SignalPlus波动率专栏(20231120):美债收益率回升

Source: SignalPlus

SignalPlus波动率专栏(20231120):美债收益率回升

Source: Laevitas , 成交量低迷,P/C Ratio 偏低

SignalPlus波动率专栏(20231120):美债收益率回升

Source: Deribit Block Trade

SignalPlus波动率专栏(20231120):美债收益率回升

Source: Deribit Block Trade

SignalPlus波动率专栏(20231120):美债收益率回升

 

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