Deribit Options Market Report: Volatility and Expectations

This broadcast is jointly presented by Deribit and Greeks.live.

【Target Performance】

BTC historical volatility

7d 48.22%

14d 67.73%

30d 64.02%

60d 71.71%

1Y 89.94%

ETH Historical Volatility

7d 56.14%

14d 83.39%

30d 72.73%

60d 82.29%

1Y 105.12%

【BTC Options】

【BTC Options】

The open interest is 1.1 billion US dollars, which continues to be at a new high.

Implied volatility for each normalized term:

Implied volatility for each normalized term:

Today: 1m 66%, 3m 70%, 6m 74%

6/11: 1m 66%，3m 70%，6m 74%

Skewness:

Skewness:

Today: 1m -4.9%, 3m +2.6%, 6m +5.4%

6/11: 1m -0.4%，3m +5.1%，6m +6.6%

With the impact of the significant drop in currency prices, the left side began to enlarge in recent months, and the right side narrowed in far months.

Put/Call Ratio is still at 0.59, which is the average level in the past six months.

The open interest is distributed according to the strike price and concentrated in the fair value and Call.

At the end of June, the positions of out-of-value calls increased significantly.

【ETH Options】

【ETH Options】

Each standardized period IV:

The trading volume is heavy.

Each standardized period IV:

Today: 1m 72%, 3m 75%, 6m 79%

6/11: 1m 69%，3m 75%，6m 78%

Skewness:

Skewness:

Today: 1m +3.1%, 3m +8.1%, 6m +7.5%

6/11: 1m +9.2%，3m +6.5%，6m +8.6%

In recent months, the right side has narrowed sharply.

Put Call Ratio 0.88, a six-month high.

The open interest is concentrated in virtual Put, flat value, and shallow virtual Call.

Analysis of open interest by maturity is concentrated in June.

Jeff Liang

Call: The strike price is lower than the spot price, for example, the spot price is 7000, and the strike price is 6000.

【Glossary】

Implied Volatility (IV)

It is the volatility value derived by substituting the option trading price in the market into the BSM option pricing model. That is, what is the implied volatility value in the option quotation. The name is very vivid.

BSM is the abbreviation of the last names of the three authors of the model, namely Black-Scholes-Merton.

Historical Volatility (HV) or Realized Volatility (RV)

Both terms have the same meaning.

It is a measure of the past volatility of the underlying price.

Specifically, it is to take the daily rate of return of the target (the logarithmic rate of return of the closing price to the closing price), within the specified date sample interval (such as the past 7 days, 30 days, 60 days, etc.), calculate the daily return rate of this series of days The standard deviation of returns. Multiply by the square root of the transaction time included in a year (the stock market is multiplied by the root sign 250, and the digital currency market is multiplied by the root sign 365) for annualization. The resulting value is the historical volatility.

Skewness

An indicator to measure the value of false value Call and false value Put.

Take the IV of Call whose delta absolute value is also 0.25 and subtract the IV of Put. If a positive value is obtained, the false value Call will be more expensive, which is called right bias (observe the coordinate axis of the strike price, if the right is on the right, the strike price will be higher) .

If a negative value is obtained, the false value of Put is more expensive, which is called left bias (observe the coordinate axis of the strike price, if left, the strike price is lower).

In the Skew.com website, the opposite difference is applied, which is the Put IV minus the Call IV of 0.25 Delta. So the sign needs to be adjusted. However, after rotating its coordinate axis counterclockwise by 90%, the distinction between left and right is still very clear.

Balance (At the Money, ATM)

Options with a strike price near the current underlying price are called at-the-money options.

The absolute value of the Delta of the (near-month) at-the-money option is close to 0.50, and the absolute values ​​of Gamma, Theta, and Vega are all maximized around this area.

Out of the Money (OTM)

Call: The exercise price is above the spot price, such as the spot price is 7,000, and the strike price is 10,000.

Put: The exercise price is below the spot price, such as the spot price is 7000, and the strike price is 6000.

The out-of-the-money option price returns to zero at expiration.

The delta absolute value of the (near-month) out-of-the-money option is between 0 and 0.50, and the absolute values ​​of Gamma, Theta, and Vega are relatively small.

Real value (In the Money, ITM)

Call: The strike price is lower than the spot price, for example, the spot price is 7000, and the strike price is 6000.

Put: The strike price is above the spot price, the spot price is 7000, and the strike price is 8000.

The price of an in-the-money option at expiration is the difference between the spot price and the strike price, which is the intrinsic value of the option.

The absolute value of delta of real-money options (in recent months) is between 0.50 and 1.00, and the absolute values ​​of gamma, theta, and vega are relatively small.

Term Struture

The implied volatility for the same strike price reflects different quotes as the remaining life of the option varies.

In general, options with shorter maturities have larger changes in implied volatility. The longer the option, the smaller the change in implied volatility.

When markets are volatile, short-term implied volatility rises faster and the term structure slopes downward.

When markets are long-term calm, short-term implied volatility falls faster and the term structure slopes upward.