Deribit Options Market Report: 0615-Skewness Reversal
Editor's Note: This article comes fromDeribit Deri's trading class (ID: deri_trader), published with permission.
This broadcast is jointly presented by Deribit and Greeks.live.
【Target Performance】
BTC historical volatility
7d 50.48%
14d 51.60%
30d 59.91%
60d 69.50%
1Y 89.80%
ETH Historical Volatility
7d 62.01%
14d 53.72%
30d 72.46%
60d 77.50%
1Y 105.16%
Deribit Deri's trading class (ID: deri_trader)
【BTC Options】
secondary title
Trading volumes contracted.
Implied volatility for each normalized term:
【Target Performance】
6/12：1m 66%，3m 70%，6m 74%
ETH Historical Volatility
Skewness:
The fluctuation of BTC/ETH is still very small and calm.
6/12：1m -4.9%，3m +2.6%，6m +5.4%
secondary title
【BTC Options】
The open interest is 1 billion US dollars, and the open interest continues to be at a relatively high level.
Trading volumes contracted.
Implied volatility for each normalized term:
Today: 1m -8.4%, 3m +0.9%, 6m +7.2%
As shown in the distribution of open interest according to maturity date, most of the main open interest is concentrated in June. After the delivery, it is worth looking forward to how the position exchange will be carried out.
【ETH Options】
The ratio of Put/Call Ratio positions fell again, and the current ratio is 0.42.
Trading volume was steady.
Each standardized period IV:
However, the new trading volume of Put began to increase, which was 1.79 times that of Call.
6/12：1m 72%，3m 75%，6m 79%
The open interest is distributed according to the strike price as follows, and the open interest of out-of-the-money calls has increased significantly. The positions of deep false value calls also seem to have increased significantly.
Skewness:
As shown in the distribution of open interest according to maturity date, most of the main open interest is concentrated in June. After the delivery, it is worth looking forward to how the position exchange will be carried out.
6/12：1m +3.1%，3m +8.1%，6m +7.5%
secondary title
【ETH Options】
Call Sells 35%
Put Buys 35%
The open interest is 144 million US dollars, which is at a relatively high level.
Trading volume was steady.
Each standardized period IV:
Jeff Liang
Balance (At the Money, ATM)
【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.
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)
