Deribit Options Market Report: 0619 - Put Skew up
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 18.69%
14d 38.37%
30d 58.24%
60d 67.88%
1Y 89.61%
ETH Historical Volatility
7d 26.86%
14d 47.51%
30d 70.28%
60d 71.82%
1Y 105.07%
Deribit Deri's trading class (ID: deri_trader)
【BTC Options】
【Target Performance】
Trading volume was steady.
Implied volatility for each normalized term:
BTC historical volatility
6/18：1m 63%, 3m 69%, 6m 74%
Realized volatility continues to trend lower. Comparing the data of 7 days and one year, the contrast is too great.
Skewness:
secondary title
6/18：1m -8.4%, 3m -0.3%, 6m +4.7%
【BTC Options】
The open interest is 1.2 billion US dollars, and the open interest hit a new high.
Trading volume was steady.
Implied volatility was slightly lower. Generally, IV will fall for a short time after delivery on Friday, let's see today's performance.
【ETH Options】
In recent months, the left shift has become more pronounced, and the market's expectations for a decline are strengthening, and they have bought put options for protection.
Trading volume was steady.
Each standardized period IV:
The Put/Call Ratio was 0.44, down again.
6/18：1m 68%，3m 72%，6m 77%
As shown in the distribution of open interest according to maturity date, most of the main open interest is concentrated in June. Positions increased in July, September, and December.
Skewness:
secondary title
6/18：1m -3.5%, 3m +2.0%, 6m +7.2%
【ETH Options】
The open interest is 156 million US dollars, which is at a relatively high level.
Trading volume was steady.
Each standardized period IV:
Jeff Liang
CEO of Greeks.Live
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)
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.
