Deribit Options Market Report: 0629 - ETH and BTC Skewness

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 25.94%  

14d 31.90%

30d 50.97%

60d 60.80%

1Y 86.21%

ETH Historical Volatility

7d 35.90%  

14d 46.41%

30d 57.04%

60d 68.25%

1Y 103.45% 

Deribit Deri's trading class (ID: deri_trader)

【BTC Options】

, published with permission.

【Target Performance】

Implied volatility for each normalized term:

Today: 1m 53%, 3m 65%, 6m 72%

6/28：1m 54%, 3m 66%, 6m 73%

ETH Historical Volatility

Skewness:

The historical volatility of Bitcoin and Ethereum continues to occupy a low level. In recent years, there are not too many periods similar to the current low volatility. The volatility in November 18, March 19, and September 19 was very low.

6/28：1m -15%, 3m -5.5%, 6m +2.2%

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【BTC Options】

The open interest was US$693 million, down 46.7% from US$1.3 billion before delivery on June 26.

The trading volume is calm, and the indifference of the market makes the speed of position extension not fast.

Hidden waves continue to decline.

【ETH Options】

Skewness:

In recent months, the left deviation has been serious, and it seems that the demand for downside protection has pushed up the price of Put.

Each standardized period IV:

Put/Call Ratio position ratio was 0.48, maintained at a low level.

6/28：1m 53%，3m 65%，6m 72%

The position distribution after the big delivery on the Four Witch Days is shown in the figure. The position on the Call side is very obvious.

Skewness:

The open interest distribution by maturity date is shown in the figure below. The end of July is a peak. Markets are keen on front-month deals. Both open interest and liquidity are optimal.

6/28：1m -6.2%, 3m +1.9%, 6m +5.4%

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【ETH Options】

Jeff Liang

CEO of Greeks.Live

Trading is quiet and open interest recovery is slow.

Each standardized period IV:

Today: 1m 51%, 3m 65%, 6m 71%

The implied volatility of ETH has no premium over BTC IV.

Skewness:

Today: 1m -5.8%, 3m +3.9%, 6m +7.6%

Skewness remains stable. Judging from the fact that ETH has been consistently lower than BTC to the left in recent months, there are more active and larger trading groups in the BTC options market, and their views are more prominently reflected in the price.

From the analysis of changes in positions, positions increased rapidly during the week and at the end of July.

June 29, 2020 at 11:30

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【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)