Deribit Options Market Report: 0701 - Long Sideways

Deribit Deri's trading class (ID: deri_trader)

BTC historical volatility

7d 17.29% 

14d 31.66%

30d 41.99%

60d 60.48%

1Y 85.82%

ETH Historical Volatility

7d 32.73% 

14d 46.23%

30d 48.38%

60d 67.45%

1Y 103.99%

secondary title

【BTC Options】

【Target Performance】

ETH Historical Volatility

Implied volatility for each normalized term:

Historical volatility continued to decline, approaching the volatility level in March 2019.

6/30：1m 52%, 3m 65%, 6m 72%

【BTC Options】

Skewness:

The open interest is 764 million US dollars, which is gradually increasing.

6/30：1m -14%, 3m -2.8%, 6m +0.4% 

Trading volumes were quiet.

Implied volatility for each normalized term:

Today: 1m 51%, 3m 65%, 6m 72%

Hidden waves are stable.

Skewness:

Today: 1m -12%, 3m -1.8%, 6m +1.9%

From the perspective of changes in open interest, the newly added open interest is concentrated in short-term and short-term out-of-the-money options.

【ETH Options】

The position distribution shown in the figure shows that the two integers of 10,000 and 11,000 have attracted attention. Indeed, the contract at this price is the star of the covered strategy.

Trading was quiet.

Each standardized period IV:

The position distribution by expiration date is shown in the figure below. Contracts due to expire in the current month are the most active, and the distribution of positions is becoming more and more concentrated.

6/30：1m 50%，3m 64%，6m 71%

【ETH Options】

Skewness:

The open interest was US$126 million, an increase from yesterday.

6/30：1m -1.3%, 3m +4.8%, 6m +5.7%

Trading was quiet.