Deribit Options Market Report: 0703 - Calm delivery day

特邀专栏作者

2020-07-03 20:42 (UTC+8)

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Today is the delivery day, there are a lot of short-term out-of-the-money options expiring, but the price of Bitcoin has fluctuated by less than $100 throughout the day. Judging from the options market data, options positions are increasingly concentrate

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Editor's Note: This article comes fromDeribit Deri's trading class (ID: deri_trader), published with permission.

Deribit Deri's trading class (ID: deri_trader)

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

BTC historical volatility

7d 21.30%

14d 32.80%

30d 35.23%

60d 63.63%

1Y 85.31%

ETH Historical Volatility

7d 39.62%

14d 48.57%

30d 46.46%

60d 67.58%

1Y 103.54%

BTC historical volatility

【BTC Options】

ETH Historical Volatility

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Implied volatility for each normalized term:

【BTC Options】

7/2：1m 49%, 3m 64%, 6m 72%

The trading volume is calm, and today's deribit trading volume accounts for 91% of the total market trading volume.

Skewness:

Today: 1m 46%, 3m 63%, 6m 71%

7/2：1m -8.2%, 3m+0.3%, 6m +3.0%

There is little change in skew and the market is stable.

PRC：

The hidden wave continues to decline. Although the IV is very low, the hedging RV is lower for the seller, and the real VRP is not low.

Skewness:

Put/Call Ratio position ratio is 0.50, a slow rebound.

【ETH Options】

Judging from the changes in positions, 31Jul20-8000p newly increased positions reached 615 contracts, and almost a large amount of newly increased positions were concentrated in 31Jul contracts.

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Each standardized period IV:

【ETH Options】

7/2：1m 51%，3m 65%，6m 73%

Deals are shrinking.