Deribit Options Market Report: 0707 - Large open positions

ETH Historical Volatility

BTC historical volatility

7d 26.99% 

14d 28.94%

30d 36.13%

60d 56.63%

1Y 85.03%

ETH Historical Volatility

7d 50.82% 

14d 48.21%

30d 51.51%

60d 67.13%

1Y 103.51%

There was a 3% increase in the spot market yesterday, and the futures market did not respond much, but the option market responded significantly, and out-of-the-money call options are opening positions on a large scale.

【BTC Options】

【BTC Options】

The open interest is 904 million US dollars.

Implied volatility for each normalized term:

Implied volatility for each normalized term:

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

7/6：1m 50%, 3m 64%, 6m 71%

Skewness:

Skewness:

Today: 1m +2.6%, 3m +3.9%, 6m +4.5%

7/6：1m -5.2%, 3m-0.1%, 6m +1.9%

Put/Call Ratio position ratio is 0.52.

Put/Call Ratio position ratio is 0.52.

Judging from the changes in open interest, the market has aggressively opened short-term out-of-the-money call options, and the IV of the transaction is not low. The data shows that the enthusiasm for buying wide-span and naked calls is high.

The open interest is 146 million US dollars, and the open interest is stable.

【ETH Options】

The open interest is 146 million US dollars, and the open interest is stable.

Each standardized period IV:

Each standardized period IV:

Today: 1m 57%, 3m 68%, 6m 75%

7/6：1m 51%，3m 65%，6m 73%

Skewness:

Skewness:

Today: 1m +1.1%, 3m +7.7%, 6m +6.8%

7/6：1m -3.5%, 3m +6.1%, 6m +7.2% 

The skew of ETH has all returned to positive values, and it once rose to 15% in the short term during the intraday period. From the transaction data, it may be the opening calendar price difference. The market is clearly still reacting to today's rise, and bullish sentiment is beginning to be released.