Deribit Options Market Report: 0709 - The struggle of the seller

特邀专栏作者

2020-07-09 20:50 (UTC+8)

This article is about 780 words, reading the full article takes about 2 minutes

Bitcoin quickly rose from $9,300 to $9,450 last night, and then continued to enter a sideways state. Because of the current low volatility, there is not much room left for sellers to hedge their stops. The current market situation is really not uneconomi

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ETH Historical Volatility

BTC historical volatility

7d 26.28%

14d 25.02%

30d 36.84%

60d 51.97%

1Y 84.94%

ETH Historical Volatility

7d 46.66%

14d 45.96%

30d 52.25%

60d 61.11%

1Y 103.35%

【BTC Options】

The open interest is 961 million US dollars.

Implied volatility for each normalized term:

Today: 1m 55%, 3m 66%, 6m 72%

7/8：1m 53%, 3m 65%, 6m 71%

Skewness:

Today: 1m +5.6%, 3m +4.4%, 6m +4.1%

7/8：1m +3.1%, 3m+3.6%, 6m +3.7%

The skew of each term is concentrated around +5%. The long-term sideways market makes the price preference of call and put tend to be neutral, and all data are moving towards the direction of balance.

Put/Call Ratio position ratio is 0.51.

Judging from the changes in open interest, every time there is a rise, someone will increase their positions with an out-of-the-money put option worth 1,000 USD.

【ETH Options】

The open interest is 154 million US dollars, and the open interest has increased, which is close to the open interest before quarterly delivery.

Each standardized period IV:

Today: 1m 59%, 3m 70%, 6m 76%

7/8：1m 56%，3m 68%，6m 75%

Skewness:

Today: 1m +7.1%, 3m +9.7%, 6m +6.8%

7/8：1m +4.5%, 3m +10.1%, 6m +5.6%

ETH does have a large number of new players who seem to be entering the market, but currently there are relatively few large transactions, mainly small transactions.

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