Deribit Options Market Report: 0712 - 19.8%

特邀专栏作者

2020-07-12 18:38 (UTC+8)

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From the options market data, the historical volatility continues to decline. From the perspective of hourly prices, most of the time the hourly volatility does not exceed $100, which is even significantly lower than the stock index.

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Recently, the historical volatility of Bitcoin has continued to fall. Looking back at the hourly K-line for nearly a week, we found that there were only 8 cases where the price rose or fell by more than $100. In this environment, option sellers hardly need to pay hedging costs, and they make a profit when they sell. But it also caused a stampede on the sell side, and there was even a blockbuster deal with an IV of 19.8% this morning. Do you remember when was the last time volatility was this low?

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ETH Historical Volatility

BTC historical volatility

7d 30.67%

14d 25.13%

30d 28.69%

60d 49.88%

1Y 84.55%

ETH Historical Volatility

7d 50.65%

14d 41.52%

30d 44.33%

60d 60.13%

1Y 103.07%

【BTC Options】

The open interest is 931 million US dollars.

Today: 1m 54%, 3m 66%, 6m 72%

Implied volatility for each normalized term:

Today: 1m 54%, 3m 66%, 6m 72%

7/11：1m 51%, 3m 66%, 6m 72%

Skewness:

Today: 1m +0.2%, 3m +2.4%, 6m +4.1%

7/11：1m +0%, 3m+3.7%, 6m +4.0%

Put has become more and more popular recently, and the transaction volume of put has increased significantly.

The Put/Call Ratio position ratio is 0.51, and the newly opened Put/Call Ratio is 1.39. Yesterday, the trading volume of put was significantly higher than that of call.

From the perspective of changes in open interest, a large number of options with a virtual price of around US$600 have been traded. Compared with the most popular situation of options with a virtual price of US$1,000 before, it may be that traders have compressed the straddle price range.