Deribit Options Market Report: 0713- Hoarding call options

特邀专栏作者

2020-07-13 21:12 (UTC+8)

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The trading volume of short-term deep out-of-the-money call options is very large, very very large, and some people are planning for the coming of big fluctuations in advance, and the open interest of this week has been relatively large recently.

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The sideways market has been going on for a period of time. During this period, the seller has gained a lot of time value. Of course, this is inseparable from the unremitting investment of the buyer. There is a popular saying recently: "The seller is only temporarily keeping the premium for the buyer, and will double it back to the buyer sooner or later!"

From the data point of view, generally speaking, the most actively traded at-the-money options now have very low trading volume and open interest. The trading volume of mildly out-of-the-money options is significantly greater than that of at-the-money options. Options also have many potential buyers.

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ETH Historical Volatility

BTC historical volatility

7d 23.27%

14d 25.09%

30d 28.81%

60d 48.33%

1Y 83.84%

ETH Historical Volatility

7d 31.93%

14d 41.64%

30d 44.64%

60d 60.12%

1Y 101.59%

【BTC Options】

The open interest is 958 million US dollars.

Implied volatility for each normalized term:

Today: 1m 54%, 3m 66%, 6m 73%

7/12： 1m 54%, 3m 66%, 6m 72%

Today: 1m +1.5%, 3m +2.9%, 6m +4.1%

Skewness:

Today: 1m +1.5%, 3m +2.9%, 6m +4.1%

7/12：1m +0.2%, 3m +2.4%, 6m +4.1%

The Put/Call Ratio position ratio is 0.52, and the market structure is stable.

Judging from the changes in open interest, a large number of out-of-the-money options were traded today, which was significantly higher than the usual trading volume. This large-scale purchase of short-term options is very noteworthy.