Deribit Options Market Report: 0714 - VRP

特邀专栏作者

2020-07-14 17:45 (UTC+8)

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The trading volume of short-term out-of-the-money options is very large. Yesterday was a call option, and today it is a put option. It seems that someone made some covered first, and then bought the put to form a short position.

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The volatility risk premium, or VRP for short, is the difference between the implied volatility and the underlying volatility, that is, VRP=IV-RV. Just like there is a basis difference between spot and futures, a positive VRP in the option market will bring the expected positive return to the seller. Without considering transaction friction, the seller's expected return on continuous hedging is VRP. But this does not mean that if the VRP is positive, the seller will definitely make money easily.

secondary title

ETH Historical Volatility

BTC historical volatility

7d 23.59%

14d 25.36%

30d 44.81%

60d 48.35%

1Y 83.84%

ETH Historical Volatility

7d 32.83%

14d 42.51%

30d 44.81%

60d 60.20%

1Y 101.60%

【BTC Options】

The open interest is 984 million US dollars.

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

Implied volatility for each normalized term:

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

7/13：1m 54%, 3m 66%, 6m 73%

Skewness:

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

7/13：1m -0.8%, 3m +3.2%, 6m +5.1%

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 call options were traded yesterday, and a large number of put options were traded today. Short-term options have become an important means of short-term price games.