Deribit Options Market Broadcast: 0715 - Inverse Calendar Spreads
In a previous broadcast, we discussed calendar spreads. By combining options with different periods with the same strike price, the formation of selling near and buying far is the positive calendar spread, and the formation of buying near and selling far is the reverse calendar spread. At present, there is a big gap between the average IV of the forward month and the distant month. When the market comes, the volatility change in the recent month is often greater than that in the distant month. Therefore, it may be a good choice to construct a reverse calendar spread.
secondary title BTC historical volatility 10d 27% 30d 29% 90d 61% 1Y 81% ETH Historical Volatility 10d 46% 30d 44% 90d 72% 1Y 101% The open interest is 1 billion US dollars. The open interest is 1 billion US dollars. Implied volatility for each normalized term: Implied volatility for each normalized term: Today: 1m 53%, 3m 66%, 6m 72% 7/14：1m 54%, 3m 66%, 6m 72% Skewness: Skewness: Today: 1m -2.8%, 3m +0.9%, 6m +3.5% 7/14：1m -1.5%, 3m +2.9%, 6m +4.1% The Put/Call Ratio position ratio is 0.52, and the market structure is stable. The Put/Call Ratio position ratio is 0.52, and the market structure is stable. Judging from the changes in open interest, out-of-the-money call options are still the main force in trading, but the trading volume is relatively small. 【ETH Options】 The open interest is 163 million US dollars, and the open interest continues to rise, which is close to the open interest before quarterly delivery. Today: 1m 55%, 3m 67%, 6m 74% Each standardized period IV: Today: 1m 55%, 3m 67%, 6m 74% 7/14 : 1m 56%，3m 68%，6m 74% Skewness: Skewness: Today: 1m +3.2%, 3m +9.6%, 6m +11.1% 7/13：1m +6.4%, 3m +11.7%, 6m +10.8% The data of ETH and the data of BTC are becoming more and more differentiated, and there may be opportunities for the linkage of different currencies.ETH Historical Volatility
【BTC Options】
【ETH Options】
