Deribit Options Market Report: 0716 - Move positions again on Thursday

Deribit德瑞课堂

特邀专栏作者

2020-07-16 21:28 (UTC+8)

This article is about 982 words, reading the full article takes about 2 minutes

Although the realized volatility of ETH and BTC is different, the level of implied volatility is surprisingly close.

AI Summary

Expand

Although the realized volatility of ETH and BTC is different, the level of implied volatility is surprisingly close.

As mentioned in the previous broadcast, a large number of traders choose to move their positions on Thursday. Judging from the current data, a large number of out-of-the-money options were also moved to the 24th this Thursday. Friday's IV drop has now become a regular cyclical phenomenon, because for the seller, holding expires and opening a new position on Friday is a passive behavior against the spread. It is better to bear the pin risk than to lose the spread and handling fees. For traders who are not subject to the above restrictions, they can use this to trade, such as opening positions in advance.

secondary title

ETH Historical Volatility

BTC historical volatility

10d 27%

30d 28%

90d 61%

1Y 81%

ETH Historical Volatility

10d 45%

30d 43%

90d 72%

1Y 100%

The open interest is 1 billion US dollars.

【BTC Options】

The open interest is 1 billion US dollars.

Implied volatility for each normalized term:

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

7/15：1m 53%, 3m 66%, 6m 72%

Skewness:

Today: 1m -3.9%, 3m +1.4%, 6m +4.0%

7/15：1m -2.8%, 3m +0.9%, 6m +3.5%

The short-term skew and the mid-to-long-term skew are clearly deviated again. The price of short-term put is more expensive. Of course, if you think about it from another angle, that is to say, the price of short-term call is cheaper. It is worth mentioning that since the Q2 delivery last month, the basis of Bitcoin has been slowly rising.

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

Judging from the changes in open interest, the position shift operation started on Thursday, and a large number of short-term positions moved to the 24-day deadline. Selling calls and buying puts contributed to the main transaction volume.