Deribit Options Market Report: 0717 - Duck life is hard

特邀专栏作者

2020-07-17 21:28 (UTC+8)

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ETH selling Call active transaction reached 57%, and the total active selling volume exceeded 80%. There is no doubt that some giant whales who hold coins have begun to use options to enhance their income.

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It was mentioned in yesterday's broadcast that with the delivery of the seller's position and the release of the margin on Friday, IV will definitely usher in a decline. Because there is still not much volatility today, IV also ushered in the expected decline. IV fell to 35% in the next week, 42% in the month, and below 60% in the quarter. Half a year ago, who would have thought that Bitcoin would fall to this volatility? For most sellers, continuing to sell at the current volatility level belongs to picking up coins before the steamroller, and life is difficult.

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ETH Historical Volatility

BTC historical volatility

10d 27%

30d 28%

90d 59%

1Y 81%

ETH Historical Volatility

10d 47%

30d 44%

90d 68%

1Y 100%

The open interest is 1.1 billion US dollars.

【BTC Options】

The open interest is 1.1 billion US dollars.

Implied volatility for each normalized term:

Today: 1m 50%, 3m 64%, 6m 71%

7/16：1m 53%, 3m 66%, 6m 72%

Today: 1m -10.1%, 3m -2.4%, 6m +2.3%

Skewness:

Today: 1m -10.1%, 3m -2.4%, 6m +2.3%

7/16：1m -3.9%, 3m +1.4%, 6m +4.0%

The short-term skew is as high as 10%. This is obviously caused by a large number of out-of-the-money call options being sold. With the release of margin, some sellers began to lower the selling price regardless of cost.

The Put/Call Ratio position ratio is 0.52, the market structure is stable, and the strength of covered selling bullish and selling bearish is close.

Judging from the changes in open interest, more than 75% of them are active sellers today. If you count some sellers who sold pending orders, it can be said that the sellers are trampling on them today. It is especially important to note that more and more combined transactions have begun to appear in large transactions. .