Deribit Options Market Broadcast: 0718 - Regular Phenomena
As mentioned in the previous broadcast, it has become a regular phenomenon that IV falls from Thursday to Friday due to early shifting of positions on Thursday. Another interesting regular phenomenon is that the trading volume on Friday will be significantly higher than that on weekends, and IV will rise slightly from weekends onwards. Of course, these are all based on the fact that the price of Bitcoin has not fluctuated much recently. Observing the regularity of the market will make the transaction more interesting, but it is also easy to be deceived by the illusion of the market.
secondary title
ETH Historical Volatility
BTC historical volatility
10d 21%
30d 28%
90d 59%
1Y 81%
ETH Historical Volatility
10d 30%
30d 44%
90d 68%
1Y 100%
【BTC Options】
【BTC Options】
The open interest is 1 billion US dollars.
Implied volatility for each normalized term:
IV:
Implied volatility for each normalized term:
Today: 1m 48%, 3m 62%, 6m 69%
7/16：1m 50%, 3m 64%, 6m 71%
Implied volatility has clearly ushered in a wave of decline today. After the delivery this week, the short-term volatility is still declining significantly. It has been suppressed to 32.5% this week. It has dropped to 67.75%.
Skew:
Today: 1m -10.1%, 3m -2.4%, 6m +2.3%
7/16：1m -12.1%, 3m -3.1%, 6m +0.5%
The short-term Skew is as high as 12%. Combined with other indicators, we can see that a large number of traders selling call options is the reason for the high Skew. At this time, we can use PCP synthesis to take advantage. For example, if I want to buy Jul31-9000C, under the current skewness, I can choose to buy Jul31-9000P and do long equivalent futures at the same time.
Option Flows:
BTC Option Flows It is obvious that call options are the main trading force at present, and a large number of call options above 10,000 and put options below 8,500 have been traded in bulk transactions.
OI:
Judging from the changes in open interest, a huge amount of out-of-the-money options expired yesterday, and the seller won a big victory.
【ETH Options】
【ETH Options】
Each standardized period IV:
Each standardized period IV:
Today: 1m 52%, 3m 66%, 6m 74%
7/17 : 1m 53%，3m 67%，6m 74%
Skewness:
Skewness:
Today: 1m -0.8%, 3m +5.4%, 6m +5.7%
7/17：1m -0.2%, 3m +6.6%, 6m +8.1%
The active turnover of ETH Selling Call is as high as 37%. Although it is lower than yesterday's astonishing 57% turnover, judging from various data, the power of selling calls is very strong. There is no doubt that some giant whales who hold coins have begun to use options to enhance their income.
