Deribit Options Market Report: 0719 - Look at the Law

特邀专栏作者

2020-07-19 18:17 (UTC+8)

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Today's put option trading volume on Ethereum accounts for 72% of the total trading volume. As mentioned earlier, this may be due to the low trading volume today. The daily trading volume of put options is relatively stable, and the volume of call op

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As mentioned in the recent broadcast, it has become a regular phenomenon that the IV falls on Thursday and Friday while the trading volume increases, and the IV rises slightly and the trading volume decreases on weekends. Judging from this week's data, this phenomenon is consistent with predictions. Observing the regularity of the market may save one or two percentage points in transaction costs. However, it is obviously not enough to only observe the superficial laws. These phenomena have the logic behind them (expiration on Friday and shifting positions) and the cooperation of the environmental background (long-term stable prices), which can help you analyze, but cannot be used as a basis for trading , which is true for most of the technical indicators.

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ETH Historical Volatility

BTC historical volatility

10d 20%

30d 28%

90d 59%

1Y 81%

ETH Historical Volatility

10d 31%

30d 44%

90d 65%

1Y 100%

The open interest is 1.1 billion US dollars.

【BTC Options】

The open interest is 1.1 billion US dollars.

Today: 1m 50%, 3m 63%, 6m 70%

Implied volatility for each normalized term:

Today: 1m 50%, 3m 63%, 6m 70%

7/18：1m 48%, 3m 62%, 6m 69%

Skewness:

Today: 1m -10.2%, 3m -3.1%, 6m +0.4%

7/18：1m -10.1%, 3m -2.4%, 6m +2.3%

The short-term Skew peaked at 12% yesterday, and it is still 10% at present. When Skew is high, it is relatively cheap to buy Cal. l We can use PCP synthesis to take advantage of it, but we must pay attention to this may increase the margin occupation. For example, 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.

It can be seen from BTC Option Flows that selling call options has accounted for more than one-third of the market for several consecutive days, and today's large transactions are much less than the previous two days.

From the perspective of changes in open interest, because the end of the month is approaching, the enthusiasm for trading this week is not as high as that of the current month. This is a very common trading phenomenon. At this time, traders may be more willing to trade monthly options, and the main force of transactions is still Out-of-the-money call options.