Deribit Options Market Broadcast: 0721 - $200

特邀专栏作者

2020-07-21 22:02 (UTC+8)

This article is about 1040 words, reading the full article takes about 2 minutes

A large number of call options have been traded in Ethereum in the past three days, and the active buying power is getting stronger and stronger. Today, as much as 59% of the transactions are active buying calls.

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Bitcoin rose by more than $200 this afternoon, and such a "big market" has not happened in more than ten days. Such a market has not changed the market structure, because such a rise is still too stable for Bitcoin. Recently, the basis of Bitcoin futures has been rising moderately, and the skew of options has also risen moderately. The data of skew must be viewed together with the basis to be valuable.

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ETH Historical Volatility

BTC historical volatility

10d 14%

30d 28%

90d 58%

1Y 81%

ETH Historical Volatility

10d 27%

30d 45%

90d 62%

1Y 100%

【BTC Options】

The open interest is 1.1 billion US dollars.

Implied volatility for each normalized term:

Today: 1m 50%, 3m 62%, 6m 70%

7/20：1m 50%, 3m 63%, 6m 70%

Skewness:

Today: 1m -10.0%, 3m -3.1%, 6m +0.4%

7/19：1m -7.4%, 3m -2.0%, 6m +1.2%

The short-term Skew fell back to 7.4 yesterday and rose to 10% today. In the long-term, the recent Skew is at a relatively high position, and the futures basis has been rising moderately recently. Overall, there has been little change. Selling Call has always been the market strongest force.

It can be seen from BTC Option Flows that the trading volume of call options is close to two-thirds of the market. The difference is that yesterday’s block transactions actively sold a lot of call options that were deeply out of value.

From the perspective of changes in open interest, the largest trading volume is the deep out-of-the-money call options in the current month and quarter. The quarterly trading volume is increasing, and it is likely that some sellers have begun to move their positions.