Deribit Options Market Report: 0722 - Return of Skew

特邀专栏作者

2020-07-22 22:17 (UTC+8)

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Judging from multiple data such as transaction volume and transaction distribution, the option markets of Bitcoin and Ethereum are becoming more and more different.

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Judging from multiple data such as transaction volume and transaction distribution, the option markets of Bitcoin and Ethereum are becoming more and more different.

Recently, Bitcoin Skew has been in a state of obvious left bias, and yesterday's rise in Bitcoin made Skew return quickly. However, the performance of the Ethereum market is different. It has only slightly shifted to the left recently, and the skew has only returned to near zero after the rise. Judging from multiple data such as transaction volume and transaction distribution, the option markets of Bitcoin and Ethereum are becoming more and more different.

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ETH Historical Volatility

BTC historical volatility

10d 18%

30d 29%

90d 58%

1Y 81%

ETH Historical Volatility

10d 34%

30d 46%

90d 64%

1Y 100%

The open interest is 1.2 billion US dollars.

【BTC Options】

The open interest is 1.2 billion US dollars.

Implied volatility for each normalized term:

Today: 1m 49%, 3m 62%, 6m 70%

7/21：1m 50%, 3m 62%, 6m 70%

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Skewness:

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7/19：1m -3.4%, 3m +1.3%, 6m +0.6%

The most obvious change in today's data is that the short-term Skew fell back to 3.4%. The short-term Skew has been hovering around 10% recently. The recent broadcast mentioned that in the long run, Skew is at a relatively high position. Today, the price of Bitcoin has risen, and Skew has obviously returned in the short term.

It can be seen from BTC Option Flows that the four trading forces are relatively close today, and the large transactions have returned to calm, with only 3 transactions at the virtual price of 8500P.

From the perspective of changes in open interest, the overall open interest has not changed much. Only 700 contracts were traded at the false price of 8500P, and the transaction volume at other prices was not large.

【ETH Options】