Deribit Options Market Report: 0723 - The Buyer Wins Big

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ETH Historical Volatility

BTC historical volatility

10d 20% 

30d 29%

90d 58%

1Y  81%

ETH Historical Volatility

10d 55% 

30d 53%

90d 65%

1Y 101%

【BTC Options】

【BTC Options】

The open interest is 1.2 billion US dollars.

The overall option open interest is relatively stable, which is the same as that before the June delivery.

Implied volatility for each normalized term:

Implied volatility for each normalized term:

Today: 1m 51%, 3m 62%, 6m 69%

7/22：1m 49%, 3m 62%, 6m 70% 

Skewness:

Skewness:

Today: 1m 0.7%, 3m 0.5%, 6m +1.9%

7/22：1m -5.6%, 3m -2.6%, 6m +0.4%

The most obvious change in today's data is that the 0.25D Skew of all terms fell back to near zero. In the process of rising, the original out-of-the-money call options became less virtual or even close to par value, while the put option was the opposite. At present, there is no premium for Put relative to Call. Looking back, the futures basis has jumped slightly, which shows that the enthusiasm for long positions in the market has begun to spread.

From BTC Option Flows, it can be seen that large transactions have increased significantly, mainly selling mid-to-long-term calls, and every time it rises, someone will start to sell calls.

Judging from the changes in open interest, the overall open interest has not changed much, which is consistent with the situation reflected in the transaction distribution. When it rises, it will sell and sell.

【ETH Options】

【ETH Options】

Each standardized period IV:

Each standardized period IV:

Today: 1m 61%, 3m 69%, 6m 75%

7/22 :  1m 54%，3m 67%，6m 75%

Skewness:

Skewness:

Today: 1m -4.3%, 3m +7.6%, 6m +8.0%

7/21：1m +8.3%, 3m +8.8%, 6m +10.1%

The Skew of each period of Ethereum is obviously right-shifted, and the Call becomes more expensive, which shows that the market's buying enthusiasm is high. Some doomsday call options rose more than 10 times to stimulate the market to move forward.