Deribit Options Market Report: 0724 - ETH Explodes

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ETH Historical Volatility

BTC historical volatility

10d 20% 

30d 26%

90d 57%

1Y  81% 

ETH Historical Volatility

10d 60% 

30d 50%

90d 65%

1Y 101%

【BTC Options】

【BTC Options】

The open interest is 1.3 billion US dollars. After a month of steady growth, the options open interest finally returned to the level before the June delivery.

Implied volatility for each normalized term:

Implied volatility for each normalized term:

Today: 1m 47%, 3m 60%, 6m 67%

7/23：1m 51%, 3m 62%, 6m 69% 

Skewness:

Skewness:

Today: 1m -0.6%, 3m +2.6%, 6m +5.4%

7/23：1m +0.7%, 3m +0.5%, 6m +1.9% 

The most obvious change in today's data is that the forward term 0.25D Skew has risen to 5.4%. Call is much more expensive, and the premium has reached a higher level. The previously mentioned PCP combination can be reversed.

It can be seen from BTC Option Flows that the sellers continue to exert their strength today, and the bulk of transactions are concentrated on out-of-value calls. Every time there is a rise, someone will start to sell calls. After all, covered profits are the most reassuring to earn (at least it seems so).

Judging from the changes in open interest, the overall open interest has not changed much, and transactions have begun to concentrate in the medium and long-term.

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【ETH Options】

Each standardized period IV:

Each standardized period IV:

Today: 1m 64%, 3m 70%, 6m 74%

7/23 :  1m 61%，3m 69%，6m 75% 

Skewness:

Skewness:

Today: 1m +10.3%, 3m +12.8%, 6m +13.1%

7/23：1m -4.3%, 3m +7.6%, 6m +8.0% 

The Skew of each term of Ethereum is obviously right-shifted, and the Call of each term is very expensive, which shows that the market's enthusiasm for buying continues to rise.