Deribit Options Market Report: 0727 - Comprehensive Breakthrough
After watching Ethereum perform for a week, Bitcoin finally ushered in a breakthrough market, once breaking through 10300, only one step away from this year's high. The increase in the price of Bitcoin has brought about the growth of multiple data, such as the basic position, trading volume and basis difference, and the IV and Skew of options are all breakthrough growth.
BTC historical volatility BTC historical volatility 10d 26% 30d 25% 90d 57% 1Y 81% Implied volatility for each normalized term: Implied volatility for each normalized term: Today: 1m 58%, 3m 64%, 6m 68% 7/26：1m 53%, 3m 60%, 6m 66% Today: 1m +15.4%, 3m +13.5%, 6m +17.3% Skewness: Today: 1m +15.4%, 3m +13.5%, 6m +17.3% 7/26：1m +7.2%, 3m +5.6%, 6m +7.8% Judging from today's data, the skew of each term has a very large deviation today. Because when the big rising market comes, on the one hand, the seller is in a wait-and-see attitude towards selling Call, and generally chooses to open a position when the market is sideways or pulls back; The ends of the smile are generally higher than the middle, and market correction IV also takes some time. Overall, the current data show that call options are being bought more enthusiastically than ever before. It can be seen from BTC Option Flows that the buy call is still the main force today, but generally speaking, the seller has also started a new position building activity, and the strength of the two sides is not much different. Judging from the changes in open interest, the overall open interest has not changed much. The main trading force is concentrated in 31Jul, and the options with deep out-of-value are mainly traded in the medium and long-term. ETH Historical Volatility ETH Historical Volatility 10d 81% 30d 58% 90d 67% 1Y 101% Each standardized period IV: Each standardized period IV: Today: 1m 79%, 3m 76%, 6m 76% 7/23 : 1m 70%，3m 72%，6m 75% Skewness: Skewness: Today: 1m +24.3%, 3m +20.8%, 6m +20.1% 7/24：1m +15.3%, 3m +15.0%, 6m +14.1% The right skew of Ethereum’s various term skews can be terrifying. The option IV deviation of the same 0.25D exceeds 20%. Traders who buy call options have already ignored the cost. To a large extent, this is directly related to the high basis.【BTC Options】
【ETH Options】
