Deribit Options Market Broadcast: 0728 - New Highs Reached
Bitcoin broke through the pressure level in the middle of the night today, creating a new high for this year. The increase in the price of Bitcoin has brought about a number of data growth. The open interest, trading volume, and basis of derivatives, as well as IV and Skew in options, have all experienced breakthrough growth. Driven by rising prices, the market sentiment is extremely optimistic, and the volume of option transactions has exploded.
BTC historical volatility
【BTC Options】
BTC historical volatility
10d 69%
30d 44%
90d 61%
1Y 81%
Implied volatility for each normalized term:
Implied volatility for each normalized term:
Today: 1m 76%, 3m 72%, 6m 71%
7/27：1m 58%, 3m 64%, 6m 68%
Skewness:
Skewness:
Today: 1m +15.4%, 3m +13.5%, 6m +17.3%
7/27：1m +12.2%, 3m +11.6%, 6m +15.8%
Judging from today's data, the skew of each term has maintained a state of deviation, but the degree has not been further expanded. Because in the current market situation, IV has been improved, and traders have an obvious impulse to sell bullish; Only by rising can the market's expectations be maintained.
It can be seen from BTC Option Flows that the proportion of selling calls is as high as 40% today, and part of buying calls belongs to the protection direction of constructing bull market spreads. The two together account for 70% of the transaction volume. Because after several waves of upswing in the early morning of this morning, Bitcoin has entered a trend of shock consolidation. The sellers with low positions in the early stage found trading opportunities and began to suppress them. At the same time, cross-exchange arbitrage has also entered the field of vision of traders. With more and more option exchanges, cross-exchange arbitrage may have the same opportunity as before.
Judging from the changes in positions, the main positions are concentrated in 31Jul, but the main increase in positions comes from the deeply out-of-the-money options in the next month and quarter.
secondary title
ETH Historical Volatility
ETH Historical Volatility
10d 83%
30d 59%
90d 67%
1Y 101%
Each standardized period IV:
Each standardized period IV:
Today: 1m 83%, 3m 80%, 6m 78%
7/27 : 1m 79%，3m 76%，6m 76%
Today: 1m +17.3%, 3m +19.0%, 6m +22.1%
Skewness:
Today: 1m +17.3%, 3m +19.0%, 6m +22.1%
7/27：1m +24.3%, 3m +20.8%, 6m +20.1%
The right skew of each term Skew of Ethereum is still very high, and the situation of Ethereum is similar to the previous few days. Comparing today's bitcoin market, it can be seen that the current is the result of the linkage of the entire market, and the option market is becoming more and more mature.
