Deribit Option Market Report: 0729 - Sellers Return Blood
After Bitcoin broke through a new high on the 27th, it entered a short-term sideways trading from the 28th. IV was quickly suppressed, and the long-term returned to a low level. In the near future, it was depressed by nearly 20%, and the entire term structure also returned to a normal state. For the seller, if the sales were increased in the past two days, a lot of blood has been recovered now, and the cost may be recovered after eating theta for a few more days.
BTC historical volatility
【BTC Options】
BTC historical volatility
10d 68%
30d 45%
90d 60%
1Y 81%
Implied volatility for each normalized term:
Implied volatility for each normalized term:
Today: 1m 61%, 3m 64%, 6m 65%
7/28：1m 76%, 3m 72%, 6m 71%
As mentioned yesterday, the term structure of Bitcoin options has reversed, and the overall surface has moved upwards, and the recent rise has been obvious. If this rally ends and enters a sideways market, the implied volatility will be quickly suppressed.
Skewness:
Skewness:
Today: 1m +9.2%, 3m +10.6%, 6m +13.8%
7/28：1m +15.4%, 3m +13.5%, 6m +17.3%
Judging from today's data, the skew of each period began to return. Due to the sideways trading in the past two days, IV has dropped, traders' emotions have returned to calm, most traders have resumed their trading strategies, and the trading forces of all parties have re-entered the game state.
Judging from the changes in open interest, the main positions are concentrated on 31 Jul, and the deep out-of-value option open interest in the next month and quarter is growing, and the position shift is in progress.
Judging from the changes in open interest, the main positions are concentrated on 31 Jul, and the deep out-of-value option open interest in the next month and quarter is growing, and the position shift is in progress.
secondary title
ETH Historical Volatility
ETH Historical Volatility
10d 83%
30d 57%
90d 68%
1Y 101%
Today: 1m 72%, 3m 76%, 6m 76%
Each standardized period IV:
Today: 1m 72%, 3m 76%, 6m 76%
7/28 : 1m 83%，3m 80%，6m 78%
Skewness:
Skewness:
Today: 1m +17.3%, 3m +19.0%, 6m +22.1%
7/27：1m +15.3%, 3m +15.8%, 6m +16.1%
The various term skews of Ethereum follow the market changes of Bitcoin. At present, the option market is becoming more and more mature, and options are more and more suitable for use as a risk hedging tool.
