Deribit Options Market Report: 0730 - Risk Reversal
Risk Reversal refers to an option strategy of buying out-of-the-money put options and selling out-of-the-money call options (or the opposite combination) at different strike prices. Generally, the two have close delta values and close royalty amounts. There are many ways to trade risk reversal portfolios, including trading on skew. In recent days, the deviation of the Skew indicator is extremely obvious, and the risk reversal combination can be used to predict the regression of the Skew curve. We'll have some discussion on this topic in tomorrow's lesson.
BTC historical volatility 【BTC Options】 BTC historical volatility 10d 69% 30d 44% 90d 56% 1Y 81% Implied volatility for each normalized term: Implied volatility for each normalized term: Today: 1m 58%, 3m 64%, 6m 66% 7/29：1m 61%, 3m 64%, 6m 65% Skewness: Skewness: Today: 1m +10.4%, 3m +10.5%, 6m +13.3% 7/29：1m +9.2%, 3m +10.6%, 6m +13.8% Judging from today's data, the skew of each term remains at a relatively high level. Because the recent transactions are concentrated in the two directions of delta and vega, IV has dropped, the price is also sideways, and the mood of traders has returned to calm. There is still room for excess returns in the following market for skew transactions. From BTC Option Flows, we can see that the concentrated trading power is relatively balanced today, and the trading power of selling calls and buying puts is relatively large and equal. We can guess that many risk reversal combinations have been traded. After this month's delivery, the price of call options will be quickly depressed. . 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 10d 83% 30d 57% 90d 68% 1Y 101% Each standardized period IV: Each standardized period IV: Today: 1m 72%, 3m 76%, 6m 76% 7/29 : 1m68%，3m 78%，6m 80% Skewness: Skewness: Today: 1m +12.3%, 3m +16.8%, 6m +20.1% 7/29：1m +17.3%, 3m +19.0%, 6m +22.1% The skew of Ethereum is still high, in fact, Ethereum is currently suitable for risk reversal trading. Especially for players who believe in market linkage, it is completely possible to buy it now.ETH Historical Volatility
