Deribit Options Market Report: 0731 - Monthly Delivery
Today is the delivery day in July. Both Bitcoin and Ethereum have achieved good gains this month, sweeping away the sideways situation of the previous three months. As with previous important delivery days, there won't be many new positions opening today, and all attention will be on dealing with doomsday positions (especially on the sell side). Today, the term structure of Bitcoin has been reversed back to the normal structure, and the IV has also dropped a lot. A few days after the delivery, the IV is likely to be suppressed before it rises. Today's course will also explain the use of option combinations in this market.
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 53%, 3m 63%, 6m 65%
7/30：1m 58%, 3m 64%, 6m 66%
Skewness:
Skewness:
Today: 1m +12.2%, 3m +11.6%, 6m +13.8%
7/30：1m +10.4%, 3m +10.5%, 6m +13.3%
Judging from today's data, the skew of each term continues to maintain a relatively high level. Only skew has yet to return, after other parameters in the options market have rapidly returned. Of course, this is directly related to the fact that the basis has not yet returned. Basis trading is not as easy as last year, but skew trading is not as intuitive as the basis. This market has yet to be discovered.
It can be seen from BTC Option Flows that the trading power is still relatively balanced today, because on the delivery day, there are relatively few new positions opened, so this indicator is often distorted until the end of the month, and this time is no exception.
Judging from the changes in positions, the main positions are no longer concentrated in 31Jul, and become the main trading force in the next month. In particular, someone bought 11,000P of the doomsday round today, betting on a plunge. This kind of operation has been much less in the recent period, and the reason is very straightforward. The current delivery date is not as volatile as before.
ETH Historical Volatility
【ETH Options】
ETH Historical Volatility
10d 88%
30d 60%
90d 65%
1Y 101%
Each standardized period IV:
Each standardized period IV:
Today: 1m 70%, 3m 77%, 6m 78%
7/30 : 1m 72%，3m 76%，6m 76%
Skewness:
Skewness:
Today: 1m +15.3%, 3m +18.5%, 6m +19.1%
7/30：1m +12.3%, 3m +16.8%, 6m +20.1%
The skew of Ethereum is still very high. Selling calls is a good business. Today, the transaction volume of selling calls accounts for 45% of all transactions.
