Deribit Options Market Report: 0803 - Calm
Yesterday ushered in the biggest callback in this bull market. At the climax of the bull market atmosphere, Bitcoin took a sharp turn, falling by more than 10%. After experiencing a huge shock of $1,500, Bitcoin stabilized around $11,100. From the perspective of the daily cycle, the various data of option futures, except for the huge amount of liquidation, are very "regular", as if there is just a long upper shadow line, and the market seems to be calm, but for some traders However, yesterday may have been a rough day.
BTC historical volatility BTC historical volatility 10d 83% 30d 51% 90d 58% 1Y 81% Implied volatility for each normalized term: Implied volatility for each normalized term: Today: 1m 65%, 3m 67%, 6m 67% 8/2：1m 71%, 3m 70%, 6m 67% Skewness: Skewness: Today: 1m +5.4%, 3m +7.5%, 6m +11.3% 8/2：1m +7.2%, 3m +7.6%, 6m +11.8% Skew has been pulled back to the right track by the sharp drop. If the combination mentioned in the broadcast last week is followed, the return of skew is a good business. But it must be explained that even if a risk reversal portfolio is really constructed, the reason for making money is mainly because the bearish direction is correct. It can be seen from BTC Option Flows that there were many large transactions yesterday, and the large transactions are always relatively balanced in strength, and there are extremely out-of-the-money options in both directions. Judging from the changes in open interest, today's option trading volume is relatively scattered. secondary title ETH Historical Volatility 10d 104% 30d 73% 90d 69% 1Y 102% Each standardized period IV: Each standardized period IV: Today: 1m 89%, 3m 86%, 6m 82% 8/2 : 1m103%，3m89%，6m 81% Skewness: Skewness: Today: 1m +17.3%, 3m +12.5%, 6m +14.1% 8/2：1m +12.3%, 3m +14.8%, 6m +17.1% The position structure of Ethereum is very different from that of Bitcoin, mostly due to the relatively long holding period.【BTC Options】
ETH Historical Volatility
