Deribit Options Market Report: 0804 - Sudden Brake
Since last month, a nearly two-week bull market has ignited the enthusiasm of the market, and a deep correction on the 2nd has poured cold water on it. During this period, there is exactly one monthly delivery, and the seller's move and the buyer's liquidation also affect the entire market. The term structure of options changes repeatedly, the open interest and open interest remain high, and various data are mutually converted in the state of balance and breakthrough. However, all of this seems to have stepped on the brakes suddenly yesterday, and all the data has been frozen.
BTC historical volatility
【BTC Options】
BTC historical volatility
10d 83%
30d 52%
90d 58%
1Y 81%
Implied volatility for each normalized term:
Implied volatility for each normalized term:
Today: 1m 63%, 3m 66%, 6m 66%
8/3：1m 65%, 3m 67%, 6m 67%
Skewness:
Skewness:
Today: 1m +6.2%, 3m +8.6%, 6m +12.8%
8/3：1m +5.4%, 3m +7.5%, 6m +11.3%
Skew currently has little impact on the market and is on the left side. The basis is falling, and it is only a matter of time before the skew falls.
It can be seen from BTC Option Flows that the transaction volume was small yesterday, and the large transaction accounted for 10% of the market for the first time.
Judging from the changes in open interest, today's option trading volume is relatively scattered.
secondary title
ETH Historical Volatility
ETH Historical Volatility
10d 103%
30d 74%
90d 70%
1Y 102%
Each standardized period IV:
Each standardized period IV:
Today: 1m92%, 3m87%, 6m 80%
8/3 : 1m 89%，3m 86%，6m 82%
Ethereum IV has not declined, maintaining yesterday's level, and the term structure has not yet returned. This term structure should not last for too long.
The position structure of Ethereum is very different from that of Bitcoin. The option positions due at the end of the year reached 307,500 coins, but only 163,200 coins in the month, only half of the year-end.
