Deribit Options Market Report: 0806 - Shrinking up
Both BTC and ETH had a certain increase yesterday, but the trading volume was not large. The current price is maintained at the recent high level, and IV continues to be higher than HV. In this round of bull market, the impact on sellers is smaller than in previous bull markets, because the upward force has not been strong all the time, and the space for sellers has always been relatively large.
BTC historical volatility BTC historical volatility 10d 87% 30d 54% 90d 58% 1Y 81% Implied volatility for each normalized term: Implied volatility for each normalized term: Today: 1m 61%, 3m 68%, 6m 70% 8/5：1m 63%, 3m 69%, 6m 69% Skewness: Skewness: Today: 1m +11.2%, 3m +13.6%, 6m +17.8% 8/5：1m +8.4%, 3m +11.5%, 6m +16.3% Both the basis and skew have risen slightly, and the impact of the rise is not significant. It can be seen from BTC Option Flows that the seller has fully grasped the current trading initiative, but the skew has not been effectively corrected. Judging from the changes in open interest, there are more short-term option transactions, and combined with the rise in short-term skew, it seems that someone is adding options. secondary title ETH Historical Volatility 10d 89% 30d 74% 90d 70% 1Y 102% Each standardized period IV: Each standardized period IV: Today: 1m82%, 3m84%, 6m 82% 8/5 : 1m 89%，3m 87%，6m 82% Ethereum IV has seen a slight dip. Combined with transaction data, it is mainly due to the strong force of selling calls, which is related to the lower than expected increase of Ethereum yesterday. The distribution of option positions in Ethereum is a stepwise increase, and it is difficult to change significantly in a short period of time. In the bulk transaction, a single 7AUG-320P-S of 3,000 coins was traded, as well as multiple extremely out-of-valued put options, all with a unit price of 0.0005 coins. It seems that the nominal value is very large, but in fact there is not much actual value in total.【BTC Options】
ETH Historical Volatility
