Deribit Options Market Report: 0810 - hit a new high
Driven by the concept of DeFi, both Bitcoin and Ethereum have risen to a certain extent today, and they are only one step away from new highs. However, while the price is rising, the IV is falling slightly, which will be uncomfortable for the buyer. Delta’s profit will be swallowed by Vega, and the loss of Theta will always be there.
BTC historical volatility BTC historical volatility 10d 59% 30d 53% 90d 52% 1Y 81% Implied volatility for each normalized term: Implied volatility for each normalized term: Today: 1m 58%, 3m 68%, 6m 69% 8/9：1m 60%, 3m 68%, 6m 69% Skewness: Skewness: Today: 1m +7.2%, 3m +10.3%, 6m +15.8% 8/9：1m +7.4%, 3m +9.5%, 6m +14.3% Skew has not changed much in the past week. Recently, the hot spot in the market is not the mainstream currency, and the market has not fluctuated much for the time being. It can be seen from BTC Option Flows that the four trading forces are relatively balanced, and there are fewer large transactions, which shows that the market sentiment has not changed like the currency price, and the current market is that a small number of people are buying Bitcoin. At present, the trading volume of Deribit options accounts for 95% of the total market. Judging from the changes in open interest, date options are currently very active, and there are positions in out-of-the-money options in all directions. ETH Historical Volatility ETH Historical Volatility 10d 94% 30d 74% 90d 66% 1Y 102% Today: 1m 77%, 3m 83%, 6m 84% Each standardized period IV: Today: 1m 77%, 3m 83%, 6m 84% 8/9 : 1m 80%，3m 82%，6m 81% The short-term IV of Ethereum continues to decline, and the long-term IV has risen. The skew of different periods is very close, and the market is now at a stalemate. Ethereum’s date option trading is very hot, and the trading volume of call options is slightly higher than that of put options. At-the-money option positions are the most outstanding, with positions reaching 80,000 ETH. Observing the rest of the price distribution, the out-of-the-money put options are the main ones, and the open interest of the out-of-the-money call options is relatively low.【BTC Options】
【ETH Options】
