Deribit Options Market Report: 0812 - Return of skew

【BTC Options】

BTC historical volatility

10d 64% 

30d 55%

90d 52%

1Y  81% 

Implied volatility for each normalized term:

Implied volatility for each normalized term:

Today: 1m 61%, 3m 67%, 6m 69%

8/11：1m 59%, 3m 67%, 6m 68% 

Skewness:

Skewness:

Today: 1m -0.9%, 3m +6.3%, 6m +12.8%

8/11：1m +5.4%, 3m +10.5%, 6m +15.3%

The short-term skew is the first to return, and the market for out-of-the-money call options is coming to an end.

It can be seen from BTC Option Flows that Call Sells accounted for 31% of the transaction volume. There is a big transaction, BTC-26Mar21-8000Put of 400 coins, the transaction IV is 67%, which is quite a low price.

From the perspective of changes in open interest, short-term options are currently very active, and the largest order is the block transaction mentioned above.

ETH Historical Volatility

【ETH Options】

ETH Historical Volatility

10d 91% 

30d 75%

90d 67%

1Y 101% 

Each standardized period IV:

Each standardized period IV:

Today: 1m 78%, 3m 83%, 6m 81%

8/11 :  1m 77%，3m 83%，6m 84%

Ethereum IV has not changed much. Although the price continues to fall today, the market is relatively stable and the speed is relatively slow.

The full term of Ethereum’s skew is still positive, but the short-term skew is only 5.8%, which is only one step away from returning to zero.