Deribit Options Market Report: 0814 - Ether's new high

BTC historical volatility

10d 46%  

30d 56%

90d 51%

1Y  81%

Implied volatility for each normalized term:

Implied volatility for each normalized term:

Today: 1m 59%, 3m 65%, 6m 67%

8/13：1m 55%, 3m 64%, 6m 68% 

Skewness:

Skewness:

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

8/13：1m +1.4%, 3m +7.5%, 6m +13.3%

Judging from the current skew, short-term out-of-the-money call options fluctuate around zero, but the mid-to-long term is still at a high level.

It can be seen from BTC Option Flows that Put Sells accounted for 36% of the transaction volume. The turnover IV of block transactions is very low, and the bulk transactions are concentrated in relatively short-term options.

Judging from the changes in positions, the main transactions are all in the next week, indicating that they are shifting positions. This week's delivery ended in this way, and Bitcoin was calm, but the sellers of Ethereum were more nervous.

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ETH Historical Volatility

ETH Historical Volatility

10d 81%  

30d 82%

90d 68%

1Y 102%

Each standardized period IV:

Each standardized period IV:

Today: 1m 86%, 3m 89%, 6m 84%

8/13 :  1m 74%，3m 80%，6m 82%

The IV of Ethereum has risen significantly, and the IV of the at-the-money option at the end of the year has reached 90%. On the last day of Ethereum, a large number of sellers of current options experienced Pin Risk.