Deribit Options Market Report: 0818 — Sideways Breakthrough

BTC historical volatility

【BTC Options】

BTC historical volatility

10d 40% 

30d 57%

90d 50%

1Y  80%

Implied volatility for each normalized term:

Implied volatility for each normalized term:

Today: 1m 70%, 3m 77%, 6m 78%

8/17：1m 68%, 3m 75%, 6m 76% 

Skewness:

Skewness:

Today: 1m +7.9%, 3m +9.3%, 6m +13.8%

8/17：1m +5.9%, 3m +8.3%, 6m +12.8%

The rise brings about a rise in skew, the short-term skew rises significantly, and the medium and long-term call options are relatively stable.

BTC Option Flows can be seen that the proportion of bullish selling is very high today. One aspect confirms that trend traders did not trade too much in this breakout, which is not a very effective breakout yet.

Judging from the changes in open interest, put options have become the main force of transactions today. In this round of bull market, put options have always played a supporting role, and today is one of the few trading days where put options are the mainstay.

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ETH Historical Volatility

ETH Historical Volatility

10d 78% 

30d 83%

90d 67%

1Y 101% 

Each standardized period IV:

Each standardized period IV:

Today: 1m 99%, 3m 99%, 6m 91%

8/16 :  1m 103%，3m 103%，6m 99%

Although the price of Ethereum did not rise, the IV did, and all reached the highest level in recent months. The price of Bitcoin broke through, and the IV did not rise. Instead, the IV of Ethereum was brought up.

Ethereum Call Sell achieved a huge nominal value of 20,000 coins yesterday, and there are still 5,000 coins today, but today Put Buy also has 5,000 coins. From the price data point of view, it looks like a risk reversal portfolio.