Deribit Options Market Report: 0825 — Long Gamma

【BTC Options】

BTC historical volatility

10d 37% 

30d 58%

90d 48%

1Y  80%

Implied volatility for each normalized term:

Implied volatility for each normalized term:

Today: 1m 54%, 3m 70%, 6m 73%

8/24：1m 56%, 3m 70%, 6m 74%

Skewness:

Skewness:

Today: 1m +2.6%, 3m +9.6%, 6m +15.5%

8/24：1m +7.9%, 3m +11.3%, 6m +15.8% 

skew rose in a short-term jump yesterday, and went back today. The mid- to long-term skew is very stable, and the current level of skew has been maintained for nearly a month.

BTC Option Flows data shows that Call Sell accounted for 37%, but the turnover was only 1,700 coins, which is of little reference value. Options are a hedging tool. Under the current market conditions, the demand for short-selling tools is significantly greater.

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ETH Historical Volatility

ETH Historical Volatility

10d 62% 

30d 82%

90d 68%

1Y 101%

Each standardized period IV:

Each standardized period IV:

Today: 1m 81%, 3m 96%, 6m 93%

8/24:  1m 84%，3m 99%，6m 95%

Ethereum IV has entered a decline phase, with a significant decline in the January period, returning to the recent average level.

The distribution of transactions in the four directions of Ethereum is even, and the overall transaction volume is relatively small. The positions around $405 are very concentrated, with a nominal value of 91,600 ethers, and most of the other positions are long-term positions below $350, which may not change for a long time.