Deribit Options Market Report: 0826 — Under Pressure

【BTC Options】

BTC historical volatility

10d 41% 

30d 59%

90d 49%

1Y  80%

Today: 1m 53%, 3m 69%, 6m 72%

Implied volatility for each normalized term:

Today: 1m 53%, 3m 69%, 6m 72%

8/25：1m 54%, 3m 70%, 6m 73%

Skewness:

Skewness:

Today: 1m +0.9%, 3m +8.3%, 6m +15.8%

8/25：1m +2.6%, 3m +9.6%, 6m +15.5% 

The short-term skew is close to zero, while the medium- and long-term skew is relatively stable, which shows a problem: the structure of medium- and long-term positions has not changed much.

BTC Option Flows data shows that Call Sell accounts for 29%, but the transaction is only 1,000 coins. When the trading volume is low, often a large false value order will change the structure of Flows, and these data should be eliminated when analyzing the market.

The position distribution is shown in the figure. This month is coming to an end, the month's nominal position is 65,100 coins, and the next month's nominal position is 52,900 coins.

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ETH Historical Volatility

ETH Historical Volatility

10d 70% 

30d 79%

90d 69%

1Y 102%

Each standardized period IV:

Each standardized period IV:

Today: 1m 83%, 3m 95%, 6m 91%

8/ 25:  1m 81%，3m 96%，6m 93%

Before Ethereum IV fell yesterday, IV pulled a wave, but after it started to fall, IV dropped significantly. At the same time, the short-term skew also returned to near zero.

Ethereum took a short rest and entered the rhythm of active sell calls today. The transaction volume was 13,566 coins, accounting for 57%, and the total call accounted for 81%. A large number of call options with deep imaginary value and close to par value were traded.