Deribit Options Market Report: 0827 — Shrinkage at the end of the month
BTC historical volatility
BTC historical volatility 10d 42% 30d 59% 90d 48% 1Y 80% Implied volatility for each normalized term: Implied volatility for each normalized term: Today: 1m 53%, 3m 69%, 6m 72% 8/26：1m 53%, 3m 79%, 6m 72% Skewness: Skewness: Today: 1m +1.6%, 3m +9.6%, 6m +16.5% 8/26：1m +0.9%, 3m +8.3%, 6m +15.8% The position structure does not change much, and when the trading volume is relatively low, neither the longs nor the shorts have the motivation to promote changes in the skew structure. When the trading volume is low, the BTC Option Flows data will be distorted, and these data should be excluded when analyzing the market. ETH Historical Volatility ETH Historical Volatility 10d 70% 30d 79% 90d 69% 1Y 102% Each standardized period IV: Each standardized period IV: Today: 1m 74%, 3m 90%, 6m 93% 8/ 26: 1m 83%，3m 95%，6m 91% Ethereum IV is still falling. Quarterly contract par value IV is only about 70%, but it is as high as 100% at the end of the year. This IV difference is completely suitable for a calendar spread. Ethereum continued to maintain the rhythm of active sell calls today, with a turnover of 8,200 coins, accounting for as high as 48%. Generally speaking, the current IV structure of Ethereum is very suitable for playing with various combinations.【BTC Options】
【ETH Options】
