Deribit Options Market Report: 0831 — Put Buys

The price of Bitcoin rose to $11,700, and the price fluctuations brought about an increase in options trading volume. Today's open interest remained around 1.2 billion US dollars, but the trading volume rebounded to more than 100 million US dollars. Today's special data is that Put Buys' trading volume accounts for a large proportion, and almost all the increase in trading volume is caused by buying put options.

BTC historical volatility

【BTC Options】

BTC historical volatility

10d 36%  

30d 47%

90d 47%

1Y  80% 

Implied volatility for each normalized term:

Implied volatility for each normalized term:

Today: 1m 53%, 3m 65%, 6m 71%

8/30：1m 52%, 3m 67%, 6m 72% 

Skewness:

Skewness:

Today: 1m +4.6%, 3m +6.6%, 6m +15.5%

8/30：1m +0.9%, 3m +8.3%, 6m +13.8% 

The skew structure has not changed much, and a large number of put buys have brought back the skew in the mid-term, corresponding to the options at the end of the year.

According to the data of BTC Option Flows, Put Buys transaction volume accounted for 56% today, and the transaction volume of other types remained the same as before, but Put Buys skyrocketed to more than 6,000 coins. A moderate rise is more likely to bring about a rise in Put Buys, and bulls are more likely to use it to protect tail risks.

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ETH Historical Volatility

ETH Historical Volatility

10d 81%  

30d 81%

90d 66%

1Y 102%

Today: 1m 73%, 3m 88%, 6m 90%

Each standardized period IV:

Today: 1m 73%, 3m 88%, 6m 90%

8/ 30:  1m 74%，3m 90%，6m 90% 

Although the price of Ethereum has risen a lot, IV is still in a downward trend, and the term structure is very smooth. Everyone does not take Ethereum fluctuations within 10% seriously.

In the past two days, Ethereum’s large transactions have become much more active, and generally speaking, there are more call transactions.