Deribit Options Market Report: 0902 — Amazing ETH

【BTC Options】

BTC historical volatility

10d 34% 

30d 45%

90d 42%

1Y  80% 

Implied volatility for each normalized term:

Implied volatility for each normalized term:

Today: 1m 54%, 3m 68%, 6m 73%

9/1：1m 55%, 3m 67%, 6m 72% 

Today: 1m +5.6%, 3m +7.6%, 6m +15.5%

Skewness:

Today: 1m +5.6%, 3m +7.6%, 6m +15.5%

9/1：1m +3.9%, 3m +8.3%, 6m +13.8%

The structure of skew has not changed much. Now there is no extreme market for skew, and it is almost impossible to sort it out. BTC has entered a stable period.

BTC Option Flows data shows that the trading volume of all parties is balanced today, and the opening ratio of Call and Put is getting more and more balanced.

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ETH Historical Volatility

ETH Historical Volatility

10d 88% 

30d 77%

90d 67%

1Y 102%

Each standardized period IV:

Each standardized period IV:

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

9/ 1:  1m 89%，3m 96%，6m 94% 

The short-term IV of Ethereum once reached 90% when it broke through the previous high yesterday, but the IV dropped significantly from yesterday afternoon, and has fallen back to the level at the end of last month as a whole. The term structure returned and a large number of short call options were sold. Yesterday 33,000 coins actively bought call options, today only 2,300 coins. On the contrary, selling call options today accounted for 36%, about 7300 coins.

It was mentioned in yesterday’s broadcast that it is relatively cost-effective to sell Ethereum in the short term, and the opportunity is fleeting. Today, there is no obvious price advantage.