Deribit Options Market Report: 0903 — Basis Return

【BTC Options】

BTC historical volatility

10d 43% 

30d 42%

90d 43%

1Y  80% 

Implied volatility for each normalized term:

Implied volatility for each normalized term:

Today: 1m 54%, 3m 69%, 6m 74%

9/2：1m 54%, 3m 68%, 6m 73% 

Skewness:

Skewness:

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

9/2：1m -7.9%, 3m +4.3%, 6m +11.8% 

The skew structure has changed significantly. Now the short-term skew has returned to a positive value, and the medium-term is also very close to zero. Part of this is due to price changes, resulting in a 0.25D benchmark change. But generally speaking, the prices of Put and Call are reasonable.

According to the data of BTC Option Flows, the transaction ratio of Put is relatively large today, especially Put Sell. From another point of view, there are too few Call transactions.

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ETH Historical Volatility

ETH Historical Volatility

10d 100% 

30d 81%

90d 68%

1Y 102%

Each standardized period IV:

Each standardized period IV:

Today: 1m 75%, 3m 87%, 6m 94%

9/2:  1m 73%，3m 88%，6m 90% 

The IV of Ethereum has not changed much, and it has stabilized at the level at the end of last month. When the price of Skew skyrocketed in the past few days, there was some deviation caused by the benchmark change, and now it has returned to the normal range. The term structure is constantly returning to normal, and Flows shows that the four trading directions are relatively balanced, which is relatively rare in the near future.

The broadcast mentioned in the previous two days that covered selling is bullish in the short term, and now there is no obvious price advantage. The current price of Ethereum relies on the concept of DeFi to continue to be popular. If you want to participate in DeFi, you might as well buy some virtual Put to hedge.