Deribit Options Market Report: 0904 — 94th Anniversary

【BTC Options】

BTC historical volatility

10d 81% 

30d 57%

90d 49%

1Y  81%

Implied volatility for each normalized term:

Implied volatility for each normalized term:

Today: 1m 63%, 3m 72%, 6m 77%

9/3：1m 54%, 3m 69%, 6m 74%

Skewness:

Skewness:

Today: 1m -14.9%, 3m -1.3%, 6m +2.8%

9/3：1m +5.6%, 3m +7.6%, 6m +15.5% 

The skew structure has changed drastically. Now the short-term skew has soared to 15%, and the medium-term has exceeded 7%. The drastic price changes lead to a large change in the 0.25D benchmark. If the market is stable later, the skew will be repaired.

According to BTC Option Flows data, the transaction ratio of Put Buys is relatively large today, and there are many people who buy put when the market falls, which is also the reason for the rapid change of skew.

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ETH Historical Volatility

ETH Historical Volatility

10d 130% 

30d 93%

90d 74%

1Y 102%

Each standardized period IV:

Each standardized period IV:

Today: 1m 82%, 3m 88%, 6m 87%

9/3:  1m 75%，3m87%，6m 94% 

The short-term rise of Ethereum's IV is obvious, and the mid- to long-term changes are not significant, and it is still higher than the monthly short-term. Short-term Skew jumps back to negative value. The option market of Ethereum, in a word, has a stable mid-to-long-term structure and drastic short-term changes.