Deribit Options Market Report: 0905 — Constant pressure

BTC historical volatility

10d 83%  

30d 58%

90d 49%

1Y  81%

Implied volatility for each normalized term:

Implied volatility for each normalized term:

Today: 1m 64%, 3m 71%, 6m 74%

9/4：1m 63%, 3m 72%, 6m 77% 

Skewness:

Skewness:

Today: 1m-12.6%, 3m+2.6%, 6m +10.5%

9/4：1m -14.9%, 3m -1.3%, 6m +2.8%

The skew structure is still changing drastically, and now the short-term skew changes drastically with the price, because the IV of short-term options changes very drastically, and the buying and selling power has a great influence. However, the impact caused by the large change of the 0.25D benchmark has gradually subsided, which has made the medium and long-term skew repaired, and is currently relatively stable.

BTC Option Flows data shows that the four forces are relatively balanced today. There were a lot of Put Buys bought yesterday, and most of them were successfully exercised.

ETH Historical Volatility

【ETH Options】

ETH Historical Volatility

10d 128%  

30d 93%

90d 74%

1Y 103% 

Each standardized period IV:

Each standardized period IV:

Today: 1m 95%, 3m 88%, 6m 86%

9/4:  1m 82%，3m 88%，6m 87%

The IV of Ethereum has risen significantly in the short term, and has surpassed the medium and long term in the short term, and the IV has not changed much in the medium and long term. At present, the market of ETH is extremely dependent on the trend of DeFi, and the downward pressure is obvious.

The strategy is still mentioned in the recent broadcast, participate in DeFi, and at the same time buy some imaginary Put to hedge. After yesterday's decline, IV did not rise much today, which is not a good time to sell options.