Deribit Options Market Report: 0909 — Put Sell

特邀专栏作者

2020-09-09 21:32 (UTC+8)

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After Bitcoin plummeted to around $10,000 last week, it has entered a sideways market so far, but IV is rising steadily, and it has been above 65% for many days.

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After Bitcoin plummeted to around $10,000 last week, it has entered a sideways market so far, but IV is rising steadily, and it has been above 65% for many days.

BTC historical volatility

【BTC Options】

BTC historical volatility

10d 82%

30d 56%

90d 49%

1Y 81%

Implied volatility for each normalized term:

Today: 1m 69%, 3m 77%, 6m 75%

9/8： 1m 68%, 3m75%, 6m 76%

Skewness:

Today: 1m -11.9%, 3m +3.3%, 6m +9.8%

9/8 ：1m-11.1%, 3m+2.0%, 6m +10.0%

The skew structure continues to be stable, and Put Sell has become the main force of transactions today, accounting for about 38%. Selling call options is relatively uneconomical now.

ETH Historical Volatility

【ETH Options】

ETH Historical Volatility

10d 153%

30d 106%

90d 80%

1Y 104%

Each standardized period IV:

Today: 1m 102%, 3m 100%, 6m 91%

9/8: 1m98%，3m95%，6m90%

The RV of Ethereum has been very high recently, driving IV to be at a high level for a long time, and the term structure has been at a short-term high level for as long as four days. From the perspective of the proportion of options trading, Put Sell is the main trading force today, accounting for 40%, but 4,500 coins is not too much. The market is now in a state of balance. Before the market comes, it is relatively cost-effective for the seller to choose to sell more put options.