Deribit Options Market Report: 0910 — Shrinking rebound

特邀专栏作者

2020-09-10 21:17 (UTC+8)

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The shrinking rebound shows that the market is currently in a wait-and-see mood. From another perspective, the market hotspots are all in DeFi, not in mainstream currencies.

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The shrinking rebound shows that the market is currently in a wait-and-see mood. From another perspective, the market hotspots are all in DeFi, not in mainstream currencies.

BTC historical volatility

【BTC Options】

BTC historical volatility

10d 82%

30d 57%

90d 49%

1Y 81%

Implied volatility for each normalized term:

Today: 1m 65%, 3m 75%, 6m 76%

9/9 ：1m 69%, 3m 77%, 6m 75%

Skewness:

Today: 1m-9.8%, 3m+4.4%, 6m +11.0%

9/9 ：1m -11.9%, 3m +3.3%, 6m +9.8%

The skew structure continued to be stable, and the transactions in all directions were relatively average.

ETH Historical Volatility

【ETH Options】

ETH Historical Volatility

10d 155%

30d 106%

90d 80%

1Y 105%

Each standardized period IV:

Today: 1m95%, 3m99%, 6m91%

9/8: 1m 102%，3m100%，6m 91%

The RV of Ethereum has continued to rise recently, driving IV to remain high for a long time. The short-term IV is down today, and the IV due at the end of the month is about 95%. The proportion of options trading has returned to balance. Call Sell is the main trading force today, accounting for 33%, and 20,000 coins is considered to be a relatively large amount in the near future. Market trading forces do not seem to be very optimistic about the possibility of continuing to rise.