Deribit Options Market Report: 0912 — IV Collapse

【BTC Options】

BTC historical volatility

10d 81%  

30d 55%

90d 48%

1Y  81%

Implied volatility for each normalized term:

Implied volatility for each normalized term:

Today: 1m 58%, 3m 72%, 6m 75%

9/11：1m 63%, 3m 74%, 6m 77%

The skewness has not changed significantly, and the short-term virtual value Put is more expensive.

The skewness has not changed significantly, and the short-term virtual value Put is more expensive.

ETH Historical Volatility

【ETH Options】

ETH Historical Volatility

10d 151%  

30d 107%

90d 80%

1Y 105%

Each standardized period IV:

Each standardized period IV:

Today: 1m92%, 3m97%, 6m 93%

9 /11：1m78%，3m93%，6m89%

Ethereum fluctuated less today, and IV collapsed and plummeted. In the short term, it fell back to the recent low level.

For options with a nominal value of 413,000 Ethereum that expire at the end of the month, the most concentrated price is still $400.