Deribit Options Market Report: 0918—Position Concentration

特邀专栏作者

2020-09-18 21:38 (UTC+8)

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The option open interest was US$1.5 billion, and the option trading volume was US$78 million. The position due at the end of the month is close to 900 million US dollars, and the position is very concentrated.

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BTC historical volatility

【BTC Options】

BTC historical volatility

10d 31%

30d 56%

90d 48%

1Y 81%

Implied volatility for each normalized term:

Today: 1m 50%, 3m 65%, 6m 70%

9/17：1m 54%, 3m67%, 6m 71%

The period IV of Bitcoin is slowly declining, and the IV of each period is below the recent average level. In the short term, it has fallen below the low point in the past two months.

The skewness is stable and maintains a negative value in the short term, and the market has come out of the plunge.

Judging from the Option Flows data, the four forces are balanced, and everyone will start to be cautious in the last week of delivery.

ETH Historical Volatility

【ETH Options】

ETH Historical Volatility

10d 79%

30d 107%

90d 81%

1Y 105%

Each standardized period IV:

Today: 1m 74%, 3m 83%, 6m 79%

9 /17：1m68%，3m79%，6m77%

After two days of relative stability, IV continues to fall, with less and less volatility lately.

Gas in Ethereum has dropped. Yesterday, the trading volume of buying call options was 23,415 coins, accounting for 45% of the total trading volume. Today, selling call options accounted for 46%.