Deribit Options Market Report: 0921-IV record low

特邀专栏作者

2020-09-21 21:12 (UTC+8)

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Looking back at the data in recent years, it can be seen that IV is currently at a historical low - lower than the two lows on the eve of 312 and in mid-July.

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Looking back at the data in recent years, it can be seen that IV is currently at a historical low - lower than the two lows on the eve of 312 and in mid-July.

BTC historical volatility

【BTC Options】

BTC historical volatility

10d 28%

30d 54%

90d 48%

1Y 80%

Implied volatility for each normalized term:

Today: 1m 44%, 3m 60%, 6m 66%

9/20：1m 46%, 3m 60%, 6m 66%

one year

January

term structure

The skewness is stable and maintains a negative value in the short term. Judging from the Option Flows data, the trading volume in all directions is not large, and the market is waiting and watching.

ETH Historical Volatility

【ETH Options】

ETH Historical Volatility

10d 74%

30d 106%

90d 81%

1Y 105%

Each standardized period IV:

Today: 1m61%, 3m71%, 6m72%

9 /20：1m56%，3m75%，6m 75%

The medium and short-term IV of Ethereum is still some distance away from the historical low, but the semi-annual period is already close to the historical low.

Ethereum’s open interest due in the month is slightly higher than that at the end of the year. The market is in a wait-and-see mood, and the main funds are all speculating on DeFi.