Deribit Options Market Report: 0922 — Back to the origin

BTC historical volatility

10d 39%  

30d 55%

90d 48%

1Y  80% 

Implied volatility for each normalized term:

Implied volatility for each normalized term:

Today: 1m 48%, 3m 62%, 6m 66%

9/21：1m 44%, 3m60%, 6m 66%

The short-term average value IV hit a record low of 44% yesterday, and it rebounded today, but not by much. The at-the-money option IV due at the end of the month is only 41%, and the Bitcoin loss rate last week's entire increase, and the price returned to the original point.

The short-term change in skewness is obvious, returning to the level when it plummeted on September 3.

Today: 1m -3.1%, 3m 9.8%, 6m 13.6%

9/21：1m 0.3%, 3m 9.1%, 6m 13.1%

Judging from the Option Flows data, the forces in all directions are balanced, and the trading volume is not large, and the market is still waiting and watching.

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ETH Historical Volatility

ETH Historical Volatility

10d 86%  

30d 108%

90d 83%

1Y 105%

Each standardized period IV:

Each standardized period IV:

Today: 1m72%, 3m73%, 6m 73%

9 /21：1m61%，3m71%，6m72%

Due to the sharp increase in the short-term IV, the current period IV of Ethereum is very close, and the increase in the month is obvious, currently exceeding 80%.

The main transaction of Ethereum is to sell call options, and the overall transaction volume is not large. There were more call options purchased last night, and today most of them are hedging transactions or liquidation operations.