Deribit Options Market Report: 0928—Reader Discussion

特邀专栏作者

2020-09-28 21:28 (UTC+8)

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Puts Sell continued to dominate the market today, and IV remained at a low level. A large number of Puts were delivered in the September quarter, and the OI Ratio remained at 0.65.

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Puts Sell continued to dominate the market today, and IV remained at a low level. A large number of Puts were delivered in the September quarter, and the OI Ratio remained at 0.65.

BTC historical volatility

10d 47%

30d 57%

90d 49%

1Y 80%

Implied volatility for each normalized term:

Today: 1m 45%, 3m 61%, 6m 64%

9/27：1m 45%, 3m60%, 6m 64%

The option IV continues to be stable. The current IV is relatively low. The buyer will make some low-cost attempts, and the seller must control the margin of the position. It will take some time and market cooperation for the IV to rise.

The skewness is stable. Judging from the Option Flows data, Puts Sell transactions are still relatively high, and buyers take the initiative to buy more calls.

secondary title

ETH Historical Volatility

10d 98%

30d 112%

90d 85%

1Y 104%

Each standardized period IV:

The IV of each period of Ethereum is stable, and the IV of each period is very close. At present, we can construct some hedging strategies if we have a judgment on the direction.

9 /27：1m62%，3m71%，6m 69%

The IV of each period of Ethereum is stable, and the IV of each period is very close. At present, we can construct some hedging strategies if we have a judgment on the direction.

At the end of the year, Ethereum held a position of 462,700 ETH, accounting for more than 50%. Calls bought a lot today, 5178ETH accounted for 45%, and Put also sold a lot, 3600ETH accounted for 32%. On the whole, the enthusiasm for doing more is the mainstream, and few people are shorting.