Deribit Options Market Report: 1009—Breakthrough 11,000
Today, many parties dominate the market. The two positive lines pulled the price of Bitcoin back above 11,000 USD, and Ethereum also returned to the line of 360 USD. The price change caused the skew to shift, but the IV remained at a low level.
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BTC historical volatility
BTC historical volatility
10d 25%
30d 35%
90d 49%
1Y 80%
Implied volatility for each normalized term:
Implied volatility for each normalized term:
Today: 1m 51%, 3m 61%, 6m 65%
10/8：1m 52%, 3m 62%, 6m 66%
Option IV continues to be stable, with a slight decline. The current price position is out of the sideways area. The buyer can make some low-cost attempts, and the seller must control the position margin. It will take some time for the IV to recover and cooperate with the market.
Due to the price deviation of $400, the short-term skew of Bitcoin options returned to near zero, and the medium- and long-term skew increased.
Judging from the Option Flows data, Puts Sell has a relatively large number of transactions, and the overall balance is relatively balanced.
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ETH Historical Volatility
ETH Historical Volatility
10d 36%
30d 72%
90d 85%
1Y 103%
Each standardized period IV:
Each standardized period IV:
Today: 1m 61%, 3m 67%, 6m 69%
10/8：1m62%，3m 67%，6m 70%
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 474,600 ETH, accounting for nearly half of the position. Calls bought a lot today, 12250ETH accounted for as high as 38%, while Put sold a lot, 15477ETH accounted for 38%.
On the whole, the enthusiasm to do more is the mainstream, and the power to be short is weak.
