Deribit Options Market Report: 1019—Strategy Square

Deribit德瑞课堂

特邀专栏作者

2020-10-19 15:40 (UTC+8)

This article is about 687 words, reading the full article takes about 1 minutes

The option IV continued to decline, and the IV of medium and long-term at-the-money options all created new lows.

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The option IV continued to decline, and the IV of medium and long-term at-the-money options all created new lows.

【Option Trading Volume】

【BTC Options】

BTC historical volatility

10d 27%

30d 33%

90d 49%

1Y 80%

【Option Trading Volume】

Implied volatility for each normalized term:

【IV】

Implied volatility for each normalized term:

Today: 1m 46%, 3m 55%, 6m 60%

10/18：1m 48%, 3m 56%, 6m 60%

The option IV continued to decline, and the IV of medium and long-term at-the-money options all created new lows.

【Skew】

The currency price fluctuates very little, and the skewness of options is very stable.

【Option Flows】

【Option position distribution】

ETH Historical Volatility

【ETH Options】

ETH Historical Volatility

10d 46%

30d 61%

90d 85%

1Y 103%

Each standardized period IV:

【IV】

Each standardized period IV:

Today: 1m 57%, 3m 64%, 6m 67%

10/18：1m 57%，3m 65%，6m 68%

The short-term IV of Ethereum fell to 55% within a day, and the current IV of each period is flat with the low point of the year. Compared with Bitcoin, the period IV of Ethereum is 10% higher. This value is relatively stable in the medium and long term, and it is currently low in the short term.

【Option Flows】

【Option position distribution】

At the end of the year, the Ethereum held a position of 491,200 ETH, the monthly option position was 168,600 ETH, and the nominal value of the weekly delivery was 80,400 ETH.