Deribit Options Market Report: 1020—Call Buys

Deribit德瑞课堂

特邀专栏作者

2020-10-20 19:07 (UTC+8)

This article is about 882 words, reading the full article takes about 2 minutes

There was a slight pullback last night, and the price of Bitcoin is now back above the transaction-intensive area.

AI Summary

Expand

There was a slight pullback last night, and the price of Bitcoin is now back above the transaction-intensive area.

text

【Option Trading Volume】

【BTC Options】

BTC historical volatility

10d 26%

30d 34%

90d 49%

1Y 80%

【Option Trading Volume】

Implied volatility for each normalized term:

【IV】

Implied volatility for each normalized term:

Today: 1m 49%, 3m 55%, 6m 60%

10/19：1m 46%, 3m 55%, 6m 60%

The short-term IV of options rose slightly, while the IV of medium- and long-term at-the-money options remained low. The trading volume brought about by the rise is concentrated in the current month and the current week, so only the short-term IV is significantly affected.

【Skew】

Currency price fluctuations have not caused structural impacts, and the skewness of options is very stable.

【Option Flows】

【Option position distribution】

ETH Historical Volatility

【ETH Options】

ETH Historical Volatility

10d 43%

30d 61%

90d 85%

1Y 103%

Each standardized period IV:

【IV】

Each standardized period IV:

Today: 1m 56%, 3m 64%, 6m 68%

10/19：1m 57%，3m 64%，6m 68%

The short-term IV of Ethereum is almost the same as the day before, which shows that the increase this time is not as high as that of Bitcoin, and it has not yet reached a breakthrough or other important points. The IV of each period of Ethereum changes synchronously. 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, Ethereum held a position of 491,600 ETH, the monthly option position was 170,000 ETH, and the nominal value of the weekly delivery was 85,100 ETH.