Deribit Options Market Report: 1022—New High for Holdings

特邀专栏作者

2020-10-22 22:01 (UTC+8)

This article is about 844 words, reading the full article takes about 2 minutes

The price of Bitcoin broke through $12,000 in one fell swoop, creating a new high for the year. The price surge brought a rise in IV, a surge in volume and new highs in open interest. The open interest (OI) of Bitcoin reached 180 million US dollars, a ne

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【Option Trading Volume】

【BTC Options】

BTC historical volatility

10d 49%

30d 42%

90d 51%

1Y 78%

【Option Trading Volume】

Implied volatility for each normalized term:

【IV】

Implied volatility for each normalized term:

Today: 1m 55%, 3m 63%, 6m 67%

10/21：1m 49%, 3m 55%, 6m 60%

Option period IV rose more than 10% in a day, then fell back and is now at a recent high. Generally speaking, it is difficult for Bitcoin to significantly affect IV for the first time, and IV will only take off when it rises again.

【Skew】

The skewness of options is very stable, and Call is already in a relatively expensive range, and it has not continued to rise.

【Option Flows】

【Option position distribution】

ETH Historical Volatility

【ETH Options】

ETH Historical Volatility

10d 53%

30d 64%

90d 85%

1Y 103%

Each standardized period IV:

【IV】

Each standardized period IV:

Today: 1m 67%, 3m 71%, 6m 72%

10/21：1m 56%，3m 64%，6m 68%

The short-term IV increase of Ethereum is close to that of Bitcoin, but the callback is not large. The various deadlines are now in a relatively low position, and the price of ether has not yet broken through. Ethereum needs the support of some technical concepts, such as the concept of DeFi.

【Option Flows】

【Option position distribution】

At the end of the year, the position of Ethereum was 486,700 ETH, the option position of the month was 175,200 ETH, and the nominal value of the weekly delivery was 99,000 ETH.