Deribit Options Market Report: 1023 - Bullish Concentration

特邀专栏作者

2020-10-23 18:51 (UTC+8)

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Options open interest was $1.9 billion and options volume was $234 million. Open interest continues to hit record highs, and $2 billion is just around the corner.

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Options open interest was $1.9 billion and options volume was $234 million. Open interest continues to hit record highs, and $2 billion is just around the corner.

The price of Bitcoin oscillated around $13,000, creating a new high of $13,200 for the year. The rise in IV brought about by the price surge has been suppressed, the skew has shifted significantly, and the structure of positions has changed. At present, the transaction is concentrated on call options, and three-quarters of the transactions on the day are call options, and they are mainly short-term.

BTC historical volatility

【BTC Options】

BTC historical volatility

10d 49%

30d 42%

90d 51%

1Y 78%

【Option Trading Volume】

Options open interest was $1.9 billion and options volume was $234 million. Open interest continues to hit record highs, and $2 billion is just around the corner.

【IV】

Implied volatility for each normalized term:

Today: 1m 54%, 3m 63%, 6m 66%

10/22：1m 55%, 3m 63%, 6m 67%

Recent highs: 1m 60%, 3m 70%, 6m 74%

【Skew】

The IV of each period of the option has stabilized, and now the selling power is very strong, temporarily suppressing the rise of IV. The current price is at a new high. Generally speaking, if Bitcoin rises again, IV will take off significantly.

【Option Flows】

According to Option Flows data, Call Buys traded 3102 contracts, Call Sells traded 3119 contracts, and Call Blocked traded 1155 contracts, accounting for a total of 72%. It is not easy.

【Option position distribution】

【ETH Options】

ETH Historical Volatility

10d 63%

30d 60%

90d 85%

1Y 103%

Today's options open interest of Ethereum is 458 million US dollars, and the trading volume is 38 million US dollars. Ethereum is catching up with Bitcoin, especially now that the transaction activity of Ethereum is higher than that of Bitcoin, there may be more opportunities.

【IV】

Each standardized period IV:

10/22：1m 67%，3m 71%，6m 72%

Today: 1m 63%, 3m 68%, 6m 69%

【Option Flows】

Call Buys still accounted for a large proportion today, with a turnover of 11,842ETH, accounting for 29% of the total turnover, a decrease compared to yesterday. Call Sells traded 15089ETH, accounting for 36% of the total trading volume, which was larger than yesterday. Trading continues to focus on calls, while puts have some opportunity to catch price excursions.