Deribit Options Market Report: 1026—The center of gravity moves up

特邀专栏作者

2020-10-26 21:13 (UTC+8)

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At present, the bullish price of virtual value is too high, and you can consider the neckline strategy if you hold the spot.

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At present, the bullish price of virtual value is too high, and you can consider the neckline strategy if you hold the spot.

In recent days, the center of gravity of Bitcoin's physical K-line has been moving upwards, but the trading volume of spot futures is declining, and IV is also declining. It is not very cost-effective to carry out the cover now, and the current bullish price of the virtual value is too high, you can consider the collar strategy if you hold the spot.

【Option Trading Volume】

【BTC Options】

BTC historical volatility

10d 50%

30d 34%

90d 51%

1Y 78%

【Option Trading Volume】

Implied volatility for each normalized term:

【IV】

Implied volatility for each normalized term:

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

10/25：1m 52%, 3m 61%, 6m 65%

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

The IV of each period of option decreases steadily. At present, the price continues to hit new highs without success, and the period IV of Bitcoin is approaching before the market comes.

【Skew】

The skewness of options in the medium and long term remains around 13%, and returns to 6.7% in the short term, and the price of short-term calls has dropped significantly.

【Option Flows】

【Option position distribution】

ETH Historical Volatility

【ETH Options】

ETH Historical Volatility

10d 60%

30d 45%

90d 83%

1Y 102%

Today: 1m 57%, 3m 65%, 6m 67%

【IV】

Each standardized period IV:

Today: 1m 57%, 3m 65%, 6m 67%

10/25：1m 60%，3m 67%，6m 68%

The IV of each period of Ethereum has obvious callbacks. Although the price has not dropped significantly, the IV is approaching the historical low. If the current IV of Ethereum wants to maintain the status quo, the price must be raised.

【Option Flows】

【Option position distribution】

At the end of the year, the Ethereum held 496,300 ETH, and the monthly option position was 189,700 ETH. The structure of Ethereum is completely different from that of Bitcoin. The concentration at the end of the year is very high, so the IV of Ethereum fell so obviously. position.