Deribit Options Market Report: 1027—Trade Rebounds

特邀专栏作者

2020-10-27 22:13 (UTC+8)

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The mainstream currency experienced a significant fluctuation last night. After a 3% decline in Bitcoin, it continued to hit new highs. The trading volume of spot futures and options rebounded sharply, but the IV did not change much. The rebound of Ether

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【Option Trading Volume】

【BTC Options】

BTC historical volatility

10d 50%

30d 34%

90d 47%

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%

10/26：1m 49%, 3m 59%, 6m 64%

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

The option period IV is stable. At present, the price continues to hit new highs without success, and the IV of each period of Bitcoin is getting lower and lower.

【Skew】

The skewness in the medium and long term of the option remains at around 13%, and returns to 8.4% in the short term.

【Option Flows】

【Option position distribution】

ETH Historical Volatility

【ETH Options】

ETH Historical Volatility

10d 63%

30d 47%

90d 83%

1Y 102%

Each standardized period IV:

【IV】

Each standardized period IV:

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

10/26：1m 57%，3m 65%，6m 67%

The period IV of Ethereum is relatively stable. Although the price fluctuated and fell, IV has no intention of rebounding, and Ethereum IV continues to approach historical lows.

【Option Flows】

【Option position distribution】

At the end of the year, the Ethereum holdings were 497,100 ETH, and the month's option holdings were 196,600 ETH. The concentration of Ethereum at the end of the year is very high, and the holdings in March next year will be higher than that of the current month.