Deribit Options Market Report: 1028—1.9 Billion

特邀专栏作者

2020-10-28 17:42 (UTC+8)

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Bitcoin continues to hit new highs, one step away from $14,000. The trading volume of spot futures and options has risen sharply, and the open interest has returned to 1.9 Billion. There are still two days in this month that are expected to hit the $2 bi

AI Summary

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【Option Trading Volume】

【BTC Options】

BTC historical volatility

10d 55%

30d 37%

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%

10/27：1m 49%, 3m 59%, 6m 64%

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

Option period IV increased slightly. 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 of options in the medium and long term remains around 15%, and in the short term it increases sharply to 16.7%.

【Option Flows】

【Option position distribution】

ETH Historical Volatility

【ETH Options】

ETH Historical Volatility

10d 62%

30d 48%

90d 83%

1Y 102%

Each standardized period IV:

【IV】

Each standardized period IV:

Today: 1m 60%, 3m 66%, 6m 68%

10/26：1m 57%，3m 65%，6m 67%

The period IV of Ethereum is relatively stable, with a slight increase in the short term. The price fluctuated and IV rebounded, but Ethereum IV was still close to the historical low.

【Option Flows】

【Option position distribution】

At the end of the year, the Ethereum holdings were 497,700 ETH, and the month's option holdings were 203,000 ETH. The concentration of Ethereum at the end of the year was very high, and the holdings in March next year were the same as that of the current month.