Deribit Options Market Report: 1110—Wide volatility

特邀专栏作者

2020-11-10 22:17 (UTC+8)

This article is about 710 words, reading the full article takes about 2 minutes

In recent days, the average daily fluctuation of Bitcoin has exceeded 1,000 US dollars, and the RV has remained above 75%. The rise in RV has not brought about a sharp rise in IV. This year's similar wide-range shock market often ends in a sideways b

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【Option Trading Volume】

【BTC Options】

BTC historical volatility

10d 75%

30d 56%

90d 50%

1Y 78%

【Option Trading Volume】

Implied volatility for each normalized term:

【IV】

Implied volatility for each normalized term:

Previous highs: 1m 65%, 3m 70%, 6m 74%

11/9：1m 55.0%, 3m 60.3%, 6m 63.4%

Previous highs: 1m 65%, 3m 70%, 6m 74%

Wide price fluctuations drive the RV to continue to rise, but it does not drive the IV to rise. It has become a common phenomenon that the IV of mainstream coins is difficult to rise. Bitcoin hit new highs many times, which also caused the price of call options to be more active.

【Skew】

The skewness of options has fallen back, but it still maintains a high level, close to 20% in the medium and long term, and falls back to 8.9% in the short term.

【Option Flows】

【Option position distribution】

ETH Historical Volatility

【ETH Options】

ETH Historical Volatility

10d 80%

30d 63%

90d 82%

1Y 103%

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

【IV】

Each standardized period IV:

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

11/9 ：1m 67%，3m 68%，6m 67%

The term structure of Ethereum has changed widely, and the IV has not risen with the RV. Ethereum is now near the previous high, and it is not clear whether it can take over the rise of Bitcoin. If it breaks through, it will buy IV.

【Option Flows】

【Option position distribution】