Deribit Options Market Report: 1118—Short pullback

特邀专栏作者

2020-11-18 22:00 (UTC+8)

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Today's market fluctuated greatly, rising more than $700 in the morning, then pulled back more than $1,000 at noon, and pulled up more than $500 in the afternoon.

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Today's market fluctuated greatly, rising more than $700 in the morning, then pulled back more than $1,000 at noon, and pulled up more than $500 in the afternoon.

Today's market fluctuated greatly, rising more than $700 in the morning, then pulled back more than $1,000 at noon, and pulled up more than $500 in the afternoon. The short-term pullback of $1,000 in one hour drove the short-term IV to rise rapidly, and the surface finally ushered in an overall rise, with positions exceeding $340 million.

【Option Trading Volume】

【BTC Options】

BTC historical volatility

10d 66%

30d 63%

90d 51%

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%

11/17：1m 54.9%, 3m 61.2%, 6m 64.5%

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

Bitcoin broke through $18,000 and set a new high. Today’s market fluctuated greatly. It rose by more than $700 in the morning, and there was a correction of more than $1,000 at noon, and it rose by more than $500 in the afternoon. The short-term pullback of $1,000 in one hour drove the short-term IV to rise rapidly, and the surface finally ushered in an overall rise.

【Option Flows】

【Option position distribution】

ETH Historical Volatility

【ETH Options】

ETH Historical Volatility

10d 64%

30d 66%

90d 80%

1Y 102%

Each standardized period IV:

【IV】

Each standardized period IV:

Today: 1m 70%, 3m 70%, 6m 68%

11/17 ：1m 63%，3m 67%，6m 68%

The term structure of Ethereum has changed again. Although the ultra-short-term IV of Ethereum has risen, it is far behind the increase of Bitcoin. It is also worth noting that Skew is continuing to deviate. It may be a good way to hold a spot sell call or make a bull market spread.

【Option Flows】

【Option position distribution】

At the end of the year, the position of Ethereum was 551,100 ETH, and the option position of the month was 221,400 ETH. The short-term increase in Ethereum is relatively large, but from past experience, the increase in position is actually relatively weak, and the transactions are concentrated in Bitcoin.