Deribit Options Market Report: 1230—The Center of Gravity Moves Up

特邀专栏作者

2020-12-30 22:10 (UTC+8)

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Since the annual delivery of Bitcoin, the daily price center of gravity has moved up for 6 consecutive days. Looking at the extended level, since it broke through 12,000 US dollars in October, the weekly level has moved up for 13 consecutive weeks. The l

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【Option Trading Volume】

【BTC Options】

BTC historical volatility

10d 57%

30d 63%

90d 56%

1Y 80%

【Option Trading Volume】

Implied volatility for each normalized term:

【IV】

Implied volatility for each normalized term:

Today: 1m 84.8%, 3m 88.2%, 6m 85.9%

12/29 ：1m 82.4%, 3m 85.5%, 6m 84.4%

Bitcoin has reached a new high today. As the core application of the blockchain, the value of Bitcoin has been widely recognized, which is fundamentally different from other currencies.

【Option Flows】

【Option position distribution】

ETH Historical Volatility

【ETH Options】

ETH Historical Volatility

10d 82%

30d 90%

90d 72%

1Y 104%

Each standardized period IV:

【IV】

Each standardized period IV:

Today: 1m 97%, 3m 99%, 6m 94%

12/28 ：1m 97%，3m 98%，6m 94%

Ethereum IV stabilized near 100%. After all, the ultra-short-term strong upward trend has weakened, and today’s volatility is significantly lower than before. The short-term surge and pause of the trend will usually be accompanied by a large number of Call selling to lower the IV, but this has not happened now.

【Option Flows】

【Option position distribution】

Ethereum expired in March at about 263,000 ETH, and at the end of January it was 161,000 ETH. There are more short-term increases in Ethereum, and there is little fluctuation in the medium and long term.