Deribit Options Market Report: 0104—Surprising volatility

Deribit德瑞课堂

特邀专栏作者

2021-01-04 22:53 (UTC+8)

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The epic surge continued this morning, and an epic correction came in the afternoon.

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The epic surge continued this morning, and an epic correction came in the afternoon.

The epic surge continued this morning, and an epic correction came in the afternoon. Bitcoin fluctuated by $6,000 on the day, and Ethereum fluctuated by $280. The fluctuating price of a day now exceeds the price of the currency a few months ago, which is an amazing fluctuation.

【Option Trading Volume】

【BTC Options】

BTC historical volatility

10d 76%

30d 69%

90d 62%

1Y 81%

【Option Trading Volume】

Implied volatility for each normalized term:

【IV】

Implied volatility for each normalized term:

Today: 1m 107.4%, 3m 101.5%, 6m 92.4%

1/3 ：1m 99.4%, 3m 95.5%, 6m 89.9%

Today is an epic volatility. Bitcoin fluctuated more than $6,000 on the day, and the IV of each period took off. 100% IV was the first time since 312.

【Option Flows】

【Option position distribution】

ETH Historical Volatility

【ETH Options】

ETH Historical Volatility

10d 131%

30d 106%

90d 87%

1Y 107%

Each standardized period IV:

【IV】

Each standardized period IV:

Today: 1m 118%, 3m 112%, 6m 103%

1/3 ：1m 142%，3m 126%，6m 110%

Ethereum IV exceeds 150% in the ultra-short term, and the strong upward trend in the ultra-short term has been completely distorted. Today, Ethereum is a reverse 312 market.

【Option Flows】

【Option position distribution】

Ethereum expired in March at about 276,000 ETH, and at the end of January it was 182,000 ETH. There were many short-term increases in Ethereum, and the volatility continued to break through the sky.