Deribit options market broadcast: 0106—IV rises again
【Daily Review】
【Daily Review】
Today, Bitcoin once again created a new high, and the rise again brought the IV to continue to rise. Although the current IV is high, it is also very volatile, and it is very difficult for call option sellers to hedge, especially now that the IV is still rising.
BTC historical volatility
【BTC Options】
BTC historical volatility
10d 63%
30d 67%
90d 62%
1Y 81%
【Option Trading Volume】
The option trading volume is US$1.3 billion, and the current open interest is US$7.2 billion. The open interest of more than 7 billion makes people feel a bit dreamy.
【IV】
Implied volatility for each normalized term:
Implied volatility for each normalized term:
1/5 ：1m 99.8%, 3m 101.5%, 6m 94.1%
Today: 1m 122.4%, 3m 112.5%, 6m 104.4%
【Option Flows】
According to Option Flows data, buying call options is in a crushing trend.
【Option position distribution】
【ETH Options】
【ETH Options】
ETH Historical Volatility
10d 129%
30d 107%
90d 87%
1Y 107%
The trading volume of options on Ethereum today is 196 million US dollars, and the open interest is 1.3 billion US dollars. The short-term violent fluctuations have temporarily come to an end.
【IV】
Each standardized period IV:
Each standardized period IV:
1/5 ：1m 144%，3m 129%，6m 105%
Today: 1m 165%, 3m 144%, 6m 126%
【Option Flows】
Judging from the Option Flows data, at-the-value call options are also actively purchased in large numbers, and other types of transactions are similar. The view that continues to rise is still the mainstream.
【Option position distribution】
【Option position distribution】
