Deribit Options Market Report: 0111—A comprehensive decline
【Daily Review】
【Daily Review】
Bitcoin fell below $35,000 today, ushered in a sharp drop on the first day of this week, the second obvious correction in this round of bull market since $20,000, and Ethereum also fell by more than 15%. The key to the current decline is whether Grayscale's GBTC premium will be smashed through, and the underlying logic of this round of bull market cannot be broken.
BTC historical volatility
【BTC Options】
BTC historical volatility
10d 108%
30d 79%
90d 62%
1Y 81%
【Option Trading Volume】
Options turnover was $790 million, and current open interest was $7.7 billion, with open interest remaining unchanged.
【IV】
Implied volatility for each normalized term:
Implied volatility for each normalized term:
1/10 ：1m 144.8%, 3m 123.5%, 6m 113.1%
Today: 1m 138.4%, 3m 117.5%, 6m 108.4%
【Option Flows】
According to Option Flows data, the transactions of buying at-the-money call options and selling out-of-the-money call options are very strong, and there are not many people buying and selling Put.
【Option position distribution】
【ETH Options】
【ETH Options】
ETH Historical Volatility
10d 180%
30d 118%
90d 87%
1Y 107%
The trading volume of Ethereum options today is 166 million US dollars, and the open interest is 1.5 billion US dollars.
【IV】
Each standardized period IV:
Each standardized period IV:
1/10 ：1m 200%，3m 170%，6m 144%
Today: 1m 176%, 3m 155%, 6m 138%
【Option Flows】
Judging from the Option Flows data, selling call options is very active. There were already many people who sold call options yesterday, and today they took advantage of the sharp drop and sold frantically.
【Option position distribution】
【Option position distribution】
