Deribit Options Market Report: 0112—Deep V Rebound

【Daily Review】

Bitcoin once fell to 30,000 US dollars yesterday, and it rose by more than 10% in the early hours of this morning. It is currently around 35,000 US dollars. The injection market of deep V rebound makes the price relatively fragile. This is the second significant correction in this year's bull market, with the largest being more than 30%. Grayscale’s reopening of GBTC has supported the market, and the underlying logic of this round of bull market has not yet gone bankrupt.

BTC historical volatility

【BTC Options】

BTC historical volatility

10d 98%  

30d 80%

90d 68%

1Y   82%

【Option Trading Volume】

The option trading volume is 2 billion US dollars, which is a very amazing trading volume. The current open interest is 7.7 billion US dollars, and the open interest remains unchanged.

【IV】

Implied volatility for each normalized term:

Implied volatility for each normalized term:

1/11 ：1m 138.4%, 3m 117.5%, 6m 108.4%

Today: 1m 137.8%, 3m 117.5%, 6m 109.1%

【Option Flows】

From the Option Flows data, the transaction of selling call options is extremely strong, and it is a very cost-effective business to sell Call when the high IV plummets.

【Option position distribution】

【ETH Options】

【ETH Options】

ETH Historical Volatility

10d 120%  

30d 120%

90d 95%

1Y  108%

The trading volume of Ethereum options today is 212 million US dollars, and the open interest is 1.3 billion US dollars.

【IV】 

Each standardized period IV:

Each standardized period IV:

1/11  ：1m 176%，3m 155%，6m 138%

Today: 1m 180%, 3m 157%, 6m 137%

【Option Flows】

Judging from the Option Flows data, the four forces are relatively balanced. The current trading characteristics of Ethereum are ahead of Bitcoin. The large-scale sell call transactions in the past two days have come to an end today.

【Option position distribution】

【Option position distribution】