Deribit Options Market Report: 0114—Strong Rebound

特邀专栏作者

2021-01-14 10:49 (UTC+8)

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Bitcoin rebounded strongly in the early hours of this morning. The big reason is that Grayscale double-bought it again. Today, it rebounded by 10% to $37,500. Ethereum also rebounded somewhat.

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Bitcoin rebounded strongly in the early hours of this morning. The big reason is that Grayscale double-bought it again. Today, it rebounded by 10% to $37,500. Ethereum also rebounded somewhat.

【Daily Review】

Bitcoin rebounded strongly in the early hours of this morning. The big reason is that Grayscale double-bought it again. Today, it rebounded by 10% to $37,500. Ethereum also rebounded somewhat. The overall trend this week is still falling, but neither the downward force nor the rebound force has an absolute advantage, and the market still needs to wait to choose a direction.

BTC historical volatility

【BTC Options】

BTC historical volatility

10d 108%

30d 85%

90d 68%

1Y 82%

【Option Trading Volume】

The options trading volume was 1.1 billion US dollars, and the trading volume returned to the recent average level. The current open interest is 7.2 billion US dollars, and the open interest decreased slightly.

【IV】

Implied volatility for each normalized term:

1/13 ：1m 134.4%, 3m 120.5%, 6m 109.4%

Today: 1m 137.8%, 3m 124.5%, 6m 115.1%

【Option Flows】

Judging from the Option Flows data, Call Buys accounted for half of the strong rebound in the early hours of this morning, and it was mainly chasing more and buying at a fair value.

【Option position distribution】

【ETH Options】

ETH Historical Volatility

10d 124%

30d 122%

90d 95%

1Y 108%

The trading volume of Ethereum options today is 83 million US dollars, and the open interest is 1.4 billion US dollars.

【IV】

Each standardized period IV:

1/13 ：1m 178%，3m 152%，6m 137%

Today: 1m 171%, 3m 154%, 6m 142%

【Option Flows】

From the Option Flows data, the trading volume of call options is relatively large, buyers are selling for the full term, and sellers are more aggressive for short-term selling.