Deribit Options Market Report: 0122—Diving

【Daily Review】

Bitcoin fell below $30,000 this morning, breaking short-term support. Support for Ethereum is similarly weak, but it has yet to break below this month's lows. A short quick dive makes a short IV surge while skew reverses. The current mid-to-long-term call is much cheaper. Those who insist on bullishness can consider the three-month out-of-the-money call option.

BTC historical volatility

【BTC Options】

BTC historical volatility

10d 113%  

30d 78%

90d 78%

1Y   84%

【Option Trading Volume】

Options volume was $1.0 billion, slightly above the recent average, with current open interest at $8.3 billion.

【IV】

Implied volatility for each normalized term:

Implied volatility for each normalized term:

1/21 ：1m 115.8%, 3m 107.2%, 6m 103.4%

Today: 1m 111.7%, 3m 109.5%, 6m 105.4%

【Option Flows】

Judging from the Option Flows data, the plunge did not bring too many Buy Puts, and most people are still optimistic about the market outlook.

【Option position distribution】

【ETH Options】

【ETH Options】

ETH Historical Volatility

10d 162%  

30d 144%

90d 108%

1Y  110%

The trading volume of Ethereum options today is 138 million US dollars, and the open interest is 1.5 billion US dollars. The trading volume of Ethereum is still relatively high.

【IV】 

Each standardized period IV:

Each standardized period IV:

1/21  ：1m 158%，3m 148%，6m 144%

Today: 1m 155%, 3m 147%, 6m 138%

【Option Flows】

Judging from the Option Flows data, the four directions are relatively balanced today, and both the trading volume and the degree of false value are relatively close. A general plunge will lead to an increase in Buy Put, but today it is clear that there is not enough power to chase the short.

【Option position distribution】

【Option position distribution】