Deribit Options Market Report: 0125—ETH New High

特邀专栏作者

2021-01-25 11:14 (UTC+8)

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Bitcoin is still tepid, and Ethereum has ushered in a strong breakthrough. Recently, there have been two relatively obvious callbacks, but Ethereum has achieved a V-shaped reversal.

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Bitcoin is still tepid, and Ethereum has ushered in a strong breakthrough. Recently, there have been two relatively obvious callbacks, but Ethereum has achieved a V-shaped reversal.

【Daily Review】

Bitcoin is still tepid, and Ethereum has ushered in a strong breakthrough. Recently, there have been two relatively obvious callbacks, but Ethereum has achieved a V-shaped reversal. In a bull market, the rise of Ethereum often exceeds that of Bitcoin, and the transaction popularity of ETH often exceeds that of Bitcoin.

BTC historical volatility

【BTC Options】

BTC historical volatility

10d 99%

30d 96%

90d 78%

1Y 84%

【Option Trading Volume】

Options volume was $193 million, with current open interest at $7.1 billion. Trading volume was low over the weekend, and it seems that Bitcoin is indeed underperforming other currencies at the moment.

【IV】

Implied volatility for each normalized term:

1/24 ：1m 103.7%, 3m 102.5%, 6m 101.4%

Today: 1m 112.8%, 3m 107.2%, 6m 103.4%

【Option Flows】

According to the Option Flows data, the price rebound combined with the low RV makes the Sell Put volume very high. Selling a small amount of put instead of buying bottom is a good business.

【Option position distribution】

【ETH Options】

ETH Historical Volatility

10d 169%

30d 150%

90d 108%

1Y 110%

Today's options trading volume of Ethereum is 128 million US dollars, and the open interest is 1.9 billion US dollars. The trading volume of Ethereum returned to the average level on Sunday, and today's trading volume is bound to return to a higher level.

【IV】

Each standardized period IV:

1/24 ：1m 161%，3m 154%，6m 149%

Today: 1m 145%, 3m 143%, 6m 136%

【Option Flows】

According to the Option Flows data, the transaction value of Call accounts for 80% of the volume today, but the overall contract transaction volume is relatively balanced, which shows that the Call transaction near the average value is intense.