Deribit Options Market Report: 0201—Position Declines

特邀专栏作者

2021-02-01 21:01 (UTC+8)

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The large amount of open interest in January is largely due to the accumulation of the bull market over the past few months, superimposed on the shift of positions for the annual large delivery.

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The large amount of open interest in January is largely due to the accumulation of the bull market over the past few months, superimposed on the shift of positions for the annual large delivery.

【Daily Review】

Due to the huge monthly delivery volume of Bitcoin, the open interest decreased significantly after the delivery. The large amount of open interest in January is largely due to the accumulation of the bull market over the past few months, superimposed on the shift of positions for the annual large delivery. The distribution of the entire market has now returned to a relatively balanced situation, and a new market has begun.

BTC historical volatility

【BTC Options】

BTC historical volatility

10d 80%

30d 102%

90d 78%

1Y 84%

【Option Trading Volume】

Options volume was $290 million and current open interest is $5.1 billion.

【IV】

Implied volatility for each normalized term:

1/31 ：1m 109%, 3m 108%, 6m 106%

Today: 1m 112%, 3m 111%, 6m 107%

【Option Flows】

According to Option Flows data, the active selling volume of call options is close to one-third, and the total turnover of call options is close to two-thirds. In the daily market, this phenomenon is relatively common, but it is relatively rare during the recent period of large fluctuations.

【Option position distribution】

【ETH Options】

ETH Historical Volatility

10d 158%

30d 116%

90d 111%

1Y 110%

The trading volume of options on Ethereum today is US$67 million, and the open interest is US$1.6 billion.

【IV】

Each standardized period IV:

1/31 ：1m 133%，3m 137%，6m 134%

Today: 1m 139%, 3m 143%, 6m 134%

【Option Flows】

Judging from the Option Flows data, active buying of call options is relatively high both in volume and number of contracts, indicating that Ethereum is brewing a breakthrough.