Deribit options market broadcast: 0202—1400USD

特邀专栏作者

2021-02-02 20:12 (UTC+8)

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With the popularity of DeFi this month, ETH plays a decisive role as the underlying asset. After all, most DeFi will run on the ETH network.

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With the popularity of DeFi this month, ETH plays a decisive role as the underlying asset. After all, most DeFi will run on the ETH network.

【Daily Review】

Ethereum hovered at $1,400 for a few days, which is completely different from the take-off of DeFi. With the popularity of DeFi this month, ETH plays a decisive role as the underlying asset. After all, most DeFi will run on the ETH network. From the perspective of option positions, more and more people are betting on the breakthrough of ETH.

BTC historical volatility

【BTC Options】

BTC historical volatility

10d 74%

30d 101%

90d 78%

1Y 84%

【Option Trading Volume】

Options volume was $420 million, with current open interest at $5.3 billion.

【IV】

Implied volatility for each normalized term:

Today: 1m 101%, 3m 104%, 6m 103%

2/ 1 ：1m 109%, 3m 108%, 6m 106%

Bitcoin has not fluctuated much today. The term structure has returned to its normal form. The market has been consolidating for a long time, and the IV has dropped slightly.

【Option Flows】

According to Option Flows data, the transaction volume of active selling of call options is close to one-third, and the transaction volume of active buying of call options is close to normal. In the current market, this phenomenon represents a temporary calm.

【Option position distribution】

【ETH Options】

ETH Historical Volatility

10d 117%

30d 136%

90d 111%

1Y 110%

The trading volume of Ethereum options today is 60 million US dollars, and the open interest is 1.7 billion US dollars.

【IV】

Each standardized period IV:

2/ 1 ：1m 133%，3m 137%，6m 134%

Today: 1m 134%, 3m 137%, 6m 134%

【Option Flows】

According to the data of Option Flows, more than half of the trading volume of actively buying call options, and two-thirds of the trading value. The trading volume of Ethereum call options is huge, and a breakthrough is brewing.