Deribit options market broadcast: 0203—1550USD

特邀专栏作者

2021-02-04 09:28 (UTC+8)

This article is about 785 words, reading the full article takes about 2 minutes

It was mentioned in yesterday's broadcast that from the data point of view, all the data of ETH have accumulated to the edge of the sideways market, and the breakthrough in the middle of the night today is a matter of course.

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【Daily Review】

BTC historical volatility

【BTC Options】

BTC historical volatility

10d 80%

30d 101%

90d 78%

1Y 84%

【Option Trading Volume】

Options volume was $454 million, with current open interest at $5.7 billion.

【IV】

Implied volatility for each normalized term:

2/2 ：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.

【big order】

【Option Flows】

According to the Option Flows data, the transaction amount of put options is relatively large, especially for large transactions. Generally speaking, it is abnormal to have a large transaction volume of PUT in the rising market.

【Option position distribution】

【ETH Options】

ETH Historical Volatility

10d 133%

30d 166%

90d 119%

1Y 113%

The trading volume of options on Ethereum today is 176 million US dollars, and the open interest is 1.9 billion US dollars.

【IV】

Each standardized period IV:

2/2 ：1m 134%，3m 137%，6m 134%

Ethereum successfully broke through the previous high, the breakout brought a lot of buying power, and the IV rose for the full term.

【big order】

【Option Flows】

According to Option Flows data, active buying of call options and active selling of put options each accounted for one-third of the trading volume. Ethereum’s breakthrough did not have an overly obvious reaction in the options market.