Deribit Options Market Report: 0204—Historical High

【Daily Review】

BTC historical volatility

【BTC Options】

BTC historical volatility

10d 90%  

30d 105%

90d 85%

1Y   84%

【Option Trading Volume】

Options volume was $525 million, with current open interest at $6.2 billion.

【IV】

Implied volatility for each normalized term:

Implied volatility for each normalized term:

2/3  ：1m 101%, 3m 104%, 6m 103%

Bitcoin hit a record high for a short time today, but the IV is declining instead. The term structure maintains a regular shape. The market has not broken the consolidation, and the ultra-short-term IV has dropped significantly.

【big order】

【big order】

【Option Flows】

According to the Option Flows data, the transaction amount of selling put options is relatively large. In recent days, especially for large transactions, it is abnormal that the transaction volume of PUT is large.

【Option position distribution】

【ETH Options】

【ETH Options】

ETH Historical Volatility

10d 133%  

30d 166%

90d 119%

1Y  113%

The trading volume of Ethereum options today is 186 million US dollars, and the open interest is 2.2 billion US dollars.

【IV】 

Each standardized period IV:

Each standardized period IV:

2/3   ：1m 156%，3m 146%，6m 136%

Ethereum successfully broke through the previous high, and the price rise brought a significant increase in open interest, but the breakthrough failed to bring buying power today, and IV fell for the full term.

【big order】

【big order】

【Option Flows】

Judging from the Option Flows data, the seller is more active, especially after the market stabilizes, the amount of call options sold is large, and most of them are guessed covered.

【Option position distribution】

【Option position distribution】