Deribit Options Market Report: 0207—Amazing Rates

【Daily Review】

BTC historical volatility

【BTC Options】

BTC historical volatility

10d 94%  

30d 99%

90d 83%

1Y   84% 

【Option Trading Volume】

Options volume was $824 million, with current open interest at $6.1 billion.

【IV】

Implied volatility for each normalized term:

Implied volatility for each normalized term:

2/6  ：1m 101%, 3m 99%, 6m 100%

Today: 1m 102%, 3m 100%, 6m 98%

Bitcoin’s IV of each term today remains near 100%. Recently, there has been a situation where the one-day fund fee for futures hedging is greater than the one-day average Theta, and the arbitrage profit is significantly higher than that of selling options. If you do the opposite and use the profit from hedging to buy out-of-the-money options, you can get a low-cost tail position.

【big order】

【Option Flows】

Judging from the Option Flows data, there is a large volume of extremely out-of-the-money call transactions, and both supply and demand are booming.

【Option position distribution】

【ETH Options】

【ETH Options】

ETH Historical Volatility

10d 130%  

30d 145%

90d 120%

1Y  114%

The trading volume of Ethereum options today is 115 million US dollars, and the open interest is 2.1 billion US dollars.

【IV】 

Each standardized period IV:

Each standardized period IV:

2/6   ：1m 132%，3m 134%，6m 126%

Today: 1m 134%, 3m 135%, 6m 129%

The price of Ethereum has entered an adjustment, IV has dropped slightly, the futures premium is close to that of Bitcoin, and the premium of Ethereum is significantly higher than usual. Arbitrage is the preferred strategy, which also shows that leverage is very powerful.

【big order】

【Option Flows】

According to the Option Flows data, there are fewer transactions in selling put options, and the buyers and sellers are relatively close to each other. Call option sellers are more active, and the covered strategy is currently no better than futures hedging.

【Option position distribution】

【Option position distribution】