Deribit Options Market Report: 0210—Perfect ending

特邀专栏作者

2021-02-10 21:20 (UTC+8)

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All mainstream currencies have reached near record highs, and the digital currencies in the first month of 2021 are in full swing.

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All mainstream currencies have reached near record highs, and the digital currencies in the first month of 2021 are in full swing.

【Daily Review】

BTC historical volatility

【BTC Options】

BTC historical volatility

10d 124%

30d 114%

90d 90%

1Y 86%

【Option Trading Volume】

Options volume was $851 million, with current open interest at $7.9 billion.

【IV】

Implied volatility for each normalized term:

2/9 ：1m 123%, 3m 112%, 6m 105%

Bitcoin has risen in each term IV today, and the influence of the 20% positive line of the day is gradually showing, and it is sideways near new highs.

【Option Flows&Bulk Transaction】

Judging from the Option Flows data, there are slightly more bullish trading volumes. Today's trading momentum is not strong, there are almost no large transactions, and the overall trading volume is relatively low.

【Option position distribution】

【ETH Options】

ETH Historical Volatility

10d 122%

30d 147%

90d 121%

1Y 113%

The trading volume of Ethereum options today is 135 million US dollars, and the open interest is 2.4 billion US dollars.

【IV】

Each standardized period IV:

2/9 ：1m 136%，3m 133%，6m 126%

Ethereum IV has not changed much. The IV of Ethereum ultra-short-term options has been at a recent low level. Yesterday, the surge of Bitcoin came to an end. According to the recent law, Ethereum is not far away.

【Option Flows&Bulk Transaction】

Judging from the Option Flows data, there are very few large transactions in Ethereum today, and the trading volume of buying call options is significantly larger than that of the other three directions. Today, the mood is relaxed and all parties are relatively balanced.