Deribit Options Market Report: 0219—A new high is approaching

Deribit德瑞课堂

特邀专栏作者

2021-02-19 18:28 (UTC+8)

This article is about 830 words, reading the full article takes about 2 minutes

Bitcoin is oscillating above $52,000, and new highs are imminent.

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Bitcoin is oscillating above $52,000, and new highs are imminent.

【Daily Review】

BTC historical volatility

【BTC Options】

BTC historical volatility

10d 125%

30d 107%

90d 91%

1Y 87%

【Option Trading Volume】

Options volume was $570 million, with current open interest at $9.9 billion.

【IV】

Implied volatility for each normalized term:

2/18：1m 102%, 3m 97%, 6m 106%

Bitcoin IV is relatively stable. The current market hotspot is DeFi, and the mainstream currency market is stable. In the bull market, the rhythm is very strong.

【Option Flows&Bulk Transaction】

From the data of Option Flows, the power of sellers is obviously slightly stronger. Today, large transactions are very active, with a large number of transactions in the current week (due today) and the next week (due this month), and the prices are concentrated in relatively flat positions. On the one hand, there are a large number of short-term speculators buying, and on the other hand, there are some needs to move and close positions. The combination of the two pushed up today's large transactions.

【Option position distribution】

【ETH Options】

ETH Historical Volatility

10d 68%

30d 132%

90d 121%

1Y 113%

The trading volume of Ethereum options today is 190 million US dollars, and the open interest is 2.7 billion US dollars.

【IV】

Each standardized period IV:

2/18：1m 130%，3m 121%，6m 115%

Ethereum IV has dropped slightly. The current rise of Ethereum is very close to that of BTC. A few days ago, DeFi used ETH as the main underlying tool. In recent days, new smart chains such as BSC have become the main battlefield of DeFi, and ETH has cooled down.

【Option Flows&Bulk Transaction】

Judging from the Option Flows data, the trading volume of Ethereum selling call options accounted for half of the total volume today, and buying call options accounted for a quarter yesterday. The trading volume is obviously tidal. Big transactions are cold, and there are zero transactions today.