Deribit Options Market Report: 0220—10 billion USD

Deribit德瑞课堂

特邀专栏作者

2021-02-20 11:54 (UTC+8)

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Bitcoin reached $55,000 in one fell swoop, and there is no pressure above the new high.

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Bitcoin reached $55,000 in one fell swoop, and there is no pressure above the new high.

【Daily Review】

BTC historical volatility

【BTC Options】

BTC historical volatility

10d 125%

30d 107%

90d 91%

1Y 86%

【Option Trading Volume】

Options volume was $1.7 billion, with current open interest at $10.9 billion. Both open interest and trading volume hit record highs, among which the open interest exceeded the tens of billions of dollars mark for the first time.

【IV】

Implied volatility for each normalized term:

2/19：1m 107%, 3m 101%, 6m 95%

Bitcoin has risen by more than 10% today, creating a record high, but IV is relatively stable and even has a significant decline. As mentioned in previous broadcasts, it is very cost-effective to buy options that are slightly out of value.

【Option Flows&Bulk Transaction】

Today, large transactions are very active, and a large number of sub-cycle options (expiring in the current month) are traded, and the prices are concentrated at 20% of the relative out-of-value position.

【Option position distribution】

【ETH Options】

ETH Historical Volatility

10d 68%

30d 132%

90d 121%

1Y 113%

The trading volume of Ethereum options today is 220 million US dollars, and the open interest is 2.7 billion US dollars.

【IV】

Each standardized period IV:

2/19：1m 123%，3m 118%，6m 112%

Ethereum IV continues to decline slightly. The current rise of Ethereum is far less than that of Bitcoin. ETH will surely achieve a lot with the development of technology.

【Option Flows&Bulk Transaction】

Judging from the Option Flows data, the trading volume of Ethereum sold call options accounted for one-third of the total volume today, and Ethereum transactions continued to show tidal nature. There are many large transactions, all of which are deep put options, and a large number of protective put options are building positions. This signal needs to be taken seriously.