Deribit Options Market Report: 0222—Buy puts

Deribit德瑞课堂

特邀专栏作者

2021-02-22 20:41 (UTC+8)

This article is about 837 words, reading the full article takes about 2 minutes

Put options with short and medium durations are very popular, especially deep put options with 312 expiration.

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Put options with short and medium durations are very popular, especially deep put options with 312 expiration.

【Daily Review】

BTC historical volatility

【BTC Options】

BTC historical volatility

10d 80%

30d 99%

90d 92%

1Y 87%

【Option Trading Volume】

The options trading volume is 590 million US dollars, and the current open interest is 11 billion US dollars, and the open interest continues to create a record high.

【IV】

Implied volatility for each normalized term:

2/21：1m 98%, 3m 92%, 6m 90%

Bitcoin hit another all-time high today before entering a pullback. IV has picked up a little bit, and the current IV level is close to New Year's Day. For option players, it is a market that both buyers and sellers can accept.

【Option Flows&Bulk Transaction】

There are many large transactions today, concentrated on put options below 40,000 and call options above 64,000. The market is still going on, and the possibility of long-term sideways trading is indeed unlikely.

【Option position distribution】

【ETH Options】

ETH Historical Volatility

10d 48%

30d 106%

90d 119%

1Y 112%

The trading volume of Ethereum options today is 88 million US dollars, and the open interest is 2.7 billion US dollars.

【IV】

Each standardized period IV:

2/21：1m 122%，3m 119%，6m 112%

Ethereum IV is stable, and the trading volume has dropped sharply. The situation of both supply and demand in the Ethereum options market has cooled down, but the activity and fluency are still not inferior to Bitcoin. The DeFi boom of ETH may come again at any time.

【Option Flows&Bulk Transaction】

Judging from the Option Flows data, the trading volume of Ethereum call options is larger today, with buying and selling each accounting for one-third. The market has cooled down, but the DeFi boom of ETH may come again at any time. There are few large transactions, and only a small number of small transactions near the average value.