Deribit Options Market Report: 0225—IV falls back

【Daily Review】

BTC historical volatility

【BTC Options】

BTC historical volatility

10d 99%  

30d 104%

90d 95%

1Y   87%

【Option Trading Volume】

Options volume was $848 million, with current open interest at $11 billion.

【IV】

Implied volatility for each normalized term:

Implied volatility for each normalized term:

2/24：1m 121%, 3m 107%, 6m 99%

The Bitcoin callback has come to an end, and the rebound is also slightly weak, currently closing at $50,000. The IV of each period fell back to the lowest level in the year. The impact of this plunge on options is currently only one item of spot price, that is, the par value position.

【Option Flows&Bulk Transaction】

Judging from the Option Flows data, there are many large transactions, and there are transactions in all directions. Tomorrow will be the monthly delivery day, and there will be more liquidation and transfer of positions, and the transaction IV is also obviously high, many of which are doomsday liquidation orders of 0.0005.

【Option position distribution】

【ETH Options】

【ETH Options】

ETH Historical Volatility

10d 99%  

30d 104%

90d 121%

1Y  113%

The trading volume of options on Ethereum today is 170 million US dollars, and the open interest is 2.5 billion US dollars, which is relatively stable.

【IV】 

Each standardized period IV:

Each standardized period IV:

2/24：1m 159%，3m 135%，6m 122%

Ethereum IV has also fallen back, the short-term IV is close to the average level of the year, and the medium- and long-term IV is lower than the average level of the year. But it is worth noting that the short-to-medium term skew has shifted significantly, and put options are not cheap at present.

【Option Flows&Bulk Transaction】

【Option Flows&Bulk Transaction】

The volume of bulk transactions is slightly higher than usual, mainly due to the order of moving positions, and the position is moved from the current month to the next month.

【Option position distribution】

【Option position distribution】