Deribit Options Market Report: 0301—Basis return

Deribit德瑞课堂

特邀专栏作者

2021-03-01 14:40 (UTC+8)

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With the return of the currency price, the basis difference is currently returning to an annualized rate below 20%.

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With the return of the currency price, the basis difference is currently returning to an annualized rate below 20%.

【Daily Review】

BTC historical volatility

【BTC Options】

BTC historical volatility

10d 96%

30d 98%

90d 93%

1Y 87%

【Option Trading Volume】

The option trading volume is 739 million US dollars, and the current open interest is 8 billion US dollars. The market has been relatively calm recently, and the new month has just started, and the wait-and-see mood is relatively strong.

【IV】

Implied volatility for each normalized term:

2/28：1m 98%, 3m 93%, 6m 89%

Although Bitcoin has rebounded slightly, the decline has not diminished, and the moving average has clearly broken. The IV of each term has risen slightly, and buying calls to buy bottoms is now gradually becoming a mainstream strategy.

【Option Flows&Bulk Transaction】

Judging from the Option Flows data, the forces of all parties are relatively balanced, and there are almost no large quotations. The trading days after each delivery are relatively quiet until the market comes.

【Option position distribution】

【ETH Options】

ETH Historical Volatility

10d 113%

30d 98%

90d 120%

1Y 113%

The trading volume of Ethereum options today is 152 million US dollars, and the open interest is 1.9 billion US dollars.

【IV】

Each standardized period IV:

2/28：1m 124%，3m 124%，6m 115%

Today: 1m 130%, 3m 128%, 6m 121%

Now the price of Ethereum has fallen along with the DeFi currencies on it, and the cost of use has dropped a lot, which is beneficial to the development of DeFi.