Deribit Options Market Report: 0302—Ultra-short-term adjustment

特邀专栏作者

2021-03-02 22:37 (UTC+8)

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With yesterday's rebound, the one-week downward trend stopped, and the option data did not change much. Only the ultra-short-term option data showed a big adjustment.

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With yesterday's rebound, the one-week downward trend stopped, and the option data did not change much. Only the ultra-short-term option data showed a big adjustment.

【Daily Review】

BTC historical volatility

【BTC Options】

BTC historical volatility

10d 111%

30d 103%

90d 94%

1Y 88%

【Option Trading Volume】

The options trading volume was 988 million US dollars, and the current open interest is 9.2 billion US dollars. The price rebounded yesterday, and the open interest and transaction volume both rebounded, but the wait-and-see sentiment is still relatively strong.

【IV】

Implied volatility for each normalized term:

3/1：1m 105%, 3m 98%, 6m 93%

The rebound trend of Bitcoin weakened, the IV of each period decreased slightly, and the ultra-short-term IV decreased significantly. The ultra-short-term Skew pulls back to near zero, and the short-term bearish power weakens.

【Option Flows&Bulk Transaction】

Judging from the Option Flows data, the forces of all parties are relatively balanced. There are a lot of large quotations, mainly short-term average value. According to the current situation, the ultra-short-term IV decline is due to the low transaction IV of these large orders.

【Option position distribution】

【ETH Options】

ETH Historical Volatility

10d 125%

30d 104%

90d 121%

1Y 114%

The trading volume of Ethereum options today is 147 million US dollars, and the open interest is 2.2 billion US dollars.

【IV】

Each standardized period IV:

3/1：1m 130%，3m 128%，6m 121%

Ethereum is also rebounding, the ultra-short-term IV has dropped significantly, and the medium- and long-term IV has remained unchanged. Skew has not yet seen a significant adjustment, and the short-term bearish power of Ethereum is significantly stronger than the long-term bearish power.

【Option Flows&Bulk Transaction】

There are fewer large transactions, mainly short-term and short-term at-the-money options. Today's transaction structure is completely different from that of Bitcoin.