Deribit Options Market Report: 0306—Market Linkage

特邀专栏作者

2021-03-06 17:49 (UTC+8)

This article is about 906 words, reading the full article takes about 2 minutes

The recent correlation between digital currencies and US stocks is very high, indicating that the market is not strong enough.

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The recent correlation between digital currencies and US stocks is very high, indicating that the market is not strong enough.

【Daily Review】

【Option Trading Volume】

【BTC Options】

BTC historical volatility

10d 98%

30d 102%

90d 94%

1Y 87%

【Option Trading Volume】

Implied volatility for each normalized term:

【IV】

Implied volatility for each normalized term:

Today: 1m 99%, 3m 102%, 6m 98%

3/5：1m 96%, 3m 99%, 6m 96%

【Option Flows&Bulk Transaction】

According to Option Flows data, the trading volume of short put options accounts for nearly 45%, the skew has shifted to near zero as a whole, and put options are getting more and more expensive.

【Option position distribution】

ETH Historical Volatility

【ETH Options】

ETH Historical Volatility

10d 122%

30d 99%

90d 120%

1Y 112%

Each standardized period IV:

【IV】

Each standardized period IV:

Today: 1m 112%, 3m 121%, 6m 118%

3/5：1m 119%，3m 123%，6m 118%

【Option Flows&Bulk Transaction】

According to Option Flows data, selling option transactions accounted for an absolute majority, accounting for nearly 80%, with bullish and bearish transactions accounting for half.

【Option position distribution】